PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
IEFA vs. IEMG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IEFAIEMG
YTD Return5.80%1.62%
1Y Return18.34%9.78%
3Y Return (Ann)3.87%-4.53%
5Y Return (Ann)7.25%2.68%
10Y Return (Ann)5.04%3.15%
Sharpe Ratio1.490.79
Daily Std Dev12.40%14.21%
Max Drawdown-34.78%-38.72%
Current Drawdown0.00%-19.52%

Correlation

0.79
-1.001.00

The correlation between IEFA and IEMG is 0.79, 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.

Performance

IEFA vs. IEMG - Performance Comparison

In the year-to-date period, IEFA achieves a 5.80% return, which is significantly higher than IEMG's 1.62% return. Over the past 10 years, IEFA has outperformed IEMG with an annualized return of 5.04%, while IEMG has yielded a comparatively lower 3.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


20.00%40.00%60.00%80.00%100.00%120.00%OctoberNovemberDecember2024FebruaryMarch
110.41%
38.18%
IEFA
IEMG

Compare stocks, funds, or ETFs


iShares Core MSCI EAFE ETF

iShares Core MSCI Emerging Markets ETF

IEFA vs. IEMG - Expense Ratio Comparison

IEFA has a 0.07% expense ratio, which is lower than IEMG's 0.14% expense ratio.

IEMG
iShares Core MSCI Emerging Markets ETF
0.50%1.00%1.50%2.00%0.14%
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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
IEFA
iShares Core MSCI EAFE ETF
1.49
IEMG
iShares Core MSCI Emerging Markets ETF
0.79

IEFA vs. IEMG - Sharpe Ratio Comparison

The current IEFA Sharpe Ratio is 1.49, which is higher than the IEMG Sharpe Ratio of 0.79. The chart below compares the 12-month rolling Sharpe Ratio of IEFA and IEMG.


Rolling 12-month Sharpe Ratio0.000.501.001.50OctoberNovemberDecember2024FebruaryMarch
1.49
0.79
IEFA
IEMG

Dividends

IEFA vs. IEMG - Dividend Comparison

IEFA's dividend yield for the trailing twelve months is around 3.03%, more than IEMG's 2.84% yield.


TTM20232022202120202019201820172016201520142013
IEFA
iShares Core MSCI EAFE ETF
3.03%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
2.84%2.89%2.71%3.06%1.87%3.14%2.74%2.33%2.26%2.51%2.29%1.75%

Drawdowns

IEFA vs. IEMG - Drawdown Comparison

The maximum IEFA drawdown since its inception was -34.78%, smaller than the maximum IEMG drawdown of -38.72%. The drawdown chart below compares losses from any high point along the way for IEFA and IEMG


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch0
-19.52%
IEFA
IEMG

Volatility

IEFA vs. IEMG - Volatility Comparison

The current volatility for iShares Core MSCI EAFE ETF (IEFA) is 2.73%, while iShares Core MSCI Emerging Markets ETF (IEMG) has a volatility of 3.25%. 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.


3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.73%
3.25%
IEFA
IEMG