SGOV vs. IEFA
SGOV (iShares 0-3 Month Treasury Bond ETF) and IEFA (iShares Core MSCI EAFE ETF) are both exchange-traded funds - SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index, while IEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE IMI Index (Net). Both are passively managed. Over the past 5 years, SGOV returned 3.56%/yr vs 8.10%/yr for IEFA. At a correlation of -0.03, they often move in opposite directions. SGOV charges 0.09%/yr vs 0.07%/yr for IEFA.
Performance
SGOV vs. IEFA - Performance Comparison
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Returns By Period
In the year-to-date period, SGOV achieves a 1.61% return, which is significantly lower than IEFA's 9.51% return.
SGOV
- 1D
- 0.02%
- 1M
- 0.30%
- YTD
- 1.61%
- 6M
- 1.78%
- 1Y
- 3.95%
- 3Y*
- 4.71%
- 5Y*
- 3.56%
- 10Y*
- —
IEFA
- 1D
- 0.18%
- 1M
- 0.85%
- YTD
- 9.51%
- 6M
- 11.08%
- 1Y
- 20.89%
- 3Y*
- 16.31%
- 5Y*
- 8.10%
- 10Y*
- 9.90%
SGOV vs. IEFA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SGOV iShares 0-3 Month Treasury Bond ETF | 1.61% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
IEFA iShares Core MSCI EAFE ETF | 9.51% | 32.08% | 3.26% | 17.95% | -15.24% | 11.63% | 26.71% |
Correlation
The correlation between SGOV and IEFA is -0.13, 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 | -0.13 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.05 |
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 | -0.03 |
The correlation between SGOV and IEFA shifts across timeframes, from -0.13 (1 year) to -0.01 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
SGOV vs. IEFA — Risk / Return Rank
SGOV
IEFA
SGOV vs. IEFA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares 0-3 Month Treasury Bond ETF (SGOV) and iShares Core MSCI EAFE ETF (IEFA). 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 | IEFA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +18.93 | ||
| Sortino ratioReturn per unit of downside risk | +273.72 | ||
| Omega ratioGain probability vs. loss probability | 195.55 | 1.25 | +194.30 |
| Calmar ratioReturn relative to maximum drawdown | 398.20 | 1.83 | +396.37 |
| Martin ratioReturn relative to average drawdown | 4,461.98 | 6.93 | +4,455.04 |
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Drawdowns
SGOV vs. IEFA - Drawdown Comparison
The maximum SGOV drawdown since its inception was -0.03%, smaller than the maximum IEFA drawdown of -34.78%. Use the drawdown chart below to compare losses from any high point for SGOV and IEFA.
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Drawdown Indicators
| SGOV | IEFA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -0.03% | -34.78% | +34.75% |
Max Drawdown (1Y)Largest decline over 1 year | -0.01% | -11.50% | +11.49% |
Max Drawdown (3Y)Largest decline over 3 years | -0.01% | -13.76% | +13.75% |
Max Drawdown (5Y)Largest decline over 5 years | -0.03% | -30.41% | +30.38% |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.78% | — |
Current DrawdownCurrent decline from peak | 0.00% | -0.60% | +0.60% |
Average DrawdownAverage peak-to-trough decline | -0.00% | -6.68% | +6.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.00% | 3.03% | -3.03% |
Volatility
SGOV vs. IEFA - Volatility Comparison
The current volatility for iShares 0-3 Month Treasury Bond ETF (SGOV) is 0.05%, while iShares Core MSCI EAFE ETF (IEFA) has a volatility of 5.50%. This indicates that SGOV experiences smaller price fluctuations and is considered to be less risky than IEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SGOV | IEFA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.05% | 5.50% | -5.45% |
Volatility (6M)Calculated over the trailing 6-month period | 0.13% | 13.11% | -12.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 0.20% | 15.54% | -15.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 0.24% | 16.61% | -16.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 0.24% | 17.31% | -17.07% |
SGOV vs. IEFA - Expense Ratio Comparison
SGOV has a 0.09% expense ratio, which is higher than IEFA's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
SGOV vs. IEFA - Dividend Comparison
SGOV's dividend yield for the trailing twelve months is around 3.85%, more than IEFA's 3.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IEFA iShares Core MSCI EAFE ETF | 3.24% | 3.55% | 3.47% | 3.20% | 2.70% | 3.32% | 1.90% | 3.18% | 3.46% | 2.57% | 2.96% | 2.63% |
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
SGOV and IEFA have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IEFA has higher volatility (5.50%) compared to SGOV (0.05%). In terms of maximum drawdown, SGOV dropped -0.03% vs IEFA's -34.78%.
On 5-year performance, IEFA leads with 8.10% vs 3.56% for SGOV. On fees, IEFA is cheaper at 0.07% 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, IEFA has performed better with a 8.10% return vs 3.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IEFA is cheaper with a 0.07% expense ratio, compared with 0.09% for SGOV.
SGOV has the higher dividend yield at 3.85%, compared with 3.24% for IEFA.
SGOV is categorized as Ultrashort Bond, while IEFA is Foreign Large Cap Equities. SGOV tracks ICE 0-3 Month US Treasury Securities Index, while IEFA tracks MSCI EAFE IMI Index (Net). Their fees differ too: 0.09% for SGOV and 0.07% for IEFA.
SGOV currently has the higher Sharpe Ratio (20.28 vs 1.35), 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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