SHRIX vs. SGOV
SHRIX (Stone Ridge High Yield Reinsurance Risk Premium Fund Class I) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both funds - SHRIX is a Multistrategy fund actively managed by Stone Ridge, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. SHRIX is actively managed, while SGOV is passively managed. Over the past 5 years, SHRIX returned 9.20%/yr vs 3.64%/yr for SGOV. Their 0.14 correlation means their historical movements had little consistent relationship. SHRIX charges 1.76%/yr vs 0.09%/yr for SGOV.
Performance
SHRIX vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, SHRIX achieves a 2.85% return, which is significantly higher than SGOV's 2.04% return.
SHRIX
- 1D
- 0.00%
- 1M
- 0.81%
- 6M
- 2.27%
- YTD
- 2.85%
- 1Y
- 11.55%
- 3Y*
- 12.87%
- 5Y*
- 9.20%
- 10Y*
- —
- ALL TIME*
- 5.88%
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%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.66B | $1.89B | $2.03B | |
| $0.00 | $0.00 | $0.00 |
SHRIX vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SHRIX Stone Ridge High Yield Reinsurance Risk Premium Fund Class I | 2.85% | 10.70% | 16.73% | 21.07% | -3.37% | 1.88% | 6.49% |
SGOV iShares 0-3 Month Treasury Bond ETF | 2.04% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between SHRIX and SGOV 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. | 0.03 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.10 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.14 |
The correlation between SHRIX and SGOV shifts across timeframes, from 0.03 (3 years) to 0.14 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SHRIX vs. SGOV — Risk / Return Rank
SHRIX
SGOV
SHRIX vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Stone Ridge High Yield Reinsurance Risk Premium Fund Class I (SHRIX) 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.
| SHRIX | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -15.69 | ||
| Sortino ratioReturn per unit of downside risk | -377.00 | ||
| Omega ratioGain probability vs. loss probability | 4.85 | 383.06 | -378.21 |
| Calmar ratioReturn relative to maximum drawdown | 6.33 | 390.94 | -384.62 |
| Martin ratioReturn relative to average drawdown | 21.97 | 6,193.70 | -6,171.72 |
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Drawdowns
SHRIX vs. SGOV - Drawdown Comparison
The maximum SHRIX drawdown since its inception was -14.34%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for SHRIX and SGOV.
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Drawdown Indicators
| SHRIX | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.34% | -0.03% | -14.31% |
Max Drawdown (1Y)Largest decline over 1 year | -1.87% | -0.01% | -1.86% |
Max Drawdown (3Y)Largest decline over 3 years | -6.91% | -0.01% | -6.90% |
Max Drawdown (5Y)Largest decline over 5 years | -12.69% | -0.03% | -12.66% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -2.03% | 0.00% | -2.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.54% | 0.00% | +0.54% |
Volatility
SHRIX vs. SGOV - Volatility Comparison
Stone Ridge High Yield Reinsurance Risk Premium Fund Class I (SHRIX) has a higher volatility of 0.25% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that SHRIX'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
| SHRIX | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.25% | 0.05% | +0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 2.02% | 0.13% | +1.89% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.36% | 0.19% | +2.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.27% | 0.24% | +6.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.24% | 0.24% | +6.00% |
SHRIX vs. SGOV - Expense Ratio Comparison
SHRIX has a 1.76% expense ratio, which is higher than SGOV's 0.09% expense ratio.
Dividends
SHRIX vs. SGOV - Dividend Comparison
SHRIX's dividend yield for the trailing twelve months is around 11.13%, more than SGOV's 3.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
SHRIX Stone Ridge High Yield Reinsurance Risk Premium Fund Class I | 11.13% | 10.92% | 14.34% | 12.34% | 3.89% | 4.61% | 6.34% | 5.06% | 5.09% | 0.35% |
Frequently Asked Questions
SHRIX and SGOV 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.
SHRIX has higher volatility (0.25%) compared to SGOV (0.05%). In terms of maximum drawdown, SHRIX dropped -14.34% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.72 vs 5.03), 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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