EFA's Sortino Ratio of 2.05 indicates that for each unit of downside volatility, it generates 2.05 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 3, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
EFA Sortino Ratio Rank
EFA ranks above 39.7% of all investments in our database based on Sortino Ratio over the past 12 months, indicating below-average returns relative to downside risk taken. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Returns may not adequately compensate for downside risk taken
- Consider smaller allocation given below-average risk-adjusted profile
- Explore higher-ranked investments with better downside protection
- Assess whether downside exposure aligns with your portfolio goals
EFA Sortino Ratio Market Positioning
The chart shows EFA's Sortino Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.38 or lower
- Yellow zone (middle 50%): 1.38 to 3.47
- Green zone (top 25%): 3.47 or higher
- Top 1%: 13.13+
- Median: 2.49 — half of all investments score higher
How it compares to other similar ETFs
The table compares iShares MSCI EAFE ETF's Sortino Ratio with other ETFs in the Foreign Large Cap Equities category across multiple time periods, showing how EFA's risk-adjusted performance compares to similar funds.
Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 3, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| VIDI | Vident International Equity Fund | 4.49 | |||
| KEMX | KraneShares MSCI Emerging Markets ex China Index ETF | 4.43 | |||
| PATN | Pacer Nasdaq International Patent Leaders ETF | 4.38 | |||
| DBAW | Xtrackers MSCI All World ex US Hedged Equity ETF | 4.00 | |||
| JIVE | Jpmorgan International Value ETF | 3.99 | |||
| FNDF | Schwab Fundamental International Large Company Index ETF | 3.89 | |||
| HAWX | iShares Currency Hedged MSCI ACWI ex U.S. ETF | 3.87 | |||
| FDT | First Trust Developed Markets ex-US AlphaDEX Fund | 3.86 | |||
| GMOI | GMO International Value ETF | 3.84 | |||
| PXF | Invesco FTSE RAFI Developed Markets ex-U.S. ETF | 3.82 | |||
| EFA | iShares MSCI EAFE ETF | 2.05 |
Historical Sortino Ratio
The chart shows EFA's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.
Identify market cycles by observing when EFA consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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