PortfoliosLab logo
IEUS vs. VGK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IEUS and VGK is 0.68, 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

IEUS vs. VGK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Europe Small-Cap ETF (IEUS) and Vanguard FTSE Europe ETF (VGK). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%110.00%NovemberDecember2025FebruaryMarchApril
106.16%
87.65%
IEUS
VGK

Key characteristics

Sharpe Ratio

IEUS:

0.53

VGK:

0.72

Sortino Ratio

IEUS:

0.93

VGK:

1.11

Omega Ratio

IEUS:

1.12

VGK:

1.15

Calmar Ratio

IEUS:

0.50

VGK:

0.89

Martin Ratio

IEUS:

1.97

VGK:

2.51

Ulcer Index

IEUS:

5.96%

VGK:

5.08%

Daily Std Dev

IEUS:

22.25%

VGK:

17.81%

Max Drawdown

IEUS:

-62.12%

VGK:

-63.61%

Current Drawdown

IEUS:

-10.94%

VGK:

-1.15%

Returns By Period

In the year-to-date period, IEUS achieves a 12.25% return, which is significantly lower than VGK's 14.47% return. Over the past 10 years, IEUS has underperformed VGK with an annualized return of 5.35%, while VGK has yielded a comparatively higher 5.83% annualized return.


IEUS

YTD

12.25%

1M

3.08%

6M

5.58%

1Y

12.13%

5Y*

10.64%

10Y*

5.35%

VGK

YTD

14.47%

1M

1.50%

6M

7.86%

1Y

12.64%

5Y*

13.32%

10Y*

5.83%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


IEUS vs. VGK - Expense Ratio Comparison

IEUS has a 0.40% expense ratio, which is higher than VGK's 0.08% expense ratio.


Expense ratio chart for IEUS: current value is 0.40%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
IEUS: 0.40%
Expense ratio chart for VGK: current value is 0.08%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VGK: 0.08%

Risk-Adjusted Performance

IEUS vs. VGK — Risk-Adjusted Performance Rank

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

IEUS
The Risk-Adjusted Performance Rank of IEUS is 6262
Overall Rank
The Sharpe Ratio Rank of IEUS is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of IEUS is 6464
Sortino Ratio Rank
The Omega Ratio Rank of IEUS is 6161
Omega Ratio Rank
The Calmar Ratio Rank of IEUS is 6363
Calmar Ratio Rank
The Martin Ratio Rank of IEUS is 6060
Martin Ratio Rank

VGK
The Risk-Adjusted Performance Rank of VGK is 7272
Overall Rank
The Sharpe Ratio Rank of VGK is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of VGK is 7272
Sortino Ratio Rank
The Omega Ratio Rank of VGK is 6969
Omega Ratio Rank
The Calmar Ratio Rank of VGK is 8080
Calmar Ratio Rank
The Martin Ratio Rank of VGK is 6868
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.

IEUS vs. VGK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe Small-Cap ETF (IEUS) and Vanguard FTSE Europe ETF (VGK). 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 IEUS, currently valued at 0.53, compared to the broader market-1.000.001.002.003.004.00
IEUS: 0.53
VGK: 0.72
The chart of Sortino ratio for IEUS, currently valued at 0.93, compared to the broader market-2.000.002.004.006.008.00
IEUS: 0.93
VGK: 1.11
The chart of Omega ratio for IEUS, currently valued at 1.12, compared to the broader market0.501.001.502.00
IEUS: 1.12
VGK: 1.15
The chart of Calmar ratio for IEUS, currently valued at 0.50, compared to the broader market0.002.004.006.008.0010.0012.00
IEUS: 0.50
VGK: 0.89
The chart of Martin ratio for IEUS, currently valued at 1.97, compared to the broader market0.0020.0040.0060.00
IEUS: 1.97
VGK: 2.51

The current IEUS Sharpe Ratio is 0.53, which is comparable to the VGK Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of IEUS and VGK, 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
0.53
0.72
IEUS
VGK

Dividends

IEUS vs. VGK - Dividend Comparison

IEUS's dividend yield for the trailing twelve months is around 2.89%, less than VGK's 3.06% yield.


TTM20242023202220212020201920182017201620152014
IEUS
iShares MSCI Europe Small-Cap ETF
2.89%3.25%2.97%3.00%2.63%1.21%4.03%3.21%2.13%2.48%2.06%2.38%
VGK
Vanguard FTSE Europe ETF
3.06%3.61%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%

Drawdowns

IEUS vs. VGK - Drawdown Comparison

The maximum IEUS drawdown since its inception was -62.12%, roughly equal to the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for IEUS and VGK. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-10.94%
-1.15%
IEUS
VGK

Volatility

IEUS vs. VGK - Volatility Comparison

iShares MSCI Europe Small-Cap ETF (IEUS) has a higher volatility of 15.23% compared to Vanguard FTSE Europe ETF (VGK) at 11.68%. This indicates that IEUS's price experiences larger fluctuations and is considered to be riskier than VGK 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%14.00%16.00%NovemberDecember2025FebruaryMarchApril
15.23%
11.68%
IEUS
VGK