EZU vs. SGOV
EZU (iShares MSCI Eurozone ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - EZU is a Europe Equities fund tracking the MSCI EMU, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Both are passively managed. Over the past 5 years, EZU returned 9.36%/yr vs 3.53%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions. EZU charges 0.51%/yr vs 0.09%/yr for SGOV.
Performance
EZU vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, EZU achieves a 8.17% return, which is significantly higher than SGOV's 1.50% return.
EZU
- 1D
- 0.73%
- 1M
- 3.97%
- YTD
- 8.17%
- 6M
- 11.21%
- 1Y
- 19.95%
- 3Y*
- 18.60%
- 5Y*
- 9.36%
- 10Y*
- 9.96%
SGOV
- 1D
- 0.00%
- 1M
- 0.29%
- YTD
- 1.50%
- 6M
- 1.80%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.53%
- 10Y*
- —
EZU vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EZU iShares MSCI Eurozone ETF | 8.17% | 40.00% | 2.23% | 23.44% | -17.25% | 13.92% | 29.93% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.50% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.05% |
Correlation
The correlation between EZU and SGOV is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since May 29, 2020 | -0.02 |
The correlation between EZU and SGOV shifts across timeframes, from -0.14 (1 year) to -0.01 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
EZU vs. SGOV — Risk / Return Rank
EZU
SGOV
EZU vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Eurozone ETF (EZU) and iShares 0-3 Month Treasury Bond ETF (SGOV). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| EZU | SGOV | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.19 | 20.28 | -19.09 |
Sortino ratioReturn per unit of downside risk | 1.75 | 275.69 | -273.94 |
Omega ratioGain probability vs. loss probability | 1.22 | 195.55 | -194.34 |
Calmar ratioReturn relative to maximum drawdown | 1.62 | 399.50 | -397.88 |
Martin ratioReturn relative to average drawdown | 5.88 | 4,485.48 | -4,479.60 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EZU | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.19 | 20.28 | -19.09 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.47 | 14.72 | -14.25 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.49 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 12.48 | -12.27 |
Drawdowns
EZU vs. SGOV - Drawdown Comparison
The maximum EZU drawdown since its inception was -65.32%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for EZU and SGOV.
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Drawdown Indicators
| EZU | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -65.32% | -0.03% | -65.29% |
Max Drawdown (1Y)Largest decline over 1 year | -13.06% | -0.01% | -13.05% |
Max Drawdown (3Y)Largest decline over 3 years | -15.02% | -0.01% | -15.01% |
Max Drawdown (5Y)Largest decline over 5 years | -36.11% | -0.03% | -36.08% |
Max Drawdown (10Y)Largest decline over 10 years | -41.37% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -19.24% | -0.00% | -19.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.60% | 0.00% | +3.60% |
Volatility
EZU vs. SGOV - Volatility Comparison
iShares MSCI Eurozone ETF (EZU) has a higher volatility of 6.82% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that EZU's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EZU | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.82% | 0.05% | +6.77% |
Volatility (6M)Calculated over the trailing 6-month period | 14.07% | 0.13% | +13.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.89% | 0.20% | +16.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.85% | 0.24% | +19.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.49% | 0.24% | +20.25% |
EZU vs. SGOV - Expense Ratio Comparison
EZU has a 0.51% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
EZU vs. SGOV - Dividend Comparison
EZU's dividend yield for the trailing twelve months is around 2.64%, less than SGOV's 3.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EZU iShares MSCI Eurozone ETF | 2.64% | 2.85% | 2.90% | 2.56% | 2.79% | 2.46% | 2.13% | 2.84% | 3.47% | 1.91% | 3.07% | 2.18% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.86% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EZU and SGOV have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EZU has higher volatility (6.82%) compared to SGOV (0.05%). In terms of maximum drawdown, EZU dropped -65.32% vs SGOV's -0.03%.
On 5-year performance, EZU leads with 9.36% vs 3.53% for SGOV. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.05%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, EZU has performed better with a 9.36% return vs 3.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SGOV is cheaper with a 0.09% expense ratio, compared with 0.51% for EZU.
SGOV has the higher dividend yield at 3.86%, compared with 2.64% for EZU.
EZU is categorized as Europe Equities, while SGOV is Ultrashort Bond. EZU tracks MSCI EMU, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.51% for EZU and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 vs 1.19), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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