EFA vs. HYG
Compare and contrast key facts about iShares MSCI EAFE ETF (EFA) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG).
EFA and HYG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EFA is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Index. It was launched on Aug 14, 2001. HYG is a passively managed fund by iShares that tracks the performance of the iBoxx $ Liquid High Yield Index. It was launched on Apr 11, 2007. Both EFA and HYG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EFA or HYG.
Key characteristics
| EFA | HYG | |
|---|---|---|
| YTD Return | 4.15% | 8.25% |
| 1Y Return | 12.09% | 13.37% |
| 3Y Return (Ann) | 1.47% | 2.76% |
| 5Y Return (Ann) | 5.41% | 3.50% |
| 10Y Return (Ann) | 4.88% | 3.96% |
| Sharpe Ratio | 0.94 | 2.91 |
| Sortino Ratio | 1.36 | 4.53 |
| Omega Ratio | 1.17 | 1.57 |
| Calmar Ratio | 1.39 | 2.48 |
| Martin Ratio | 4.51 | 21.88 |
| Ulcer Index | 2.66% | 0.62% |
| Daily Std Dev | 12.76% | 4.65% |
| Max Drawdown | -61.04% | -34.24% |
| Current Drawdown | -8.65% | -0.71% |
Correlation
The correlation between EFA and HYG is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
EFA vs. HYG - Performance Comparison
In the year-to-date period, EFA achieves a 4.15% return, which is significantly lower than HYG's 8.25% return. Over the past 10 years, EFA has outperformed HYG with an annualized return of 4.88%, while HYG has yielded a comparatively lower 3.96% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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EFA vs. HYG - Expense Ratio Comparison
EFA has a 0.32% expense ratio, which is lower than HYG's 0.49% expense ratio.
Risk-Adjusted Performance
EFA vs. HYG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE ETF (EFA) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). 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.
Dividends
EFA vs. HYG - Dividend Comparison
EFA's dividend yield for the trailing twelve months is around 3.01%, less than HYG's 5.90% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 3.01% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% | 3.72% | 2.54% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.90% | 5.75% | 5.30% | 4.02% | 4.88% | 4.99% | 5.54% | 5.12% | 5.27% | 5.90% | 5.69% | 6.10% |
Drawdowns
EFA vs. HYG - Drawdown Comparison
The maximum EFA drawdown since its inception was -61.04%, which is greater than HYG's maximum drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for EFA and HYG. For additional features, visit the drawdowns tool.
Volatility
EFA vs. HYG - Volatility Comparison
iShares MSCI EAFE ETF (EFA) has a higher volatility of 4.00% compared to iShares iBoxx $ High Yield Corporate Bond ETF (HYG) at 1.13%. This indicates that EFA's price experiences larger fluctuations and is considered to be riskier than HYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.