IEUR vs. SGOV
IEUR (iShares Core MSCI Europe ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - IEUR is a Europe Equities fund tracking the MSCI Europe Investable Market Index, 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, IEUR returned 8.03%/yr vs 3.54%/yr for SGOV. At a correlation of -0.02, they often move in opposite directions. Both charge a 0.09% expense ratio.
Performance
IEUR vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, IEUR achieves a 5.64% return, which is significantly higher than SGOV's 1.51% return.
IEUR
- 1D
- -1.20%
- 1M
- 2.77%
- YTD
- 5.64%
- 6M
- 8.52%
- 1Y
- 17.47%
- 3Y*
- 16.09%
- 5Y*
- 8.03%
- 10Y*
- 9.15%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.51%
- 6M
- 1.80%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.54%
- 10Y*
- —
IEUR vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
IEUR iShares Core MSCI Europe ETF | 5.64% | 35.67% | 1.40% | 19.71% | -15.90% | 16.71% | 25.82% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.51% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.05% |
Correlation
The correlation between IEUR and SGOV is -0.12, 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 | -0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.00 |
Correlation (All Time) Calculated using the full available price history since May 29, 2020 | -0.02 |
The correlation between IEUR and SGOV shifts across timeframes, from -0.12 (1 year) to -0.00 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
IEUR vs. SGOV — Risk / Return Rank
IEUR
SGOV
IEUR vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI Europe ETF (IEUR) 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.
| IEUR | SGOV | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.15 | 20.28 | -19.13 |
Sortino ratioReturn per unit of downside risk | 1.69 | 275.69 | -274.00 |
Omega ratioGain probability vs. loss probability | 1.21 | 195.55 | -194.35 |
Calmar ratioReturn relative to maximum drawdown | 1.46 | 398.20 | -396.74 |
Martin ratioReturn relative to average drawdown | 5.47 | 4,462.00 | -4,456.53 |
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
| IEUR | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.15 | 20.28 | -19.13 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.46 | 14.73 | -14.28 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.49 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.35 | 12.48 | -12.14 |
Drawdowns
IEUR vs. SGOV - Drawdown Comparison
The maximum IEUR drawdown since its inception was -36.96%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for IEUR and SGOV.
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Drawdown Indicators
| IEUR | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.96% | -0.03% | -36.93% |
Max Drawdown (1Y)Largest decline over 1 year | -12.04% | -0.01% | -12.03% |
Max Drawdown (3Y)Largest decline over 3 years | -14.25% | -0.01% | -14.24% |
Max Drawdown (5Y)Largest decline over 5 years | -32.75% | -0.03% | -32.72% |
Max Drawdown (10Y)Largest decline over 10 years | -36.96% | — | — |
Current DrawdownCurrent decline from peak | -2.31% | 0.00% | -2.31% |
Average DrawdownAverage peak-to-trough decline | -8.23% | -0.00% | -8.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.20% | 0.00% | +3.20% |
Volatility
IEUR vs. SGOV - Volatility Comparison
iShares Core MSCI Europe ETF (IEUR) has a higher volatility of 5.60% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that IEUR'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
| IEUR | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.60% | 0.05% | +5.55% |
Volatility (6M)Calculated over the trailing 6-month period | 12.75% | 0.13% | +12.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.32% | 0.20% | +15.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.73% | 0.24% | +17.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.68% | 0.24% | +18.44% |
IEUR vs. SGOV - Expense Ratio Comparison
Both IEUR and SGOV have an expense ratio of 0.09%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Dividends
IEUR vs. SGOV - Dividend Comparison
IEUR's dividend yield for the trailing twelve months is around 2.81%, less than SGOV's 3.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IEUR iShares Core MSCI Europe ETF | 2.81% | 2.97% | 3.54% | 3.17% | 3.05% | 2.88% | 2.13% | 3.26% | 3.76% | 2.64% | 3.19% | 2.79% |
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
IEUR and SGOV have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IEUR has higher volatility (5.60%) compared to SGOV (0.05%). In terms of maximum drawdown, IEUR dropped -36.96% vs SGOV's -0.03%.
On 5-year performance, IEUR leads with 8.03% vs 3.54% for SGOV. Both ETFs have the same 0.09% expense ratio. 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, IEUR has performed better with a 8.03% return vs 3.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IEUR and SGOV have the same expense ratio: 0.09% per year.
SGOV has the higher dividend yield at 3.86%, compared with 2.81% for IEUR.
IEUR is categorized as Europe Equities, while SGOV is Ultrashort Bond. IEUR tracks MSCI Europe Investable Market Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index.
SGOV currently has the higher Sharpe Ratio (20.28 vs 1.15), 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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