EWZ vs. EFA

Last updated Jun 9, 2026

EWZ (iShares MSCI Brazil ETF) and EFA (iShares MSCI EAFE ETF) are both exchange-traded funds - EWZ is a Latin America Equities fund tracking the MSCI Brazil 25/50 Index, while EFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Both are passively managed. Over the past 10 years, EWZ returned 7.53%/yr vs 9.28%/yr for EFA. A 0.59 correlation means they provide meaningful diversification when combined. EWZ charges 0.59%/yr vs 0.32%/yr for EFA.

Performance

EWZ vs. EFA - Performance Comparison

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

Returns By Period

In the year-to-date period, EWZ achieves a 6.04% return, which is significantly lower than EFA's 7.13% return. Over the past 10 years, EWZ has underperformed EFA with an annualized return of 7.53%, while EFA has yielded a comparatively higher 9.28% annualized return.

EWZ

• 1D: -0.94%
• 1M: -13.88%
• YTD: 6.04%
• 6M: 6.47%
• 1Y: 28.14%
• 3Y*: 7.95%
• 5Y*: 3.87%
• 10Y*: 7.53%

EFA

• 1D: 0.61%
• 1M: -1.04%
• YTD: 7.13%
• 6M: 9.67%
• 1Y: 18.74%
• 3Y*: 15.87%
• 5Y*: 8.03%
• 10Y*: 9.28%

*Multi-year figures are annualized to reflect compound growth (CAGR)

EWZ vs. EFA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EWZ iShares MSCI Brazil ETF	6.04%	48.81%	-30.41%	32.62%	12.09%	-17.32%	-20.35%	27.67%	-2.52%	23.62%
EFA iShares MSCI EAFE ETF	7.13%	31.55%	3.49%	18.36%	-14.39%	11.45%	7.60%	22.04%	-13.82%	25.07%

Correlation

The correlation between EWZ and EFA is 0.61, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.61
Correlation (3Y) Calculated over the trailing 3-year period	0.54
Correlation (5Y) Calculated over the trailing 5-year period	0.52
Correlation (10Y) Calculated over the trailing 10-year period	0.53
Correlation (All Time) Calculated using the full available price history since Aug 17, 2001	0.59

The correlation between EWZ and EFA has been stable across timeframes, ranging from 0.52 to 0.61 - a consistent structural relationship.

EWZ vs. EFA - Sectors Allocation Comparison

Sectors	EWZ	EFA
Financial Services	32.7%	24.6%
Energy	18.5%	4.0%
Basic Materials	13.7%	5.9%
Utilities	12.9%	4.0%
Industrials	10.9%	19.9%
Consumer Defensive	4.2%	6.7%
Healthcare	2.4%	10.6%
Communication Services	2.2%	4.5%
Consumer Cyclical	1.5%	7.6%
Technology	1.0%	10.4%
Real Estate	-	1.9%

Return for Risk

EWZ vs. EFA — Risk / Return Rank

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

EWZ

EWZ Risk / Return Rank: 34
EWZ Sharpe Ratio Rank: 34
EWZ Sortino Ratio Rank: 33
EWZ Omega Ratio Rank: 33
EWZ Calmar Ratio Rank: 33
EWZ Martin Ratio Rank: 35

EFA

EFA Risk / Return Rank: 38
EFA Sharpe Ratio Rank: 38
EFA Sortino Ratio Rank: 37
EFA Omega Ratio Rank: 37
EFA Calmar Ratio Rank: 36
EFA Martin Ratio Rank: 41

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EWZ vs. EFA - Risk-Adjusted Trends Comparison

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

	EWZ	EFA	Difference
Sharpe ratio: Return per unit of total volatility	1.13	1.23	-0.10
Sortino ratio: Return per unit of downside risk	1.61	1.79	-0.18
Omega ratio: Gain probability vs. loss probability	1.20	1.23	-0.02
Calmar ratio: Return relative to maximum drawdown	1.47	1.65	-0.18
Martin ratio: Return relative to average drawdown	4.96	6.15	-1.19
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EWZ vs. EFA - Sharpe Ratio Comparison

The current EWZ Sharpe Ratio is 1.13, which is comparable to the EFA Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of EWZ and EFA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	EWZ	EFA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.13	1.23	-0.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.14	0.49	-0.35
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.22	0.54	-0.32
Sharpe Ratio (All Time) Calculated using the full available price history	0.16	0.31	-0.14

Drawdowns

EWZ vs. EFA - Drawdown Comparison

The maximum EWZ drawdown since its inception was -77.25%, which is greater than EFA's maximum drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for EWZ and EFA.

