EFA vs. NOINX
EFA (iShares MSCI EAFE ETF) and NOINX (Northern International Equity Index Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, EFA returned 9.14%/yr vs 9.29%/yr for NOINX. With a 0.96 correlation, they move nearly in lockstep. EFA charges 0.32%/yr vs 0.10%/yr for NOINX.
Performance
EFA vs. NOINX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with EFA having a 9.29% return and NOINX slightly higher at 9.68%. Both investments have delivered pretty close results over the past 10 years, with EFA having a 9.14% annualized return and NOINX not far ahead at 9.29%.
EFA
- 1D
- 0.80%
- 1M
- 2.85%
- YTD
- 9.29%
- 6M
- 11.52%
- 1Y
- 21.48%
- 3Y*
- 16.97%
- 5Y*
- 8.46%
- 10Y*
- 9.14%
NOINX
- 1D
- 0.42%
- 1M
- 4.11%
- YTD
- 9.68%
- 6M
- 12.20%
- 1Y
- 22.60%
- 3Y*
- 17.23%
- 5Y*
- 8.83%
- 10Y*
- 9.29%
EFA vs. NOINX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 9.29% | 31.55% | 3.49% | 18.36% | -14.39% | 11.45% | 7.60% | 22.04% | -13.82% | 25.07% |
NOINX Northern International Equity Index Fund | 9.68% | 31.86% | 3.69% | 18.08% | -14.24% | 11.08% | 7.92% | 21.98% | -13.76% | 25.28% |
Correlation
The correlation between EFA and NOINX is 0.88, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.96 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.96 |
Correlation (All Time) Calculated using the full available price history since Mar 24, 2005 | 0.96 |
The correlation between EFA and NOINX has been stable across timeframes, ranging from 0.88 to 0.96 - a consistent structural relationship.
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Return for Risk
EFA vs. NOINX — Risk / Return Rank
EFA
NOINX
EFA vs. NOINX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE ETF (EFA) and Northern International Equity Index Fund (NOINX). 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.
| EFA | NOINX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.26 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 1.89 | 2.00 | -0.11 |
| Martin ratioReturn relative to average drawdown | 7.08 | 7.33 | -0.26 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EFA | NOINX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.43 | 1.42 | +0.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 0.56 | -0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.53 | 0.57 | -0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.32 | -0.01 |
Drawdowns
EFA vs. NOINX - Drawdown Comparison
The maximum EFA drawdown since its inception was -61.04%, roughly equal to the maximum NOINX drawdown of -61.10%. Use the drawdown chart below to compare losses from any high point for EFA and NOINX.
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Drawdown Indicators
| EFA | NOINX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.04% | -61.10% | +0.06% |
Max Drawdown (1Y)Largest decline over 1 year | -11.42% | -11.12% | -0.30% |
Max Drawdown (3Y)Largest decline over 3 years | -14.05% | -13.73% | -0.32% |
Max Drawdown (5Y)Largest decline over 5 years | -29.53% | -29.34% | -0.19% |
Max Drawdown (10Y)Largest decline over 10 years | -34.19% | -33.69% | -0.50% |
Current DrawdownCurrent decline from peak | -0.67% | -0.36% | -0.31% |
Average DrawdownAverage peak-to-trough decline | -11.93% | -12.58% | +0.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.04% | 3.00% | +0.04% |
Volatility
EFA vs. NOINX - Volatility Comparison
iShares MSCI EAFE ETF (EFA) and Northern International Equity Index Fund (NOINX) have volatilities of 4.88% and 4.89%, 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.
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Volatility by Period
| EFA | NOINX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.88% | 4.89% | -0.01% |
Volatility (6M)Calculated over the trailing 6-month period | 12.53% | 13.15% | -0.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.05% | 15.66% | -0.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.48% | 16.02% | +0.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.26% | 16.51% | +0.75% |
EFA vs. NOINX - Expense Ratio Comparison
EFA has a 0.32% expense ratio, which is higher than NOINX's 0.10% expense ratio.
Dividends
EFA vs. NOINX - Dividend Comparison
EFA's dividend yield for the trailing twelve months is around 3.09%, less than NOINX's 3.25% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 3.09% | 3.38% | 3.24% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% |
NOINX Northern International Equity Index Fund | 3.25% | 3.57% | 3.70% | 3.37% | 2.71% | 3.19% | 2.04% | 3.08% | 3.47% | 2.45% | 3.21% | 2.74% |
Frequently Asked Questions
EFA and NOINX have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NOINX has higher volatility (4.89%) compared to EFA (4.88%). In terms of maximum drawdown, EFA dropped -61.04% vs NOINX's -61.10%.
EFA currently has the higher Sharpe Ratio (1.43 vs 1.42), 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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