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IEFA vs. IEMG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IEFA and IEMG is 0.78, 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.


-0.50.00.51.00.8

Performance

IEFA vs. IEMG - Performance Comparison

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

40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
104.16%
46.20%
IEFA
IEMG

Key characteristics

Sharpe Ratio

IEFA:

0.42

IEMG:

0.76

Sortino Ratio

IEFA:

0.66

IEMG:

1.15

Omega Ratio

IEFA:

1.08

IEMG:

1.14

Calmar Ratio

IEFA:

0.54

IEMG:

0.45

Martin Ratio

IEFA:

1.54

IEMG:

3.02

Ulcer Index

IEFA:

3.49%

IEMG:

3.80%

Daily Std Dev

IEFA:

12.92%

IEMG:

15.07%

Max Drawdown

IEFA:

-34.79%

IEMG:

-38.71%

Current Drawdown

IEFA:

-9.87%

IEMG:

-14.91%

Returns By Period

In the year-to-date period, IEFA achieves a 2.66% return, which is significantly lower than IEMG's 7.43% return. Over the past 10 years, IEFA has outperformed IEMG with an annualized return of 5.24%, while IEMG has yielded a comparatively lower 3.95% annualized return.


IEFA

YTD

2.66%

1M

-1.34%

6M

-1.83%

1Y

3.57%

5Y*

4.50%

10Y*

5.24%

IEMG

YTD

7.43%

1M

-0.85%

6M

0.41%

1Y

9.36%

5Y*

2.51%

10Y*

3.95%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


IEFA vs. IEMG - Expense Ratio Comparison

IEFA has a 0.07% expense ratio, which is lower than IEMG's 0.14% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IEMG
iShares Core MSCI Emerging Markets ETF
Expense ratio chart for IEMG: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for IEFA: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

IEFA vs. IEMG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI EAFE ETF (IEFA) and iShares Core MSCI Emerging Markets ETF (IEMG). 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.


Sharpe ratio
The chart of Sharpe ratio for IEFA, currently valued at 0.42, compared to the broader market0.002.004.000.420.76
The chart of Sortino ratio for IEFA, currently valued at 0.66, compared to the broader market-2.000.002.004.006.008.0010.000.661.15
The chart of Omega ratio for IEFA, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.14
The chart of Calmar ratio for IEFA, currently valued at 0.54, compared to the broader market0.005.0010.0015.000.540.45
The chart of Martin ratio for IEFA, currently valued at 1.54, compared to the broader market0.0020.0040.0060.0080.00100.001.543.02
IEFA
IEMG

The current IEFA Sharpe Ratio is 0.42, which is lower than the IEMG Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of IEFA and IEMG, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.42
0.76
IEFA
IEMG

Dividends

IEFA vs. IEMG - Dividend Comparison

IEFA's dividend yield for the trailing twelve months is around 3.49%, more than IEMG's 3.17% yield.


TTM20232022202120202019201820172016201520142013
IEFA
iShares Core MSCI EAFE ETF
3.49%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%3.10%2.16%
IEMG
iShares Core MSCI Emerging Markets ETF
3.17%2.89%2.70%3.06%1.87%3.15%2.76%2.34%2.28%2.52%2.30%1.76%

Drawdowns

IEFA vs. IEMG - Drawdown Comparison

The maximum IEFA drawdown since its inception was -34.79%, smaller than the maximum IEMG drawdown of -38.71%. Use the drawdown chart below to compare losses from any high point for IEFA and IEMG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.87%
-14.91%
IEFA
IEMG

Volatility

IEFA vs. IEMG - Volatility Comparison

The current volatility for iShares Core MSCI EAFE ETF (IEFA) is 3.51%, while iShares Core MSCI Emerging Markets ETF (IEMG) has a volatility of 3.74%. This indicates that IEFA experiences smaller price fluctuations and is considered to be less risky than IEMG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.51%
3.74%
IEFA
IEMG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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