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IJS vs. VGK
Performance
Return for Risk
Drawdowns
Volatility
Dividends

IJS vs. VGK

Last updated Aug 4, 2026
Documentation

IJS (iShares S&P SmallCap 600 Value ETF) and VGK (Vanguard FTSE Europe ETF) are both exchange-traded funds - IJS is a Small Cap Value Equities fund tracking the S&P SmallCap 600 Value Index, while VGK is a Europe Equities fund tracking the FTSE Developed Europe All Cap Index. Both are passively managed. Over the past 10 years, IJS returned 10.13%/yr vs 10.04%/yr for VGK. Their 0.69 correlation means they have sometimes moved together and sometimes differently. IJS charges 0.25%/yr vs 0.06%/yr for VGK.

Performance

IJS vs. VGK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares S&P SmallCap 600 Value ETF (IJS) and Vanguard FTSE Europe ETF (VGK). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, IJS achieves a 22.21% return, which is significantly higher than VGK's 10.75% return. Both investments have delivered pretty close results over the past 10 years, with IJS having a 10.13% annualized return and VGK not far behind at 10.04%.

IJS

1D
1.63%
1M
2.02%
6M
13.63%
YTD
22.21%
1Y
41.71%
3Y*
13.61%
5Y*
8.71%
10Y*
10.13%
ALL TIME*
10.00%

VGK

1D
0.38%
1M
1.77%
6M
4.99%
YTD
10.75%
1Y
24.53%
3Y*
17.52%
5Y*
9.15%
10Y*
10.04%
ALL TIME*
6.49%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

IJS

iShares S&P SmallCap 600 Value ETF
$28.67M$28.65M$50.11M

VGK

Vanguard FTSE Europe ETF
$216.43M$182.63M$227.46M

IJS vs. VGK - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
IJS
iShares S&P SmallCap 600 Value ETF		22.21%6.54%7.33%14.68%-11.34%30.53%2.63%24.11%-12.86%11.35%
VGK
Vanguard FTSE Europe ETF		10.75%35.83%1.88%20.19%-15.98%16.89%5.43%24.85%-14.89%26.98%

Correlation

The correlation between IJS and VGK is 0.63, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.63

Correlation (3Y)
Balances recent behavior with more history.

0.63

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.67

Correlation (10Y)
Provides a long-term view across more market conditions.

0.64

Correlation (All Time)
Calculated using the full available price history since Mar 10, 2005

0.69

The correlation between IJS and VGK has been stable across timeframes, ranging from 0.63 to 0.69 - a consistent structural relationship.

IJS vs. VGK - Sectors Allocation Comparison

Sectors
IJS
VGK

Financial Services

21.6%
24.1%

Consumer Cyclical

15.0%
7.0%

Industrials

12.9%
20.0%

Technology

11.5%
9.9%

Real Estate

8.3%
1.5%

Energy

7.6%
4.5%

Healthcare

6.3%
12.6%

Basic Materials

5.9%
5.2%

Consumer Defensive

5.5%
7.8%

Communication Services

3.5%
2.8%

Utilities

2.1%
4.5%

Financial Services

IJS
21.6%
VGK
24.1%

Consumer Cyclical

IJS
15.0%
VGK
7.0%

Industrials

IJS
12.9%
VGK
20.0%

Technology

IJS
11.5%
VGK
9.9%

Real Estate

IJS
8.3%
VGK
1.5%

Energy

IJS
7.6%
VGK
4.5%

Healthcare

IJS
6.3%
VGK
12.6%

Basic Materials

IJS
5.9%
VGK
5.2%

Consumer Defensive

IJS
5.5%
VGK
7.8%

Communication Services

IJS
3.5%
VGK
2.8%

Utilities

IJS
2.1%
VGK
4.5%

Compare stocks, funds, or ETFs

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

iShares S&P SmallCap 600 Value ETF

Vanguard FTSE Europe ETF

Often compared with IJS:
IJS vs. IJRIJS vs. AVUVIJS vs. VBRIJS vs. VIOVIJS vs. IWNIJS vs. VOOIJS vs. ISCV
Often compared with VGK:
VGK vs. VEAVGK vs. IEURVGK vs. VXUSVGK vs. VOOVGK vs. VEUVGK vs. FEZVGK vs. SPEU

