SGOV vs. FXF
SGOV (iShares 0-3 Month Treasury Bond ETF) and FXF (Invesco CurrencyShares® Swiss Franc Trust) are both exchange-traded funds - SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index, while FXF is a Currency fund tracking the Swiss Franc. Both are passively managed. Over the past 5 years, SGOV returned 3.64%/yr vs 1.83%/yr for FXF. Their 0.01 correlation means their historical movements had little consistent relationship. SGOV charges 0.09%/yr vs 0.40%/yr for FXF.
Performance
SGOV vs. FXF - Performance Comparison
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Returns By Period
In the year-to-date period, SGOV achieves a 2.04% return, which is significantly higher than FXF's -3.50% return.
SGOV
- 1D
- 0.03%
- 1M
- 0.30%
- 6M
- 1.80%
- YTD
- 2.04%
- 1Y
- 3.85%
- 3Y*
- 4.65%
- 5Y*
- 3.64%
- 10Y*
- —
- ALL TIME*
- 2.96%
FXF
- 1D
- -0.17%
- 1M
- -1.09%
- 6M
- -4.81%
- YTD
- -3.50%
- 1Y
- -3.38%
- 3Y*
- 1.52%
- 5Y*
- 1.83%
- 10Y*
- 1.08%
- ALL TIME*
- 1.60%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $2.99M | $3.23M | $5.41M | |
| $1.66B | $1.89B | $2.03B |
SGOV vs. FXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SGOV iShares 0-3 Month Treasury Bond ETF | 2.04% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
FXF Invesco CurrencyShares® Swiss Franc Trust | -3.50% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.68% |
Correlation
The correlation between SGOV and FXF is 0.04, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.04 |
Correlation (3Y) Balances recent behavior with more history. | 0.02 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.02 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.01 |
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Return for Risk
SGOV vs. FXF — Risk / Return Rank
SGOV
FXF
SGOV vs. FXF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares 0-3 Month Treasury Bond ETF (SGOV) and Invesco CurrencyShares® Swiss Franc Trust (FXF). 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.
| SGOV | FXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +21.18 | ||
| Sortino ratioReturn per unit of downside risk | +383.46 | ||
| Omega ratioGain probability vs. loss probability | 383.06 | 0.93 | +382.13 |
| Calmar ratioReturn relative to maximum drawdown | 390.94 | -0.48 | +391.42 |
| Martin ratioReturn relative to average drawdown | 6,193.70 | -1.15 | +6,194.85 |
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Drawdowns
SGOV vs. FXF - Drawdown Comparison
The maximum SGOV drawdown since its inception was -0.03%, smaller than the maximum FXF drawdown of -35.58%. Use the drawdown chart below to compare losses from any high point for SGOV and FXF.
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Drawdown Indicators
| SGOV | FXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -0.03% | -35.58% | +35.55% |
Max Drawdown (1Y)Largest decline over 1 year | -0.01% | -7.15% | +7.14% |
Max Drawdown (3Y)Largest decline over 3 years | -0.01% | -8.52% | +8.51% |
Max Drawdown (5Y)Largest decline over 5 years | -0.03% | -11.99% | +11.96% |
Max Drawdown (10Y)Largest decline over 10 years | — | -15.04% | — |
Current DrawdownCurrent decline from peak | 0.00% | -21.23% | +21.23% |
Average DrawdownAverage peak-to-trough decline | 0.00% | -20.83% | +20.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.00% | 2.98% | -2.98% |
Volatility
SGOV vs. FXF - Volatility Comparison
The current volatility for iShares 0-3 Month Treasury Bond ETF (SGOV) is 0.05%, while Invesco CurrencyShares® Swiss Franc Trust (FXF) has a volatility of 1.75%. This indicates that SGOV experiences smaller price fluctuations and is considered to be less risky than FXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SGOV | FXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.05% | 1.75% | -1.70% |
Volatility (6M)Calculated over the trailing 6-month period | 0.13% | 5.46% | -5.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 0.19% | 7.39% | -7.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 0.24% | 8.31% | -8.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 0.24% | 7.57% | -7.33% |
SGOV vs. FXF - Expense Ratio Comparison
SGOV has a 0.09% expense ratio, which is lower than FXF's 0.40% expense ratio.
Dividends
SGOV vs. FXF - Dividend Comparison
SGOV's dividend yield for the trailing twelve months is around 3.80%, while FXF has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% | 0.00% | 0.00% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.80% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% |
Frequently Asked Questions
SGOV and FXF have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXF has higher volatility (1.75%) compared to SGOV (0.05%). In terms of maximum drawdown, SGOV dropped -0.03% vs FXF's -35.58%.
On 5-year performance, SGOV leads with 3.64% vs 1.83% for FXF. On fees, SGOV is cheaper at 0.09% per year. 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, SGOV has performed better with a 3.64% return vs 1.83%. 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 0.40% for FXF.
SGOV has the higher dividend yield at 3.80%, compared with 0.00% for FXF.
SGOV is categorized as Ultrashort Bond, while FXF is Currency. SGOV tracks ICE 0-3 Month US Treasury Securities Index, while FXF tracks Swiss Franc. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.09% for SGOV and 0.40% for FXF.
SGOV currently has the higher Sharpe Ratio (20.72 vs -0.47), 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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