PGJ vs. SGOV
PGJ (Invesco Golden Dragon China ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - PGJ is a China Equities fund tracking the Halter USX 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, PGJ returned -15.22%/yr vs 3.58%/yr for SGOV. At a 0.02 correlation, their price movements are largely independent. PGJ charges 0.70%/yr vs 0.09%/yr for SGOV.
Performance
PGJ vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, PGJ achieves a -20.19% return, which is significantly lower than SGOV's 1.71% return.
PGJ
- 1D
- -0.56%
- 1M
- -8.64%
- YTD
- -20.19%
- 6M
- -21.38%
- 1Y
- -15.49%
- 3Y*
- -0.89%
- 5Y*
- -15.22%
- 10Y*
- -0.09%
SGOV
- 1D
- 0.01%
- 1M
- 0.28%
- YTD
- 1.71%
- 6M
- 1.80%
- 1Y
- 3.92%
- 3Y*
- 4.68%
- 5Y*
- 3.58%
- 10Y*
- —
PGJ vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
PGJ Invesco Golden Dragon China ETF | -20.19% | 13.66% | 5.91% | -2.38% | -24.50% | -42.87% | 53.82% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.71% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between PGJ and SGOV is -0.11, 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 | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.00 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.04 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.02 |
The correlation between PGJ 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
PGJ vs. SGOV — Risk / Return Rank
PGJ
SGOV
PGJ vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Golden Dragon China ETF (PGJ) 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.
| PGJ | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -20.96 | ||
| Sortino ratioReturn per unit of downside risk | -274.36 | ||
| Omega ratioGain probability vs. loss probability | 0.91 | 194.05 | -193.14 |
| Calmar ratioReturn relative to maximum drawdown | -0.48 | 395.07 | -395.55 |
| Martin ratioReturn relative to average drawdown | -1.04 | 4,426.92 | -4,427.96 |
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Drawdowns
PGJ vs. SGOV - Drawdown Comparison
The maximum PGJ drawdown since its inception was -78.37%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for PGJ and SGOV.
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Drawdown Indicators
| PGJ | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.37% | -0.03% | -78.34% |
Max Drawdown (1Y)Largest decline over 1 year | -32.09% | -0.01% | -32.08% |
Max Drawdown (3Y)Largest decline over 3 years | -32.09% | -0.01% | -32.08% |
Max Drawdown (5Y)Largest decline over 5 years | -70.00% | -0.03% | -69.97% |
Max Drawdown (10Y)Largest decline over 10 years | -78.37% | — | — |
Current DrawdownCurrent decline from peak | -69.57% | 0.00% | -69.57% |
Average DrawdownAverage peak-to-trough decline | -31.82% | -0.00% | -31.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 14.90% | 0.00% | +14.90% |
Volatility
PGJ vs. SGOV - Volatility Comparison
Invesco Golden Dragon China ETF (PGJ) has a higher volatility of 6.43% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.06%. This indicates that PGJ'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
| PGJ | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.43% | 0.06% | +6.37% |
Volatility (6M)Calculated over the trailing 6-month period | 17.61% | 0.13% | +17.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.43% | 0.19% | +24.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 43.76% | 0.24% | +43.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 36.71% | 0.24% | +36.47% |
PGJ vs. SGOV - Expense Ratio Comparison
PGJ has a 0.70% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
PGJ vs. SGOV - Dividend Comparison
PGJ's dividend yield for the trailing twelve months is around 3.34%, less than SGOV's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PGJ Invesco Golden Dragon China ETF | 3.34% | 3.38% | 4.70% | 2.50% | 0.84% | 0.00% | 0.30% | 0.17% | 0.31% | 2.05% | 1.94% | 0.37% |
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
PGJ 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.
PGJ has higher volatility (6.43%) compared to SGOV (0.06%). In terms of maximum drawdown, PGJ dropped -78.37% vs SGOV's -0.03%.
On 5-year performance, SGOV leads with 3.58% vs -15.22% for PGJ. On fees, SGOV is cheaper at 0.09% per year. On volatility, SGOV has been the lower-risk option at 0.06%. 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 -15.22%. 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 0.70% for PGJ.
SGOV has the higher dividend yield at 3.85%, compared with 3.34% for PGJ.
PGJ is categorized as China Equities, while SGOV is Ultrashort Bond. PGJ tracks Halter USX China Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.70% for PGJ and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.32 vs -0.64), 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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