SGOV vs. NRG

Last updated Jun 9, 2026

SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index, while NRG (NRG Energy, Inc.) is a stock. Over the past 5 years, SGOV returned 3.55%/yr vs 31.87%/yr for NRG. At a correlation of -0.01, they often move in opposite directions.

Performance

SGOV vs. NRG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares 0-3 Month Treasury Bond ETF (SGOV) and NRG Energy, Inc. (NRG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SGOV achieves a 1.56% return, which is significantly higher than NRG's -19.30% return.

SGOV

• 1D: 0.01%
• 1M: 0.28%
• YTD: 1.56%
• 6M: 1.80%
• 1Y: 3.95%
• 3Y*: 4.70%
• 5Y*: 3.55%
• 10Y*: —

NRG

• 1D: -1.15%
• 1M: -7.53%
• YTD: -19.30%
• 6M: -21.70%
• 1Y: -17.17%
• 3Y*: 58.56%
• 5Y*: 31.87%
• 10Y*: 26.54%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SGOV vs. NRG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SGOV iShares 0-3 Month Treasury Bond ETF	1.56%	4.24%	5.27%	5.12%	1.58%	0.04%	0.04%
NRG NRG Energy, Inc.	-19.30%	78.91%	78.58%	69.36%	-23.47%	18.54%	6.34%

Correlation

The correlation between SGOV and NRG is -0.14, 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	-0.14
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 SGOV and NRG shifts across timeframes, from -0.14 (1 year) to 0.00 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

SGOV vs. NRG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SGOV

SGOV Risk / Return Rank: 100
SGOV Sharpe Ratio Rank: 100
SGOV Sortino Ratio Rank: 100
SGOV Omega Ratio Rank: 100
SGOV Calmar Ratio Rank: 100
SGOV Martin Ratio Rank: 100

NRG

NRG Risk / Return Rank: 22
NRG Sharpe Ratio Rank: 25
NRG Sortino Ratio Rank: 25
NRG Omega Ratio Rank: 25
NRG Calmar Ratio Rank: 24
NRG Martin Ratio Rank: 11

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SGOV vs. NRG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 0-3 Month Treasury Bond ETF (SGOV) and NRG Energy, Inc. (NRG). 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.

	SGOV	NRG	Difference
Sharpe ratio: Return per unit of total volatility	20.28	-0.39	+20.67
Sortino ratio: Return per unit of downside risk	275.69	-0.27	+275.96
Omega ratio: Gain probability vs. loss probability	195.55	0.97	+194.59
Calmar ratio: Return relative to maximum drawdown	398.20	-0.53	+398.73
Martin ratio: Return relative to average drawdown	4,461.99	-1.31	+4,463.30
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SGOV vs. NRG - Sharpe Ratio Comparison

The current SGOV Sharpe Ratio is 20.28, which is higher than the NRG Sharpe Ratio of -0.39. The chart below compares the historical Sharpe Ratios of SGOV and NRG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	SGOV	NRG	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	20.28	-0.39	+20.67
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	14.78	0.80	+13.98
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.68	—
Sharpe Ratio (All Time) Calculated using the full available price history	12.50	0.35	+12.15

Drawdowns

SGOV vs. NRG - Drawdown Comparison

The maximum SGOV drawdown since its inception was -0.03%, smaller than the maximum NRG drawdown of -79.41%. Use the drawdown chart below to compare losses from any high point for SGOV and NRG.

Drawdown Indicators

	SGOV	NRG	Difference
Max Drawdown Largest peak-to-trough decline	-0.03%	-79.41%	+79.38%
Max Drawdown (1Y) Largest decline over 1 year	-0.01%	-32.57%	+32.56%
Max Drawdown (3Y) Largest decline over 3 years	-0.01%	-32.57%	+32.56%
Max Drawdown (5Y) Largest decline over 5 years	-0.03%	-32.62%	+32.59%
Max Drawdown (10Y) Largest decline over 10 years	—	-48.76%	—
Current Drawdown Current decline from peak	0.00%	-30.39%	+30.39%
Average Drawdown Average peak-to-trough decline	-0.00%	-28.00%	+28.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.00%	13.14%	-13.14%

Volatility

SGOV vs. NRG - Volatility Comparison

The current volatility for iShares 0-3 Month Treasury Bond ETF (SGOV) is 0.06%, while NRG Energy, Inc. (NRG) has a volatility of 13.75%. This indicates that SGOV experiences smaller price fluctuations and is considered to be less risky than NRG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SGOV	NRG	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.06%	13.75%	-13.69%
Volatility (6M) Calculated over the trailing 6-month period	0.13%	34.40%	-34.27%
Volatility (1Y) Calculated over the trailing 1-year period	0.20%	44.45%	-44.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	0.24%	39.91%	-39.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	0.24%	39.24%	-39.00%

Dividends

SGOV vs. NRG - Dividend Comparison

SGOV's dividend yield for the trailing twelve months is around 3.85%, more than NRG's 1.43% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NRG NRG Energy, Inc.	1.43%	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	3.85%	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

Can I hold both SGOV and NRG in my portfolio?

SGOV and NRG have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SGOV or NRG?

NRG has higher volatility (13.75%) compared to SGOV (0.06%). In terms of maximum drawdown, SGOV dropped -0.03% vs NRG's -79.41%.

Which has better risk-adjusted returns?

SGOV currently has the higher Sharpe Ratio (20.28 vs -0.39), 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.