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IEFA vs. XEF.TO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IEFA and XEF.TO is 0.72, 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. XEF.TO - 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 EAFE IMI Index ETF (XEF.TO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

IEFA:

0.76

XEF.TO:

0.85

Sortino Ratio

IEFA:

1.06

XEF.TO:

1.23

Omega Ratio

IEFA:

1.14

XEF.TO:

1.17

Calmar Ratio

IEFA:

0.85

XEF.TO:

0.90

Martin Ratio

IEFA:

2.49

XEF.TO:

4.16

Ulcer Index

IEFA:

4.70%

XEF.TO:

3.11%

Daily Std Dev

IEFA:

17.56%

XEF.TO:

15.51%

Max Drawdown

IEFA:

-34.79%

XEF.TO:

-28.51%

Current Drawdown

IEFA:

-0.43%

XEF.TO:

-1.78%

Returns By Period

In the year-to-date period, IEFA achieves a 16.51% return, which is significantly higher than XEF.TO's 10.92% return. Over the past 10 years, IEFA has underperformed XEF.TO with an annualized return of 6.04%, while XEF.TO has yielded a comparatively higher 6.74% annualized return.


IEFA

YTD

16.51%

1M

5.28%

6M

15.04%

1Y

12.41%

3Y*

11.50%

5Y*

12.10%

10Y*

6.04%

XEF.TO

YTD

10.92%

1M

4.30%

6M

12.75%

1Y

12.78%

3Y*

13.77%

5Y*

11.40%

10Y*

6.74%

*Annualized

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iShares Core MSCI EAFE ETF

IEFA vs. XEF.TO - Expense Ratio Comparison

IEFA has a 0.07% expense ratio, which is lower than XEF.TO's 0.22% 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%.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

IEFA vs. XEF.TO — 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 7272
Overall Rank
The Sharpe Ratio Rank of IEFA is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of IEFA is 7070
Sortino Ratio Rank
The Omega Ratio Rank of IEFA is 6969
Omega Ratio Rank
The Calmar Ratio Rank of IEFA is 7979
Calmar Ratio Rank
The Martin Ratio Rank of IEFA is 6969
Martin Ratio Rank

XEF.TO
The Risk-Adjusted Performance Rank of XEF.TO is 7878
Overall Rank
The Sharpe Ratio Rank of XEF.TO is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of XEF.TO is 7676
Sortino Ratio Rank
The Omega Ratio Rank of XEF.TO is 7777
Omega Ratio Rank
The Calmar Ratio Rank of XEF.TO is 8181
Calmar Ratio Rank
The Martin Ratio Rank of XEF.TO is 8282
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. XEF.TO - 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 EAFE IMI Index ETF (XEF.TO). 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 current IEFA Sharpe Ratio is 0.76, which is comparable to the XEF.TO Sharpe Ratio of 0.85. The chart below compares the historical Sharpe Ratios of IEFA and XEF.TO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

IEFA vs. XEF.TO - Dividend Comparison

IEFA's dividend yield for the trailing twelve months is around 2.98%, more than XEF.TO's 2.48% yield.


TTM20242023202220212020201920182017201620152014
IEFA
iShares Core MSCI EAFE ETF
2.98%3.47%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%3.10%
XEF.TO
iShares Core MSCI EAFE IMI Index ETF
2.48%2.76%2.75%2.93%2.42%1.93%2.72%2.76%2.10%2.42%2.42%5.21%

Drawdowns

IEFA vs. XEF.TO - Drawdown Comparison

The maximum IEFA drawdown since its inception was -34.79%, which is greater than XEF.TO's maximum drawdown of -28.51%. Use the drawdown chart below to compare losses from any high point for IEFA and XEF.TO.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

IEFA vs. XEF.TO - Volatility Comparison

The current volatility for iShares Core MSCI EAFE ETF (IEFA) is 2.59%, while iShares Core MSCI EAFE IMI Index ETF (XEF.TO) has a volatility of 2.93%. This indicates that IEFA experiences smaller price fluctuations and is considered to be less risky than XEF.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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