EFA vs. MCSE
EFA (iShares MSCI EAFE ETF) and MCSE (Franklin Sustainable International Equity ETF) are both Foreign Large Cap Equities funds. EFA is passively managed, while MCSE is actively managed. Over the past 3 years, EFA returned 16.41%/yr vs -0.12%/yr for MCSE. Their 0.75 correlation means they have sometimes moved together and sometimes differently. EFA charges 0.32%/yr vs 0.59%/yr for MCSE.
Performance
EFA vs. MCSE - Performance Comparison
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Returns By Period
In the year-to-date period, EFA achieves a 11.69% return, which is significantly higher than MCSE's 1.12% return.
EFA
- 1D
- -0.62%
- 1M
- 1.16%
- 6M
- 6.46%
- YTD
- 11.69%
- 1Y
- 25.09%
- 3Y*
- 16.41%
- 5Y*
- 9.23%
- 10Y*
- 9.47%
- ALL TIME*
- 6.58%
MCSE
- 1D
- 0.00%
- 1M
- 0.00%
- 6M
- 0.00%
- YTD
- 1.12%
- 1Y
- 4.30%
- 3Y*
- -0.12%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 6.07%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.24B | $1.12B | $1.39B | |
| $0.00 | $0.00 | $0.00 |
EFA vs. MCSE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 11.69% | 31.55% | 3.49% | 18.36% | 10.08% |
MCSE Franklin Sustainable International Equity ETF | 1.12% | 7.79% | -9.46% | 14.86% | 10.04% |
Correlation
The correlation between EFA and MCSE is 0.46, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.46 |
Correlation (3Y) Balances recent behavior with more history. | 0.72 |
Correlation (All Time) Calculated using the full available price history since Oct 31, 2022 | 0.75 |
Over the past year, the correlation between EFA and MCSE has dropped to 0.46 - well below their long-term average of 0.75, suggesting their price drivers have been diverging.
EFA vs. MCSE - Sectors Allocation Comparison
Sectors
EFA
MCSE
Financial Services
Industrials
Technology
Healthcare
Consumer Cyclical
Consumer Defensive
Basic Materials
Energy
-
Utilities
-
Communication Services
Real Estate
-
Financial Services
EFA
MCSE
Industrials
EFA
MCSE
Technology
EFA
MCSE
Healthcare
EFA
MCSE
Consumer Cyclical
EFA
MCSE
Consumer Defensive
EFA
MCSE
Basic Materials
EFA
MCSE
Energy
EFA
MCSE
-
Utilities
EFA
MCSE
-
Communication Services
EFA
MCSE
Real Estate
EFA
MCSE
-
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Return for Risk
EFA vs. MCSE — Risk / Return Rank
EFA
MCSE
EFA vs. MCSE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE ETF (EFA) and Franklin Sustainable International Equity ETF (MCSE). 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.
| EFA | MCSE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.21 | ||
| Sortino ratioReturn per unit of downside risk | +1.68 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.10 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 2.18 | 0.37 | +1.81 |
| Martin ratioReturn relative to average drawdown | 8.23 | 0.92 | +7.31 |
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Drawdowns
EFA vs. MCSE - Drawdown Comparison
The maximum EFA drawdown since its inception was -61.04%, which is greater than MCSE's maximum drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for EFA and MCSE.
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Drawdown Indicators
| EFA | MCSE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.04% | -26.36% | -34.68% |
Max Drawdown (1Y)Largest decline over 1 year | -11.42% | -10.42% | -1.00% |
Max Drawdown (3Y)Largest decline over 3 years | -14.05% | -26.36% | +12.31% |
Max Drawdown (5Y)Largest decline over 5 years | -29.53% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -34.19% | — | — |
Current DrawdownCurrent decline from peak | -0.62% | -10.51% | +9.89% |
Average DrawdownAverage peak-to-trough decline | -11.86% | -8.79% | -3.07% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.02% | 4.36% | -1.34% |
Volatility
EFA vs. MCSE - Volatility Comparison
iShares MSCI EAFE ETF (EFA) has a higher volatility of 4.69% compared to Franklin Sustainable International Equity ETF (MCSE) at 0.00%. This indicates that EFA's price experiences larger fluctuations and is considered to be riskier than MCSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFA | MCSE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.69% | 0.00% | +4.69% |
Volatility (6M)Calculated over the trailing 6-month period | 13.71% | 1.91% | +11.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.79% | 10.71% | +5.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.62% | 19.08% | -2.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.00% | 19.08% | -2.08% |
EFA vs. MCSE - Expense Ratio Comparison
EFA has a 0.32% expense ratio, which is lower than MCSE's 0.59% expense ratio.
Dividends
EFA vs. MCSE - Dividend Comparison
EFA's dividend yield for the trailing twelve months is around 3.19%, less than MCSE's 3.74% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 3.19% | 3.38% | 3.24% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% |
MCSE Franklin Sustainable International Equity ETF | 3.74% | 3.78% | 0.63% | 0.57% | 0.48% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EFA and MCSE have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EFA has higher volatility (4.69%) compared to MCSE (0.00%). In terms of maximum drawdown, EFA dropped -61.04% vs MCSE's -26.36%.
On 3-year performance, EFA leads with 16.41% vs -0.12% for MCSE. On fees, EFA is cheaper at 0.32% per year. On volatility, MCSE has been the lower-risk option at 0.00%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, EFA has performed better with a 16.41% return vs -0.12%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFA is cheaper with a 0.32% expense ratio, compared with 0.59% for MCSE.
MCSE has the higher dividend yield at 3.74%, compared with 3.19% for EFA.
They also come from different issuers: iShares and Franklin. Their fees differ too: 0.32% for EFA and 0.59% for MCSE.
EFA currently has the higher Sharpe Ratio (1.58 vs 0.37), 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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