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IEV vs. VGK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IEV and VGK is 0.79, 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

IEV vs. VGK - Performance Comparison

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

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Key characteristics

Sharpe Ratio

IEV:

0.72

VGK:

0.75

Sortino Ratio

IEV:

1.16

VGK:

1.21

Omega Ratio

IEV:

1.15

VGK:

1.16

Calmar Ratio

IEV:

0.91

VGK:

0.98

Martin Ratio

IEV:

2.56

VGK:

2.76

Ulcer Index

IEV:

5.18%

VGK:

5.07%

Daily Std Dev

IEV:

17.54%

VGK:

17.85%

Max Drawdown

IEV:

-63.27%

VGK:

-63.61%

Current Drawdown

IEV:

-1.05%

VGK:

-0.97%

Returns By Period

The year-to-date returns for both stocks are quite close, with IEV having a 20.75% return and VGK slightly lower at 20.72%. Over the past 10 years, IEV has underperformed VGK with an annualized return of 6.04%, while VGK has yielded a comparatively higher 6.38% annualized return.


IEV

YTD

20.75%

1M

4.51%

6M

18.46%

1Y

12.56%

3Y*

12.21%

5Y*

12.86%

10Y*

6.04%

VGK

YTD

20.72%

1M

4.78%

6M

18.63%

1Y

13.32%

3Y*

12.16%

5Y*

12.83%

10Y*

6.38%

*Annualized

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iShares Europe ETF

Vanguard FTSE Europe ETF

IEV vs. VGK - Expense Ratio Comparison

IEV has a 0.59% expense ratio, which is higher than VGK's 0.08% expense ratio.


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

Risk-Adjusted Performance

IEV vs. VGK — Risk-Adjusted Performance Rank

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

IEV
The Risk-Adjusted Performance Rank of IEV is 6868
Overall Rank
The Sharpe Ratio Rank of IEV is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of IEV is 6868
Sortino Ratio Rank
The Omega Ratio Rank of IEV is 6565
Omega Ratio Rank
The Calmar Ratio Rank of IEV is 7777
Calmar Ratio Rank
The Martin Ratio Rank of IEV is 6464
Martin Ratio Rank

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

IEV vs. VGK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Europe ETF (IEV) 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 current IEV Sharpe Ratio is 0.72, which is comparable to the VGK Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of IEV 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.


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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

IEV vs. VGK - Dividend Comparison

IEV's dividend yield for the trailing twelve months is around 2.57%, less than VGK's 2.90% yield.


TTM20242023202220212020201920182017201620152014
IEV
iShares Europe ETF
2.57%3.10%2.77%3.06%2.81%1.76%3.06%3.43%2.39%3.08%2.81%3.79%
VGK
Vanguard FTSE Europe ETF
2.90%3.61%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%

Drawdowns

IEV vs. VGK - Drawdown Comparison

The maximum IEV drawdown since its inception was -63.27%, roughly equal to the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for IEV and VGK.


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

Volatility

IEV vs. VGK - Volatility Comparison

iShares Europe ETF (IEV) and Vanguard FTSE Europe ETF (VGK) have volatilities of 3.36% and 3.29%, 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.


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