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IEU.AX vs. AUMF.AX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IEU.AX vs. AUMF.AX

Last updated Jul 16, 2026
Documentation

IEU.AX (iShares Europe ETF (AU)) and AUMF.AX (iShares Edge MSCI Australia Multifactor ETF) are both exchange-traded funds - IEU.AX is a Europe Equities fund tracking the iShares Europe Index, while AUMF.AX is a Multi-factor fund tracking the MSCI Australia IMI Diversified Multiple-Factor (AUD) GROSS Index. Both are passively managed. Over the past 5 years, IEU.AX returned 10.74%/yr vs 7.36%/yr for AUMF.AX. At a 0.44 correlation, their price movements are largely independent.

Performance

IEU.AX vs. AUMF.AX - Performance Comparison

The chart below illustrates the hypothetical performance of a A$10,000 investment in iShares Europe ETF (AU) (IEU.AX) and iShares Edge MSCI Australia Multifactor ETF (AUMF.AX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, IEU.AX achieves a 3.65% return, which is significantly higher than AUMF.AX's -1.94% return.

IEU.AX

1D
0.42%
1M
0.78%
6M
1.13%
YTD
3.65%
1Y
9.05%
3Y*
13.28%
5Y*
10.74%
10Y*
10.65%

AUMF.AX

1D
0.18%
1M
-1.89%
6M
-1.57%
YTD
-1.94%
1Y
3.42%
3Y*
11.71%
5Y*
7.36%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

IEU.AX vs. AUMF.AX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IEU.AX
iShares Europe ETF (AU)		3.65%23.63%10.42%18.56%-5.75%22.27%-3.43%25.90%-4.80%15.54%
AUMF.AX
iShares Edge MSCI Australia Multifactor ETF		-1.94%17.56%14.19%9.25%-1.17%10.50%2.60%24.02%-4.06%12.19%

Correlation

The correlation between IEU.AX and AUMF.AX is 0.55, 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

0.55

Correlation (3Y)
Calculated over the trailing 3-year period

0.48

Correlation (5Y)
Calculated over the trailing 5-year period

0.48

Correlation (All Time)
Calculated using the full available price history since Oct 11, 2016

0.44

The correlation between IEU.AX and AUMF.AX shifts across timeframes, from 0.44 (all time) to 0.55 (1 year), reflecting how their relationship changes across market environments.

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iShares Europe ETF (AU)

iShares Edge MSCI Australia Multifactor ETF

Return for Risk

IEU.AX vs. AUMF.AX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
IEU.AX
IEU.AX Risk / Return Rank: 2525
Overall Rank
IEU.AX Sharpe Ratio Rank: 2626
Sharpe Ratio Rank
IEU.AX Sortino Ratio Rank: 2525
Sortino Ratio Rank
IEU.AX Omega Ratio Rank: 2626
Omega Ratio Rank
IEU.AX Calmar Ratio Rank: 2222
Calmar Ratio Rank
IEU.AX Martin Ratio Rank: 2525
Martin Ratio Rank
AUMF.AX
AUMF.AX Risk / Return Rank: 1212
Overall Rank
AUMF.AX Sharpe Ratio Rank: 1313
Sharpe Ratio Rank
AUMF.AX Sortino Ratio Rank: 1212
Sortino Ratio Rank
AUMF.AX Omega Ratio Rank: 1212
Omega Ratio Rank
AUMF.AX Calmar Ratio Rank: 1313
Calmar Ratio Rank
AUMF.AX Martin Ratio Rank: 1313
Martin Ratio Rank
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.

IEU.AX vs. AUMF.AX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Europe ETF (AU) (IEU.AX) and iShares Edge MSCI Australia Multifactor ETF (AUMF.AX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

IEU.AXAUMF.AXDifference
Sharpe ratioReturn per unit of total volatility
0.79
0.22

+0.57

Sortino ratioReturn per unit of downside risk
1.18
0.40

+0.78

Omega ratioGain probability vs. loss probability

1.16

1.05

+0.11

Calmar ratioReturn relative to maximum drawdown

0.83

0.28

+0.56

Martin ratioReturn relative to average drawdown

2.66

0.66

+2.01

IEU.AX vs. AUMF.AX - Sharpe Ratio Comparison

The current IEU.AX Sharpe Ratio is 0.79, which is higher than the AUMF.AX Sharpe Ratio of 0.22. The chart below compares the historical Sharpe Ratios of IEU.AX and AUMF.AX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

IEU.AX vs. AUMF.AX - Drawdown Comparison

The maximum IEU.AX drawdown since its inception was -38.80%, which is greater than AUMF.AX's maximum drawdown of -36.93%. Use the drawdown chart below to compare losses from any high point for IEU.AX and AUMF.AX.

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Drawdown Indicators

IEU.AXAUMF.AXDifference

Max Drawdown

Largest peak-to-trough decline

-38.80%

-36.93%

-1.87%

Max Drawdown (1Y)

Largest decline over 1 year

-12.04%

-10.47%

-1.57%

Max Drawdown (3Y)

Largest decline over 3 years

-12.04%

-10.47%

-1.57%

Max Drawdown (5Y)

Largest decline over 5 years

-21.67%

-16.05%

-5.62%

Max Drawdown (10Y)

Largest decline over 10 years

-29.90%

—

—

Current Drawdown

Current decline from peak

-1.93%

-5.01%

+3.08%

Average Drawdown

Average peak-to-trough decline

-10.63%

-3.86%

-6.77%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.81%

4.48%

-0.67%

Volatility

IEU.AX vs. AUMF.AX - Volatility Comparison

The current volatility for iShares Europe ETF (AU) (IEU.AX) is 2.59%, while iShares Edge MSCI Australia Multifactor ETF (AUMF.AX) has a volatility of 2.80%. This indicates that IEU.AX experiences smaller price fluctuations and is considered to be less risky than AUMF.AX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IEU.AXAUMF.AXDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.59%

2.80%

-0.21%

Volatility (6M)

Calculated over the trailing 6-month period

10.97%

11.21%

-0.24%

Volatility (1Y)

Calculated over the trailing 1-year period

12.75%

13.35%

-0.60%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.31%

13.08%

+0.23%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

14.78%

14.11%

+0.67%

Dividends

IEU.AX vs. AUMF.AX - Dividend Comparison

IEU.AX's dividend yield for the trailing twelve months is around 7.34%, more than AUMF.AX's 1.44% yield.

PositionTTM20252024202320222021202020192018201720162015
AUMF.AX
iShares Edge MSCI Australia Multifactor ETF		1.44%2.80%3.34%4.69%6.09%2.52%2.71%4.45%8.24%0.00%0.00%0.00%
IEU.AX
iShares Europe ETF (AU)		7.34%1.98%1.92%3.38%3.95%2.93%2.07%4.52%3.95%2.04%1.88%2.34%

Frequently Asked Questions

IEU.AX and AUMF.AX have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

IEU.AX is categorized as Europe Equities, while AUMF.AX is Multi-factor. IEU.AX tracks iShares Europe Index, while AUMF.AX tracks MSCI Australia IMI Diversified Multiple-Factor (AUD) GROSS Index.

Portfolio Optimizer

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