Return for Risk

IJS vs. VGK — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
IJS
IJS Risk / Return Rank: 9191
Overall Rank
IJS Sharpe Ratio Rank: 9191
Sharpe Ratio Rank
IJS Sortino Ratio Rank: 9292
Sortino Ratio Rank
IJS Omega Ratio Rank: 8989
Omega Ratio Rank
IJS Calmar Ratio Rank: 9393
Calmar Ratio Rank
IJS Martin Ratio Rank: 9191
Martin Ratio Rank
VGK
VGK Risk / Return Rank: 6363
Overall Rank
VGK Sharpe Ratio Rank: 6666
Sharpe Ratio Rank
VGK Sortino Ratio Rank: 6767
Sortino Ratio Rank
VGK Omega Ratio Rank: 6363
Omega Ratio Rank
VGK Calmar Ratio Rank: 5656
Calmar Ratio Rank
VGK Martin Ratio Rank: 6363
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

IJS vs. VGK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares S&P SmallCap 600 Value ETF (IJS) 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.

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.

IJSVGKDifference
Sharpe ratioReturn per unit of total volatility
2.37
1.55

+0.82

Sortino ratioReturn per unit of downside risk
3.39
2.25

+1.15

Omega ratioGain probability vs. loss probability

1.41

1.27

+0.14

Calmar ratioReturn relative to maximum drawdown

4.51

2.04

+2.48

Martin ratioReturn relative to average drawdown

15.48

7.76

+7.72

IJS vs. VGK - Sharpe Ratio Comparison

The current IJS Sharpe Ratio is 2.37, which is higher than the VGK Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of IJS and VGK, 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

IJS vs. VGK - Drawdown Comparison

The maximum IJS drawdown since its inception was -60.11%, smaller than the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for IJS and VGK.

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Drawdown Indicators

IJSVGKDifference

Max Drawdown

Largest peak-to-trough decline

-60.11%

-63.61%

+3.50%

Max Drawdown (1Y)

Largest decline over 1 year

-9.28%

-12.09%

+2.81%

Max Drawdown (3Y)

Largest decline over 3 years

-28.65%

-14.31%

-14.34%

Max Drawdown (5Y)

Largest decline over 5 years

-28.65%

-32.74%

+4.09%

Max Drawdown (10Y)

Largest decline over 10 years

-47.68%

-37.24%

-10.44%

Current Drawdown

Current decline from peak

0.00%

-0.07%

+0.07%

Average Drawdown

Average peak-to-trough decline

-9.84%

-13.25%

+3.41%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.70%

3.17%

-0.47%

Volatility

IJS vs. VGK - Volatility Comparison

The current volatility for iShares S&P SmallCap 600 Value ETF (IJS) is 3.79%, while Vanguard FTSE Europe ETF (VGK) has a volatility of 4.11%. This indicates that IJS experiences smaller price fluctuations and is considered to be less risky than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

IJSVGKDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.79%

4.11%

-0.32%

Volatility (6M)

Calculated over the trailing 6-month period

11.23%

13.73%

-2.50%

Volatility (1Y)

Calculated over the trailing 1-year period

17.68%

15.88%

+1.80%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.73%

17.98%

+3.75%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.55%

18.49%

+5.06%

IJS vs. VGK - Expense Ratio Comparison

IJS has a 0.25% expense ratio, which is higher than VGK's 0.06% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

IJS vs. VGK - Dividend Comparison

IJS's dividend yield for the trailing twelve months is around 1.30%, less than VGK's 2.82% yield.

PositionTTM20252024202320222021202020192018201720162015
IJS
iShares S&P SmallCap 600 Value ETF		1.30%1.62%1.78%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%
VGK
Vanguard FTSE Europe ETF		2.82%2.86%3.61%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%

Frequently Asked Questions

IJS and VGK have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VGK has higher volatility (4.11%) compared to IJS (3.79%). In terms of maximum drawdown, IJS dropped -60.11% vs VGK's -63.61%.

On 10-year performance, IJS leads with 10.13% vs 10.04% for VGK. On fees, VGK is cheaper at 0.06% per year. On volatility, IJS has been the lower-risk option at 3.79%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, IJS has performed better with a 10.13% return vs 10.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VGK is cheaper with a 0.06% expense ratio, compared with 0.25% for IJS.

VGK has the higher dividend yield at 2.82%, compared with 1.30% for IJS.

IJS is categorized as Small Cap Value Equities, while VGK is Europe Equities. IJS tracks S&P SmallCap 600 Value Index, while VGK tracks FTSE Developed Europe All Cap Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.25% for IJS and 0.06% for VGK.

IJS currently has the higher Sharpe Ratio (2.37 vs 1.55), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

Find the right allocation for IJS and VGK

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