Drawdown Indicators

	EWZ	EFA	Difference
Max Drawdown Largest peak-to-trough decline	-77.25%	-61.04%	-16.21%
Max Drawdown (1Y) Largest decline over 1 year	-19.27%	-11.42%	-7.85%
Max Drawdown (3Y) Largest decline over 3 years	-31.36%	-14.05%	-17.31%
Max Drawdown (5Y) Largest decline over 5 years	-32.24%	-29.53%	-2.71%
Max Drawdown (10Y) Largest decline over 10 years	-56.99%	-34.19%	-22.80%
Current Drawdown Current decline from peak	-26.15%	-2.63%	-23.52%
Average Drawdown Average peak-to-trough decline	-35.95%	-11.93%	-24.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.68%	3.05%	+2.63%

Volatility

EWZ vs. EFA - Volatility Comparison

iShares MSCI Brazil ETF (EWZ) has a higher volatility of 7.32% compared to iShares MSCI EAFE ETF (EFA) at 4.54%. This indicates that EWZ's price experiences larger fluctuations and is considered to be riskier than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EWZ	EFA	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.32%	4.54%	+2.78%
Volatility (6M) Calculated over the trailing 6-month period	20.79%	12.82%	+7.97%
Volatility (1Y) Calculated over the trailing 1-year period	25.12%	15.31%	+9.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	27.68%	16.52%	+11.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	34.07%	17.28%	+16.79%

EWZ vs. EFA - Expense Ratio Comparison

EWZ has a 0.59% expense ratio, which is higher than EFA's 0.32% expense ratio.

Dividends

EWZ vs. EFA - Dividend Comparison

EWZ's dividend yield for the trailing twelve months is around 4.89%, more than EFA's 3.16% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EFA iShares MSCI EAFE ETF	3.16%	3.38%	3.24%	2.98%	2.69%	3.33%	2.13%	3.10%	3.39%	2.57%	3.07%	2.76%
EWZ iShares MSCI Brazil ETF	4.89%	5.19%	8.91%	5.66%	12.59%	9.87%	1.71%	2.54%	2.89%	1.71%	1.81%	4.08%

Frequently Asked Questions

Can I hold both EWZ and EFA in my portfolio?

EWZ and EFA have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EWZ or EFA?

EWZ has higher volatility (7.32%) compared to EFA (4.54%). In terms of maximum drawdown, EWZ dropped -77.25% vs EFA's -61.04%.

Which ETF is better, EWZ or EFA?

On 10-year performance, EFA leads with 9.28% vs 7.53% for EWZ. On fees, EFA is cheaper at 0.32% per year. On volatility, EFA has been the lower-risk option at 4.54%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EWZ or EFA?

Over the 10-year period, EFA has performed better with a 9.28% return vs 7.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EWZ or EFA?

EFA is cheaper with a 0.32% expense ratio, compared with 0.59% for EWZ.

Which ETF pays a higher dividend yield, EWZ or EFA?

EWZ has the higher dividend yield at 4.89%, compared with 3.16% for EFA.

What is the main difference between EWZ and EFA?

EWZ is categorized as Latin America Equities, while EFA is Foreign Large Cap Equities. EWZ tracks MSCI Brazil 25/50 Index, while EFA tracks MSCI EAFE Index (Net). Their fees differ too: 0.59% for EWZ and 0.32% for EFA.

Which has better risk-adjusted returns?

EFA currently has the higher Sharpe Ratio (1.23 vs 1.13), 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.