IEFA vs. SGOV
IEFA (iShares Core MSCI EAFE ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - IEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE IMI Index (Net), 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, IEFA returned 8.23%/yr vs 3.54%/yr for SGOV. At a correlation of -0.03, they often move in opposite directions. IEFA charges 0.07%/yr vs 0.09%/yr for SGOV.
Performance
IEFA vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, IEFA achieves a 9.67% return, which is significantly higher than SGOV's 1.52% return.
IEFA
- 1D
- 0.75%
- 1M
- 2.81%
- YTD
- 9.67%
- 6M
- 12.00%
- 1Y
- 22.30%
- 3Y*
- 17.24%
- 5Y*
- 8.23%
- 10Y*
- 9.25%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.52%
- 6M
- 1.79%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.54%
- 10Y*
- —
IEFA vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
IEFA iShares Core MSCI EAFE ETF | 9.67% | 32.08% | 3.26% | 17.95% | -15.24% | 11.63% | 25.54% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.52% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.05% |
Correlation
The correlation between IEFA and SGOV is -0.13, 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 | -0.13 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
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 | -0.03 |
The correlation between IEFA and SGOV shifts across timeframes, from -0.13 (1 year) to -0.01 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
IEFA vs. SGOV — Risk / Return Rank
IEFA
SGOV
IEFA vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI EAFE ETF (IEFA) 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.
| IEFA | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.78 | ||
| Sortino ratioReturn per unit of downside risk | -273.52 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 195.55 | -194.28 |
| Calmar ratioReturn relative to maximum drawdown | 1.95 | 398.20 | -396.25 |
| Martin ratioReturn relative to average drawdown | 7.43 | 4,462.00 | -4,454.56 |
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
| IEFA | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.50 | 20.28 | -18.78 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.50 | 14.74 | -14.23 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.54 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.51 | 12.49 | -11.97 |
Drawdowns
IEFA vs. SGOV - Drawdown Comparison
The maximum IEFA drawdown since its inception was -34.78%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for IEFA and SGOV.
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Drawdown Indicators
| IEFA | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.78% | -0.03% | -34.75% |
Max Drawdown (1Y)Largest decline over 1 year | -11.50% | -0.01% | -11.49% |
Max Drawdown (3Y)Largest decline over 3 years | -13.76% | -0.01% | -13.75% |
Max Drawdown (5Y)Largest decline over 5 years | -30.41% | -0.03% | -30.38% |
Max Drawdown (10Y)Largest decline over 10 years | -34.78% | — | — |
Current DrawdownCurrent decline from peak | -0.46% | 0.00% | -0.46% |
Average DrawdownAverage peak-to-trough decline | -6.69% | -0.00% | -6.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.01% | 0.00% | +3.01% |
Volatility
IEFA vs. SGOV - Volatility Comparison
iShares Core MSCI EAFE ETF (IEFA) has a higher volatility of 4.75% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that IEFA'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
| IEFA | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.75% | 0.05% | +4.70% |
Volatility (6M)Calculated over the trailing 6-month period | 12.44% | 0.13% | +12.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.94% | 0.20% | +14.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.50% | 0.24% | +16.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.29% | 0.24% | +17.05% |
IEFA vs. SGOV - Expense Ratio Comparison
IEFA has a 0.07% expense ratio, which is lower than SGOV's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
IEFA vs. SGOV - Dividend Comparison
IEFA's dividend yield for the trailing twelve months is around 3.24%, less than SGOV's 3.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IEFA iShares Core MSCI EAFE ETF | 3.24% | 3.55% | 3.47% | 3.20% | 2.70% | 3.32% | 1.90% | 3.18% | 3.46% | 2.57% | 2.96% | 2.63% |
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
IEFA and SGOV have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IEFA has higher volatility (4.75%) compared to SGOV (0.05%). In terms of maximum drawdown, IEFA dropped -34.78% vs SGOV's -0.03%.
On 5-year performance, IEFA leads with 8.23% vs 3.54% for SGOV. On fees, IEFA is cheaper at 0.07% 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, IEFA has performed better with a 8.23% return vs 3.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IEFA is cheaper with a 0.07% expense ratio, compared with 0.09% for SGOV.
SGOV has the higher dividend yield at 3.86%, compared with 3.24% for IEFA.
IEFA is categorized as Foreign Large Cap Equities, while SGOV is Ultrashort Bond. IEFA tracks MSCI EAFE IMI Index (Net), while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.07% for IEFA and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 vs 1.50), 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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