SOFR vs. SGOV

Last updated Jun 3, 2026

SOFR (Amplify Samsung SOFR ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - SOFR is a Multisector Bonds fund tracking the Secured Overnight Financing Rate, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Both are passively managed. Over the past year, SOFR returned 3.93% vs 3.95% for SGOV. At a 0.15 correlation, their price movements are largely independent. SOFR charges 0.20%/yr vs 0.09%/yr for SGOV.

Performance

SOFR vs. SGOV - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with SOFR having a 1.45% return and SGOV slightly higher at 1.50%.

SOFR

• 1D: -0.01%
• 1M: 0.23%
• YTD: 1.45%
• 6M: 1.79%
• 1Y: 3.93%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SGOV

• 1D: 0.00%
• 1M: 0.29%
• YTD: 1.50%
• 6M: 1.80%
• 1Y: 3.95%
• 3Y*: 4.72%
• 5Y*: 3.53%
• 10Y*: —

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

SOFR vs. SGOV - Yearly Performance Comparison

	2026 (YTD)	2025	2024
SOFR Amplify Samsung SOFR ETF	1.45%	4.27%	1.20%
SGOV iShares 0-3 Month Treasury Bond ETF	1.50%	4.24%	1.24%

Correlation

The correlation between SOFR and SGOV is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.12
Correlation (All Time) Calculated using the full available price history since Sep 27, 2024	0.15

Return for Risk

SOFR vs. SGOV — Risk / Return Rank

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

SOFR

SOFR Risk / Return Rank: 97
SOFR Sharpe Ratio Rank: 97
SOFR Sortino Ratio Rank: 98
SOFR Omega Ratio Rank: 99
SOFR Calmar Ratio Rank: 96
SOFR Martin Ratio Rank: 97

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

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.

SOFR vs. SGOV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Amplify Samsung SOFR ETF (SOFR) 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.

	SOFR	SGOV	Difference
Sharpe ratio Return per unit of total volatility	4.69	20.28	-15.59
Sortino ratio Return per unit of downside risk	6.91	275.69	-268.77
Omega ratio Gain probability vs. loss probability	3.37	195.55	-192.18
Calmar ratio Return relative to maximum drawdown	9.70	399.50	-389.80
Martin ratio Return relative to average drawdown	40.33	4,485.48	-4,445.15
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SOFR vs. SGOV - Sharpe Ratio Comparison

The current SOFR Sharpe Ratio is 4.69, which is lower than the SGOV Sharpe Ratio of 20.28. The chart below compares the historical Sharpe Ratios of SOFR and SGOV, 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

	SOFR	SGOV	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	4.69	20.28	-15.59
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	14.72	—
Sharpe Ratio (All Time) Calculated using the full available price history	4.96	12.48	-7.52

Drawdowns

SOFR vs. SGOV - Drawdown Comparison

The maximum SOFR drawdown since its inception was -0.41%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for SOFR and SGOV.

Drawdown Indicators

	SOFR	SGOV	Difference
Max Drawdown Largest peak-to-trough decline	-0.41%	-0.03%	-0.38%
Max Drawdown (1Y) Largest decline over 1 year	-0.41%	-0.01%	-0.40%
Max Drawdown (3Y) Largest decline over 3 years	—	-0.01%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-0.03%	—
Current Drawdown Current decline from peak	-0.15%	0.00%	-0.15%
Average Drawdown Average peak-to-trough decline	-0.03%	-0.00%	-0.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.10%	0.00%	+0.10%

Volatility

SOFR vs. SGOV - Volatility Comparison

Amplify Samsung SOFR ETF (SOFR) has a higher volatility of 0.24% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that SOFR'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.

Volatility by Period

	SOFR	SGOV	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.24%	0.05%	+0.19%
Volatility (6M) Calculated over the trailing 6-month period	0.55%	0.13%	+0.42%
Volatility (1Y) Calculated over the trailing 1-year period	0.84%	0.20%	+0.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	0.84%	0.24%	+0.60%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	0.84%	0.24%	+0.60%

SOFR vs. SGOV - Expense Ratio Comparison

SOFR has a 0.20% expense ratio, which is higher than SGOV's 0.09% 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

SOFR vs. SGOV - Dividend Comparison

SOFR's dividend yield for the trailing twelve months is around 3.95%, more than SGOV's 3.86% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
SGOV iShares 0-3 Month Treasury Bond ETF	3.86%	4.10%	5.10%	4.87%	1.45%	0.03%	0.05%
SOFR Amplify Samsung SOFR ETF	3.95%	4.22%	1.60%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both SOFR and SGOV in my portfolio?

SOFR and SGOV have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SOFR or SGOV?

SOFR has higher volatility (0.24%) compared to SGOV (0.05%). In terms of maximum drawdown, SOFR dropped -0.41% vs SGOV's -0.03%.

Which ETF is better, SOFR or SGOV?

On 1-year performance, SGOV leads with 3.95% vs 3.93% for SOFR. 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.

Which ETF has performed better, SOFR or SGOV?

Over the 1-year period, SGOV has performed better with a 3.95% return vs 3.93%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SOFR or SGOV?

SGOV is cheaper with a 0.09% expense ratio, compared with 0.20% for SOFR.

Which ETF pays a higher dividend yield, SOFR or SGOV?

SOFR has the higher dividend yield at 3.95%, compared with 3.86% for SGOV.

What is the main difference between SOFR and SGOV?

SOFR is categorized as Multisector Bonds, while SGOV is Ultrashort Bond. SOFR tracks Secured Overnight Financing Rate, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. They also come from different issuers: Amplify and iShares. Their fees differ too: 0.20% for SOFR and 0.09% for SGOV.

Which has better risk-adjusted returns?

SGOV currently has the higher Sharpe Ratio (20.28 vs 4.69), 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.