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

Correlation

The correlation between EFA and IEUR is 0.75, 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: 0.8

Performance

EFA vs. IEUR - Performance Comparison

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

45.00%50.00%55.00%60.00%65.00%70.00%NovemberDecember2025FebruaryMarchApril
66.88%
68.73%
EFA
IEUR

Key characteristics

Sharpe Ratio

EFA:

0.65

IEUR:

0.69

Sortino Ratio

EFA:

1.03

IEUR:

1.08

Omega Ratio

EFA:

1.14

IEUR:

1.14

Calmar Ratio

EFA:

0.81

IEUR:

0.87

Martin Ratio

EFA:

2.44

IEUR:

2.33

Ulcer Index

EFA:

4.69%

IEUR:

5.31%

Daily Std Dev

EFA:

17.61%

IEUR:

17.97%

Max Drawdown

EFA:

-61.04%

IEUR:

-36.96%

Current Drawdown

EFA:

-0.91%

IEUR:

-1.04%

Returns By Period

In the year-to-date period, EFA achieves a 11.26% return, which is significantly lower than IEUR's 14.91% return. Over the past 10 years, EFA has underperformed IEUR with an annualized return of 5.19%, while IEUR has yielded a comparatively higher 5.76% annualized return.


EFA

YTD

11.26%

1M

1.32%

6M

6.74%

1Y

12.17%

5Y*

12.00%

10Y*

5.19%

IEUR

YTD

14.91%

1M

1.72%

6M

7.92%

1Y

13.15%

5Y*

13.50%

10Y*

5.76%

*Annualized

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EFA vs. IEUR - Expense Ratio Comparison

EFA has a 0.32% expense ratio, which is higher than IEUR's 0.09% expense ratio.


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%
Expense ratio chart for IEUR: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IEUR: 0.09%

Risk-Adjusted Performance

EFA vs. IEUR — 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

IEUR
The Risk-Adjusted Performance Rank of IEUR is 6969
Overall Rank
The Sharpe Ratio Rank of IEUR is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of IEUR is 6969
Sortino Ratio Rank
The Omega Ratio Rank of IEUR is 6767
Omega Ratio Rank
The Calmar Ratio Rank of IEUR is 7979
Calmar Ratio Rank
The Martin Ratio Rank of IEUR is 6464
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. IEUR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE ETF (EFA) and iShares Core MSCI Europe ETF (IEUR). 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
IEUR: 0.69
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
IEUR: 1.08
The chart of Omega ratio for EFA, currently valued at 1.14, compared to the broader market0.501.001.502.00
EFA: 1.14
IEUR: 1.14
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
IEUR: 0.87
The chart of Martin ratio for EFA, currently valued at 2.44, compared to the broader market0.0020.0040.0060.00
EFA: 2.44
IEUR: 2.33

The current EFA Sharpe Ratio is 0.65, which is comparable to the IEUR Sharpe Ratio of 0.69. The chart below compares the historical Sharpe Ratios of EFA and IEUR, 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 Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.65
0.69
EFA
IEUR

Dividends

EFA vs. IEUR - Dividend Comparison

EFA's dividend yield for the trailing twelve months is around 2.91%, less than IEUR's 3.08% 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%
IEUR
iShares Core MSCI Europe ETF
3.08%3.54%3.17%3.05%2.87%2.13%3.26%3.76%2.64%3.19%2.79%0.64%

Drawdowns

EFA vs. IEUR - Drawdown Comparison

The maximum EFA drawdown since its inception was -61.04%, which is greater than IEUR's maximum drawdown of -36.96%. Use the drawdown chart below to compare losses from any high point for EFA and IEUR. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-0.91%
-1.04%
EFA
IEUR

Volatility

EFA vs. IEUR - Volatility Comparison

iShares MSCI EAFE ETF (EFA) and iShares Core MSCI Europe ETF (IEUR) have volatilities of 11.86% and 12.00%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%
12.00%
EFA
IEUR