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 -7.48%/yr vs 3.58%/yr for SGOV. At a 0.03 correlation, their price movements are largely independent. 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 -14.90% return, which is significantly lower than SGOV's 1.73% return.
MCHI
- 1D
- -1.26%
- 1M
- -8.88%
- YTD
- -14.90%
- 6M
- -15.66%
- 1Y
- -6.82%
- 3Y*
- 7.30%
- 5Y*
- -7.48%
- 10Y*
- 4.19%
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.73%
- 6M
- 1.80%
- 1Y
- 3.92%
- 3Y*
- 4.69%
- 5Y*
- 3.58%
- 10Y*
- —
MCHI vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
MCHI iShares MSCI China ETF | -14.90% | 31.04% | 17.73% | -11.94% | -23.01% | -21.74% | 37.22% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.73% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between MCHI and SGOV is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.05 |
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 -0.07 (1 year) to 0.05 (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 | -20.66 | ||
| Sortino ratioReturn per unit of downside risk | -273.91 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 194.05 | -193.09 |
| Calmar ratioReturn relative to maximum drawdown | -0.30 | 395.07 | -395.37 |
| Martin ratioReturn relative to average drawdown | -0.72 | 4,426.92 | -4,427.64 |
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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 | -22.76% | -0.01% | -22.75% |
Max Drawdown (3Y)Largest decline over 3 years | -25.85% | -0.01% | -25.84% |
Max Drawdown (5Y)Largest decline over 5 years | -56.98% | -0.03% | -56.95% |
Max Drawdown (10Y)Largest decline over 10 years | -62.95% | — | — |
Current DrawdownCurrent decline from peak | -41.97% | 0.00% | -41.97% |
Average DrawdownAverage peak-to-trough decline | -24.57% | -0.00% | -24.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.49% | 0.00% | +9.49% |
Volatility
MCHI vs. SGOV - Volatility Comparison
iShares MSCI China ETF (MCHI) has a higher volatility of 6.05% 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 | 6.05% | 0.04% | +6.01% |
Volatility (6M)Calculated over the trailing 6-month period | 14.90% | 0.12% | +14.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.15% | 0.19% | +19.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 30.74% | 0.24% | +30.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.34% | 0.24% | +27.10% |
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 2.16%, less than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MCHI iShares MSCI China ETF | 2.16% | 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 | 3.85% | 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 -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MCHI has higher volatility (6.05%) 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 3.58% vs -7.48% 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 3.58% return vs -7.48%. 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 3.85%, compared with 2.16% 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 (20.32 vs -0.34), 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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