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

Correlation

The correlation between IEFA and IEMG is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.7

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%NovemberDecember2025FebruaryMarchApril
129.73%
49.59%
IEFA
IEMG

Key characteristics

Sharpe Ratio

IEFA:

0.72

IEMG:

0.47

Sortino Ratio

IEFA:

1.12

IEMG:

0.80

Omega Ratio

IEFA:

1.15

IEMG:

1.10

Calmar Ratio

IEFA:

0.92

IEMG:

0.38

Martin Ratio

IEFA:

2.68

IEMG:

1.50

Ulcer Index

IEFA:

4.70%

IEMG:

5.81%

Daily Std Dev

IEFA:

17.66%

IEMG:

18.71%

Max Drawdown

IEFA:

-34.79%

IEMG:

-38.71%

Current Drawdown

IEFA:

-0.04%

IEMG:

-12.94%

Returns By Period

In the year-to-date period, IEFA achieves a 11.87% return, which is significantly higher than IEMG's 3.22% return. Over the past 10 years, IEFA has outperformed IEMG with an annualized return of 5.58%, while IEMG has yielded a comparatively lower 3.06% annualized return.


IEFA

YTD

11.87%

1M

2.91%

6M

6.53%

1Y

12.31%

5Y*

11.04%

10Y*

5.58%

IEMG

YTD

3.22%

1M

-0.35%

6M

-2.59%

1Y

7.33%

5Y*

6.78%

10Y*

3.06%

*Annualized

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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%.


Expense ratio chart for IEMG: current value is 0.14%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IEMG: 0.14%
Expense ratio chart for IEFA: current value is 0.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IEFA: 0.07%

Risk-Adjusted Performance

IEFA vs. IEMG — Risk-Adjusted Performance Rank

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

IEFA
The Risk-Adjusted Performance Rank of IEFA is 7373
Overall Rank
The Sharpe Ratio Rank of IEFA is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of IEFA is 7272
Sortino Ratio Rank
The Omega Ratio Rank of IEFA is 7070
Omega Ratio Rank
The Calmar Ratio Rank of IEFA is 8181
Calmar Ratio Rank
The Martin Ratio Rank of IEFA is 7070
Martin Ratio Rank

IEMG
The Risk-Adjusted Performance Rank of IEMG is 5555
Overall Rank
The Sharpe Ratio Rank of IEMG is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of IEMG is 5858
Sortino Ratio Rank
The Omega Ratio Rank of IEMG is 5454
Omega Ratio Rank
The Calmar Ratio Rank of IEMG is 5454
Calmar Ratio Rank
The Martin Ratio Rank of IEMG is 5353
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for IEFA, currently valued at 0.72, compared to the broader market-1.000.001.002.003.004.00
IEFA: 0.72
IEMG: 0.47
The chart of Sortino ratio for IEFA, currently valued at 1.12, compared to the broader market-2.000.002.004.006.008.00
IEFA: 1.12
IEMG: 0.80
The chart of Omega ratio for IEFA, currently valued at 1.15, compared to the broader market0.501.001.502.00
IEFA: 1.15
IEMG: 1.10
The chart of Calmar ratio for IEFA, currently valued at 0.92, compared to the broader market0.002.004.006.008.0010.0012.00
IEFA: 0.92
IEMG: 0.38
The chart of Martin ratio for IEFA, currently valued at 2.68, compared to the broader market0.0020.0040.0060.00
IEFA: 2.68
IEMG: 1.50

The current IEFA Sharpe Ratio is 0.72, which is higher than the IEMG Sharpe Ratio of 0.47. 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 Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.72
0.47
IEFA
IEMG

Dividends

IEFA vs. IEMG - Dividend Comparison

IEFA's dividend yield for the trailing twelve months is around 3.10%, which matches IEMG's 3.10% yield.


TTM20242023202220212020201920182017201620152014
IEFA
iShares Core MSCI EAFE ETF
3.10%3.47%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%3.10%
IEMG
iShares Core MSCI Emerging Markets ETF
3.10%3.20%2.89%2.70%3.06%1.87%3.15%2.76%2.34%2.28%2.52%2.30%

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%NovemberDecember2025FebruaryMarchApril
-0.04%
-12.94%
IEFA
IEMG

Volatility

IEFA vs. IEMG - Volatility Comparison

iShares Core MSCI EAFE ETF (IEFA) has a higher volatility of 11.87% compared to iShares Core MSCI Emerging Markets ETF (IEMG) at 11.18%. This indicates that IEFA's price experiences larger fluctuations and is considered to be riskier than IEMG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
11.87%
11.18%
IEFA
IEMG