MCHI vs. SGOV
MCHI (iShares MSCI China ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - MCHI is a China Equities fund tracking the MSCI China 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, MCHI returned -2.78%/yr vs 3.66%/yr for SGOV. Their 0.03 correlation means their historical movements had little consistent relationship. MCHI charges 0.59%/yr vs 0.09%/yr for SGOV.
Performance
MCHI vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, MCHI achieves a -6.01% return, which is significantly lower than SGOV's 2.14% return.
MCHI
- 1D
- 0.34%
- 1M
- 10.17%
- 6M
- -7.55%
- YTD
- -6.01%
- 1Y
- -0.55%
- 3Y*
- 8.08%
- 5Y*
- -2.78%
- 10Y*
- 4.06%
- ALL TIME*
- 2.52%
SGOV
- 1D
- 0.01%
- 1M
- 0.30%
- 6M
- 1.81%
- YTD
- 2.14%
- 1Y
- 3.84%
- 3Y*
- 4.62%
- 5Y*
- 3.66%
- 10Y*
- —
- ALL TIME*
- 2.96%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $131.82M | $143.06M | $173.02M | |
| $2.10B | $1.90B | $2.07B |
MCHI vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
MCHI iShares MSCI China ETF | -6.01% | 31.04% | 17.73% | -11.94% | -23.01% | -21.74% | 37.22% |
SGOV iShares 0-3 Month Treasury Bond ETF | 2.14% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between MCHI and SGOV is -0.11, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.11 |
Correlation (3Y) Balances recent behavior with more history. | 0.01 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.04 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.03 |
The correlation between MCHI and SGOV shifts across timeframes, from -0.11 (1 year) to 0.04 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
MCHI vs. SGOV — Risk / Return Rank
MCHI
SGOV
MCHI vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI China ETF (MCHI) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MCHI | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -20.75 | ||
| Sortino ratioReturn per unit of downside risk | -379.13 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 379.49 | -378.47 |
| Calmar ratioReturn relative to maximum drawdown | -0.02 | 387.22 | -387.24 |
| Martin ratioReturn relative to average drawdown | -0.05 | 6,134.73 | -6,134.78 |
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Drawdowns
MCHI vs. SGOV - Drawdown Comparison
The maximum MCHI drawdown since its inception was -62.95%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for MCHI and SGOV.
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Drawdown Indicators
| MCHI | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.95% | -0.03% | -62.92% |
Max Drawdown (1Y)Largest decline over 1 year | -23.22% | -0.01% | -23.21% |
Max Drawdown (3Y)Largest decline over 3 years | -25.35% | -0.01% | -25.34% |
Max Drawdown (5Y)Largest decline over 5 years | -51.41% | -0.03% | -51.38% |
Max Drawdown (10Y)Largest decline over 10 years | -62.95% | — | — |
Current DrawdownCurrent decline from peak | -35.91% | 0.00% | -35.91% |
Average DrawdownAverage peak-to-trough decline | -24.68% | 0.00% | -24.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.34% | 0.00% | +11.34% |
Volatility
MCHI vs. SGOV - Volatility Comparison
iShares MSCI China ETF (MCHI) has a higher volatility of 5.01% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.04%. This indicates that MCHI'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
| MCHI | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.01% | 0.04% | +4.97% |
Volatility (6M)Calculated over the trailing 6-month period | 14.41% | 0.13% | +14.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.55% | 0.19% | +20.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 30.40% | 0.24% | +30.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.35% | 0.23% | +27.12% |
MCHI vs. SGOV - Expense Ratio Comparison
MCHI has a 0.59% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
MCHI vs. SGOV - Dividend Comparison
MCHI's dividend yield for the trailing twelve months is around 1.95%, less than SGOV's 3.75% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MCHI iShares MSCI China ETF | 1.95% | 2.12% | 2.31% | 2.66% | 1.78% | 1.04% | 1.04% | 1.45% | 1.60% | 1.56% | 1.66% | 2.76% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.75% | 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
MCHI and SGOV have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MCHI has higher volatility (5.01%) compared to SGOV (0.04%). In terms of maximum drawdown, MCHI dropped -62.95% vs SGOV's -0.03%.
On 5-year performance, SGOV leads with 3.66% vs -2.78% for MCHI. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.04%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, SGOV has performed better with a 3.66% return vs -2.78%. 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 0.59% for MCHI.
SGOV has the higher dividend yield at 3.75%, compared with 1.95% for MCHI.
MCHI is categorized as China Equities, while SGOV is Ultrashort Bond. MCHI tracks MSCI China Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.59% for MCHI and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.72 vs -0.03), 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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