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EFA vs. EWG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EFA and EWG is 0.74, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 0.7

Performance

EFA vs. EWG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI EAFE ETF (EFA) and iShares MSCI Germany ETF (EWG). The values are adjusted to include any dividend payments, if applicable.

220.00%240.00%260.00%280.00%300.00%320.00%NovemberDecember2025FebruaryMarchApril
272.77%
321.81%
EFA
EWG

Key characteristics

Sharpe Ratio

EFA:

0.65

EWG:

1.49

Sortino Ratio

EFA:

1.03

EWG:

2.19

Omega Ratio

EFA:

1.14

EWG:

1.29

Calmar Ratio

EFA:

0.81

EWG:

1.96

Martin Ratio

EFA:

2.44

EWG:

7.77

Ulcer Index

EFA:

4.69%

EWG:

3.91%

Daily Std Dev

EFA:

17.61%

EWG:

20.43%

Max Drawdown

EFA:

-61.04%

EWG:

-67.57%

Current Drawdown

EFA:

-0.91%

EWG:

0.00%

Returns By Period

In the year-to-date period, EFA achieves a 11.26% return, which is significantly lower than EWG's 23.70% return. Both investments have delivered pretty close results over the past 10 years, with EFA having a 5.19% annualized return and EWG not far ahead at 5.26%.


EFA

YTD

11.26%

1M

1.32%

6M

6.74%

1Y

12.17%

5Y*

12.00%

10Y*

5.19%

EWG

YTD

23.70%

1M

4.79%

6M

20.29%

1Y

31.38%

5Y*

14.80%

10Y*

5.26%

*Annualized

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EFA vs. EWG - Expense Ratio Comparison

EFA has a 0.32% expense ratio, which is lower than EWG's 0.49% expense ratio.


Expense ratio chart for EWG: current value is 0.49%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EWG: 0.49%
Expense ratio chart for EFA: current value is 0.32%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EFA: 0.32%

Risk-Adjusted Performance

EFA vs. EWG — Risk-Adjusted Performance Rank

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

EFA
The Risk-Adjusted Performance Rank of EFA is 6868
Overall Rank
The Sharpe Ratio Rank of EFA is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of EFA is 6666
Sortino Ratio Rank
The Omega Ratio Rank of EFA is 6565
Omega Ratio Rank
The Calmar Ratio Rank of EFA is 7777
Calmar Ratio Rank
The Martin Ratio Rank of EFA is 6565
Martin Ratio Rank

EWG
The Risk-Adjusted Performance Rank of EWG is 9090
Overall Rank
The Sharpe Ratio Rank of EWG is 9090
Sharpe Ratio Rank
The Sortino Ratio Rank of EWG is 9090
Sortino Ratio Rank
The Omega Ratio Rank of EWG is 8989
Omega Ratio Rank
The Calmar Ratio Rank of EWG is 9393
Calmar Ratio Rank
The Martin Ratio Rank of EWG is 9090
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EFA vs. EWG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE ETF (EFA) and iShares MSCI Germany ETF (EWG). 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.


The chart of Sharpe ratio for EFA, currently valued at 0.65, compared to the broader market-1.000.001.002.003.004.00
EFA: 0.65
EWG: 1.49
The chart of Sortino ratio for EFA, currently valued at 1.03, compared to the broader market-2.000.002.004.006.008.00
EFA: 1.03
EWG: 2.19
The chart of Omega ratio for EFA, currently valued at 1.14, compared to the broader market0.501.001.502.002.50
EFA: 1.14
EWG: 1.29
The chart of Calmar ratio for EFA, currently valued at 0.81, compared to the broader market0.002.004.006.008.0010.0012.00
EFA: 0.81
EWG: 1.96
The chart of Martin ratio for EFA, currently valued at 2.44, compared to the broader market0.0020.0040.0060.00
EFA: 2.44
EWG: 7.77

The current EFA Sharpe Ratio is 0.65, which is lower than the EWG Sharpe Ratio of 1.49. The chart below compares the historical Sharpe Ratios of EFA and EWG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50NovemberDecember2025FebruaryMarchApril
0.65
1.49
EFA
EWG

Dividends

EFA vs. EWG - Dividend Comparison

EFA's dividend yield for the trailing twelve months is around 2.91%, more than EWG's 1.93% yield.


TTM20242023202220212020201920182017201620152014
EFA
iShares MSCI EAFE ETF
2.91%3.24%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%3.72%
EWG
iShares MSCI Germany ETF
1.93%2.38%2.56%3.24%2.70%2.10%2.51%2.93%2.06%2.35%1.93%2.30%

Drawdowns

EFA vs. EWG - Drawdown Comparison

The maximum EFA drawdown since its inception was -61.04%, smaller than the maximum EWG drawdown of -67.57%. Use the drawdown chart below to compare losses from any high point for EFA and EWG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-0.91%
0
EFA
EWG

Volatility

EFA vs. EWG - Volatility Comparison

The current volatility for iShares MSCI EAFE ETF (EFA) is 11.86%, while iShares MSCI Germany ETF (EWG) has a volatility of 12.52%. This indicates that EFA experiences smaller price fluctuations and is considered to be less risky than EWG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
11.86%
12.52%
EFA
EWG