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AMZN vs. IEFA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

AMZN vs. IEFA

Last updated Jun 13, 2026

AMZN (Amazon.com, Inc) is a stock, while IEFA (iShares Core MSCI EAFE ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE IMI Index (Net). Over the past 10 years, AMZN returned 20.83%/yr vs 9.90%/yr for IEFA. At a 0.48 correlation, their price movements are largely independent.

Performance

AMZN vs. IEFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Amazon.com, Inc (AMZN) and iShares Core MSCI EAFE ETF (IEFA). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, AMZN achieves a 3.35% return, which is significantly lower than IEFA's 9.51% return. Over the past 10 years, AMZN has outperformed IEFA with an annualized return of 20.83%, while IEFA has yielded a comparatively lower 9.90% annualized return.

AMZN

1D
-1.23%
1M
-10.73%
YTD
3.35%
6M
5.46%
1Y
12.47%
3Y*
23.49%
5Y*
7.35%
10Y*
20.83%

IEFA

1D
0.18%
1M
1.09%
YTD
9.51%
6M
11.08%
1Y
22.43%
3Y*
16.31%
5Y*
8.10%
10Y*
9.90%
*Multi-year figures are annualized to reflect compound growth (CAGR)

AMZN vs. IEFA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
AMZN
Amazon.com, Inc		3.35%5.21%44.39%80.88%-49.62%2.38%76.26%23.03%28.43%55.96%
IEFA
iShares Core MSCI EAFE ETF		9.51%32.08%3.26%17.95%-15.24%11.63%8.18%22.64%-14.14%26.57%

Correlation

The correlation between AMZN and IEFA is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.43

Correlation (3Y)
Calculated over the trailing 3-year period

0.41

Correlation (5Y)
Calculated over the trailing 5-year period

0.48

Correlation (10Y)
Calculated over the trailing 10-year period

0.47

Correlation (All Time)
Calculated using the full available price history since Oct 24, 2012

0.48

Compare stocks, funds, or ETFs

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Amazon.com, Inc

iShares Core MSCI EAFE ETF

Often compared with AMZN:
AMZN vs. MSFTAMZN vs. NVDAAMZN vs. GOOGAMZN vs. AAPLAMZN vs. SPYAMZN vs. TSLAAMZN vs. META
Often compared with IEFA:
IEFA vs. VEAIEFA vs. VXUSIEFA vs. EFAIEFA vs. FSPSXIEFA vs. IEMGIEFA vs. XEF.TOIEFA vs. IXUS

Return for Risk

AMZN vs. IEFA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
AMZN
AMZN Risk / Return Rank: 5454
Overall Rank
AMZN Sharpe Ratio Rank: 5757
Sharpe Ratio Rank
AMZN Sortino Ratio Rank: 5151
Sortino Ratio Rank
AMZN Omega Ratio Rank: 4949
Omega Ratio Rank
AMZN Calmar Ratio Rank: 5555
Calmar Ratio Rank
AMZN Martin Ratio Rank: 5757
Martin Ratio Rank
IEFA
IEFA Risk / Return Rank: 4444
Overall Rank
IEFA Sharpe Ratio Rank: 4444
Sharpe Ratio Rank
IEFA Sortino Ratio Rank: 4444
Sortino Ratio Rank
IEFA Omega Ratio Rank: 4343
Omega Ratio Rank
IEFA Calmar Ratio Rank: 4242
Calmar Ratio Rank
IEFA Martin Ratio Rank: 4848
Martin Ratio Rank
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.

AMZN vs. IEFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Amazon.com, Inc (AMZN) and iShares Core MSCI EAFE ETF (IEFA). 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.

AMZNIEFADifference
Sharpe ratioReturn per unit of total volatility
0.40
1.35

-0.96

Sortino ratioReturn per unit of downside risk
0.76
1.97

-1.21

Omega ratioGain probability vs. loss probability

1.09

1.25

-0.15

Calmar ratioReturn relative to maximum drawdown

0.55

1.83

-1.28

Martin ratioReturn relative to average drawdown

1.29

6.93

-5.64

AMZN vs. IEFA - Sharpe Ratio Comparison

The current AMZN Sharpe Ratio is 0.40, which is lower than the IEFA Sharpe Ratio of 1.35. The chart below compares the historical Sharpe Ratios of AMZN and IEFA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

AMZN vs. IEFA - Drawdown Comparison

The maximum AMZN drawdown since its inception was -94.40%, which is greater than IEFA's maximum drawdown of -34.78%. Use the drawdown chart below to compare losses from any high point for AMZN and IEFA.

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Drawdown Indicators

AMZNIEFADifference

Max Drawdown

Largest peak-to-trough decline

-94.40%

-34.78%

-59.62%

Max Drawdown (1Y)

Largest decline over 1 year

-21.74%

-11.50%

-10.24%

Max Drawdown (3Y)

Largest decline over 3 years

-30.88%

-13.76%

-17.12%

Max Drawdown (5Y)

Largest decline over 5 years

-56.15%

-30.41%

-25.74%

Max Drawdown (10Y)

Largest decline over 10 years

-56.15%

-34.78%

-21.37%

Current Drawdown

Current decline from peak

-13.25%

-0.60%

-12.65%

Average Drawdown

Average peak-to-trough decline

-28.19%

-6.68%

-21.51%

Ulcer Index

Depth and duration of drawdowns from previous peaks

9.21%

3.03%

+6.18%

Volatility

AMZN vs. IEFA - Volatility Comparison

Amazon.com, Inc (AMZN) has a higher volatility of 7.92% compared to iShares Core MSCI EAFE ETF (IEFA) at 5.50%. This indicates that AMZN's price experiences larger fluctuations and is considered to be riskier than IEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

AMZNIEFADifference

Volatility (1M)

Calculated over the trailing 1-month period

7.92%

5.50%

+2.42%

Volatility (6M)

Calculated over the trailing 6-month period

20.73%

13.11%

+7.62%

Volatility (1Y)

Calculated over the trailing 1-year period

30.13%

15.54%

+14.59%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

35.53%

16.61%

+18.92%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

32.48%

17.31%

+15.17%

Dividends

AMZN vs. IEFA - Dividend Comparison

AMZN has not paid dividends to shareholders, while IEFA's dividend yield for the trailing twelve months is around 3.24%.

PositionTTM20252024202320222021202020192018201720162015
AMZN
Amazon.com, Inc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IEFA
iShares Core MSCI EAFE ETF		3.24%3.55%3.47%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%

Frequently Asked Questions

AMZN and IEFA have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

AMZN has higher volatility (7.92%) compared to IEFA (5.50%). In terms of maximum drawdown, AMZN dropped -94.40% vs IEFA's -34.78%.

IEFA currently has the higher Sharpe Ratio (1.35 vs 0.40), 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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