NRG vs. SGOV
NRG (NRG Energy, Inc.) is a stock, while SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, NRG returned 31.54%/yr vs 3.62%/yr for SGOV. At a correlation of -0.01, they often move in opposite directions.
Performance
NRG vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, NRG achieves a -12.57% return, which is significantly lower than SGOV's 1.92% return.
NRG
- 1D
- -0.80%
- 1M
- 10.27%
- 6M
- -7.55%
- YTD
- -12.57%
- 1Y
- -7.36%
- 3Y*
- 59.24%
- 5Y*
- 31.54%
- 10Y*
- 27.08%
SGOV
- 1D
- 0.00%
- 1M
- 0.30%
- 6M
- 1.79%
- YTD
- 1.92%
- 1Y
- 3.88%
- 3Y*
- 4.66%
- 5Y*
- 3.62%
- 10Y*
- —
NRG vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
NRG NRG Energy, Inc. | -12.57% | 78.91% | 78.58% | 69.36% | -23.47% | 18.54% | 6.34% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.92% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between NRG and SGOV is -0.16, 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 | -0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.00 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.01 |
The correlation between NRG and SGOV shifts across timeframes, from -0.16 (1 year) to 0.00 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
NRG vs. SGOV — Risk / Return Rank
NRG
SGOV
NRG vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NRG Energy, Inc. (NRG) 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.
| NRG | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -21.00 | ||
| Sortino ratioReturn per unit of downside risk | -383.74 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 384.06 | -383.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.22 | 391.99 | -392.20 |
| Martin ratioReturn relative to average drawdown | -0.48 | 6,210.22 | -6,210.71 |
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Drawdowns
NRG vs. SGOV - Drawdown Comparison
The maximum NRG drawdown since its inception was -79.41%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for NRG and SGOV.
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Drawdown Indicators
| NRG | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -79.41% | -0.03% | -79.38% |
Max Drawdown (1Y)Largest decline over 1 year | -34.24% | -0.01% | -34.23% |
Max Drawdown (3Y)Largest decline over 3 years | -34.24% | -0.01% | -34.23% |
Max Drawdown (5Y)Largest decline over 5 years | -34.24% | -0.03% | -34.21% |
Max Drawdown (10Y)Largest decline over 10 years | -48.76% | — | — |
Current DrawdownCurrent decline from peak | -24.59% | 0.00% | -24.59% |
Average DrawdownAverage peak-to-trough decline | -27.98% | -0.00% | -27.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 15.22% | 0.00% | +15.22% |
Volatility
NRG vs. SGOV - Volatility Comparison
NRG Energy, Inc. (NRG) has a higher volatility of 10.10% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that NRG'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
| NRG | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.10% | 0.05% | +10.05% |
Volatility (6M)Calculated over the trailing 6-month period | 33.70% | 0.13% | +33.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 45.21% | 0.19% | +45.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 40.00% | 0.24% | +39.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 39.07% | 0.24% | +38.83% |
Dividends
NRG vs. SGOV - Dividend Comparison
NRG's dividend yield for the trailing twelve months is around 1.32%, less than SGOV's 3.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
NRG NRG Energy, Inc. | 1.32% | 1.11% | 1.81% | 2.92% | 4.40% | 3.02% | 3.20% | 0.30% | 0.30% | 0.42% | 1.92% | 4.93% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.80% | 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
NRG and SGOV have a correlation of -0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NRG has higher volatility (10.10%) compared to SGOV (0.05%). In terms of maximum drawdown, NRG dropped -79.41% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.83 vs -0.16), 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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