XJR vs. SGOV
XJR (iShares ESG Screened S&P Small-Cap ETF) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both exchange-traded funds - XJR is a Small Cap Blend Equities fund tracking the S&P SmallCap 600 Sustainability Screened Index, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Both are passively managed. Over the past 5 years, XJR returned 5.38%/yr vs 3.54%/yr for SGOV. At a correlation of -0.04, they often move in opposite directions. XJR charges 0.12%/yr vs 0.09%/yr for SGOV.
Performance
XJR vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, XJR achieves a 14.91% return, which is significantly higher than SGOV's 1.51% return.
XJR
- 1D
- -0.96%
- 1M
- 2.16%
- YTD
- 14.91%
- 6M
- 13.91%
- 1Y
- 28.36%
- 3Y*
- 14.13%
- 5Y*
- 5.38%
- 10Y*
- —
SGOV
- 1D
- 0.01%
- 1M
- 0.29%
- YTD
- 1.51%
- 6M
- 1.80%
- 1Y
- 3.95%
- 3Y*
- 4.72%
- 5Y*
- 3.54%
- 10Y*
- —
XJR vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
XJR iShares ESG Screened S&P Small-Cap ETF | 14.91% | 4.73% | 9.59% | 16.39% | -17.30% | 24.96% | 35.61% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.51% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.02% |
Correlation
The correlation between XJR and SGOV is -0.11, 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 | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.03 |
Correlation (All Time) Calculated using the full available price history since Sep 25, 2020 | -0.04 |
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Return for Risk
XJR vs. SGOV — Risk / Return Rank
XJR
SGOV
XJR vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Screened S&P Small-Cap ETF (XJR) 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.
| XJR | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -18.68 | ||
| Sortino ratioReturn per unit of downside risk | -273.33 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 195.55 | -194.27 |
| Calmar ratioReturn relative to maximum drawdown | 3.02 | 398.20 | -395.18 |
| Martin ratioReturn relative to average drawdown | 9.70 | 4,462.00 | -4,452.30 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| XJR | SGOV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.60 | 20.28 | -18.68 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.25 | 14.73 | -14.48 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.67 | 12.48 | -11.82 |
Drawdowns
XJR vs. SGOV - Drawdown Comparison
The maximum XJR drawdown since its inception was -27.14%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for XJR and SGOV.
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Drawdown Indicators
| XJR | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.14% | -0.03% | -27.11% |
Max Drawdown (1Y)Largest decline over 1 year | -9.43% | -0.01% | -9.42% |
Max Drawdown (3Y)Largest decline over 3 years | -27.14% | -0.01% | -27.13% |
Max Drawdown (5Y)Largest decline over 5 years | -27.14% | -0.03% | -27.11% |
Current DrawdownCurrent decline from peak | -0.96% | 0.00% | -0.96% |
Average DrawdownAverage peak-to-trough decline | -9.48% | -0.00% | -9.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.93% | 0.00% | +2.93% |
Volatility
XJR vs. SGOV - Volatility Comparison
iShares ESG Screened S&P Small-Cap ETF (XJR) has a higher volatility of 4.77% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that XJR'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
| XJR | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.77% | 0.05% | +4.72% |
Volatility (6M)Calculated over the trailing 6-month period | 12.22% | 0.13% | +12.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.85% | 0.20% | +17.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.43% | 0.24% | +21.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.73% | 0.24% | +21.49% |
XJR vs. SGOV - Expense Ratio Comparison
XJR has a 0.12% 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
XJR vs. SGOV - Dividend Comparison
XJR's dividend yield for the trailing twelve months is around 0.99%, less 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% |
XJR iShares ESG Screened S&P Small-Cap ETF | 0.99% | 1.14% | 1.96% | 0.92% | 1.29% | 2.00% | 0.58% |
Frequently Asked Questions
XJR and SGOV have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XJR has higher volatility (4.77%) compared to SGOV (0.05%). In terms of maximum drawdown, XJR dropped -27.14% vs SGOV's -0.03%.
On 5-year performance, XJR leads with 5.38% vs 3.54% for SGOV. 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, XJR has performed better with a 5.38% return vs 3.54%. 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 0.12% for XJR.
SGOV has the higher dividend yield at 3.86%, compared with 0.99% for XJR.
XJR is categorized as Small Cap Blend Equities, while SGOV is Ultrashort Bond. XJR tracks S&P SmallCap 600 Sustainability Screened Index, while SGOV tracks ICE 0-3 Month US Treasury Securities Index. Their fees differ too: 0.12% for XJR and 0.09% for SGOV.
SGOV currently has the higher Sharpe Ratio (20.28 vs 1.60), 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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