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IEUR vs. EFA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IEUR and EFA is 0.75, 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.


-0.50.00.51.0
Correlation: 0.8

Performance

IEUR vs. EFA - Performance Comparison

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

45.00%50.00%55.00%60.00%65.00%70.00%NovemberDecember2025FebruaryMarchApril
68.73%
66.88%
IEUR
EFA

Key characteristics

Sharpe Ratio

IEUR:

0.69

EFA:

0.65

Sortino Ratio

IEUR:

1.08

EFA:

1.03

Omega Ratio

IEUR:

1.14

EFA:

1.14

Calmar Ratio

IEUR:

0.87

EFA:

0.81

Martin Ratio

IEUR:

2.33

EFA:

2.44

Ulcer Index

IEUR:

5.31%

EFA:

4.69%

Daily Std Dev

IEUR:

17.97%

EFA:

17.61%

Max Drawdown

IEUR:

-36.96%

EFA:

-61.04%

Current Drawdown

IEUR:

-1.04%

EFA:

-0.91%

Returns By Period

In the year-to-date period, IEUR achieves a 14.91% return, which is significantly higher than EFA's 11.26% return. Over the past 10 years, IEUR has outperformed EFA with an annualized return of 5.84%, while EFA has yielded a comparatively lower 5.29% annualized return.


IEUR

YTD

14.91%

1M

1.57%

6M

7.92%

1Y

12.26%

5Y*

13.19%

10Y*

5.84%

EFA

YTD

11.26%

1M

1.11%

6M

6.74%

1Y

11.28%

5Y*

11.71%

10Y*

5.29%

*Annualized

Compare stocks, funds, or ETFs

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IEUR vs. EFA - Expense Ratio Comparison

IEUR has a 0.09% expense ratio, which is lower than EFA's 0.32% expense ratio.


Expense ratio chart for EFA: current value is 0.32%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EFA: 0.32%
Expense ratio chart for IEUR: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IEUR: 0.09%

Risk-Adjusted Performance

IEUR vs. EFA — Risk-Adjusted Performance Rank

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

IEUR
The Risk-Adjusted Performance Rank of IEUR is 7171
Overall Rank
The Sharpe Ratio Rank of IEUR is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of IEUR is 7171
Sortino Ratio Rank
The Omega Ratio Rank of IEUR is 6969
Omega Ratio Rank
The Calmar Ratio Rank of IEUR is 8080
Calmar Ratio Rank
The Martin Ratio Rank of IEUR is 6666
Martin Ratio Rank

EFA
The Risk-Adjusted Performance Rank of EFA is 7070
Overall Rank
The Sharpe Ratio Rank of EFA is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of EFA is 6868
Sortino Ratio Rank
The Omega Ratio Rank of EFA is 6767
Omega Ratio Rank
The Calmar Ratio Rank of EFA is 7979
Calmar Ratio Rank
The Martin Ratio Rank of EFA is 6767
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.

IEUR vs. EFA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI Europe ETF (IEUR) and iShares MSCI EAFE ETF (EFA). 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 IEUR, currently valued at 0.69, compared to the broader market-1.000.001.002.003.004.00
IEUR: 0.69
EFA: 0.65
The chart of Sortino ratio for IEUR, currently valued at 1.08, compared to the broader market-2.000.002.004.006.008.00
IEUR: 1.08
EFA: 1.03
The chart of Omega ratio for IEUR, currently valued at 1.14, compared to the broader market0.501.001.502.00
IEUR: 1.14
EFA: 1.14
The chart of Calmar ratio for IEUR, currently valued at 0.87, compared to the broader market0.002.004.006.008.0010.0012.00
IEUR: 0.87
EFA: 0.81
The chart of Martin ratio for IEUR, currently valued at 2.33, compared to the broader market0.0020.0040.0060.00
IEUR: 2.33
EFA: 2.44

The current IEUR Sharpe Ratio is 0.69, which is comparable to the EFA Sharpe Ratio of 0.65. The chart below compares the historical Sharpe Ratios of IEUR and EFA, 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
0.69
0.65
IEUR
EFA

Dividends

IEUR vs. EFA - Dividend Comparison

IEUR's dividend yield for the trailing twelve months is around 3.08%, more than EFA's 2.91% yield.


TTM20242023202220212020201920182017201620152014
IEUR
iShares Core MSCI Europe ETF
3.08%3.54%3.17%3.05%2.87%2.13%3.26%3.76%2.64%3.19%2.79%0.64%
EFA
iShares MSCI EAFE ETF
2.91%3.24%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%3.72%

Drawdowns

IEUR vs. EFA - Drawdown Comparison

The maximum IEUR drawdown since its inception was -36.96%, smaller than the maximum EFA drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for IEUR and EFA. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-1.04%
-0.91%
IEUR
EFA

Volatility

IEUR vs. EFA - Volatility Comparison

iShares Core MSCI Europe ETF (IEUR) and iShares MSCI EAFE ETF (EFA) have volatilities of 12.00% and 11.86%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
12.00%
11.86%
IEUR
EFA