JEF vs. EWY

Last updated Jun 4, 2026

JEF (Jefferies Financial Group Inc.) is a stock, while EWY (iShares MSCI South Korea ETF) is Asia Pacific Equities fund tracking the MSCI Korea Index. Over the past 10 years, JEF returned 16.70%/yr vs 17.46%/yr for EWY. At a 0.43 correlation, their price movements are largely independent.

Performance

JEF vs. EWY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Jefferies Financial Group Inc. (JEF) and iShares MSCI South Korea ETF (EWY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JEF achieves a -13.45% return, which is significantly lower than EWY's 119.05% return. Both investments have delivered pretty close results over the past 10 years, with JEF having a 16.70% annualized return and EWY not far ahead at 17.46%.

JEF

• 1D: -2.60%
• 1M: 9.61%
• YTD: -13.45%
• 6M: -8.17%
• 1Y: 10.41%
• 3Y*: 22.45%
• 5Y*: 14.94%
• 10Y*: 16.70%

EWY

• 1D: -0.73%
• 1M: 30.18%
• YTD: 119.05%
• 6M: 134.13%
• 1Y: 251.82%
• 3Y*: 51.99%
• 5Y*: 20.31%
• 10Y*: 17.46%

*Multi-year figures are annualized to reflect compound growth (CAGR)

JEF vs. EWY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JEF Jefferies Financial Group Inc.	-13.45%	-18.78%	98.84%	27.74%	-8.46%	61.95%	19.00%	44.18%	-33.15%	15.42%
EWY iShares MSCI South Korea ETF	119.05%	95.33%	-20.48%	19.05%	-26.59%	-7.58%	39.43%	7.97%	-20.37%	44.97%

Correlation

The correlation between JEF and EWY is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.33
Correlation (3Y) Calculated over the trailing 3-year period	0.36
Correlation (5Y) Calculated over the trailing 5-year period	0.42
Correlation (10Y) Calculated over the trailing 10-year period	0.41
Correlation (All Time) Calculated using the full available price history since May 15, 2000	0.43

Return for Risk

JEF vs. EWY — Risk / Return Rank

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

JEF

JEF Risk / Return Rank: 46
JEF Sharpe Ratio Rank: 50
JEF Sortino Ratio Rank: 44
JEF Omega Ratio Rank: 45
JEF Calmar Ratio Rank: 45
JEF Martin Ratio Rank: 46

EWY

EWY Risk / Return Rank: 96
EWY Sharpe Ratio Rank: 98
EWY Sortino Ratio Rank: 95
EWY Omega Ratio Rank: 95
EWY Calmar Ratio Rank: 97
EWY Martin Ratio Rank: 97

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.

JEF vs. EWY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Jefferies Financial Group Inc. (JEF) and iShares MSCI South Korea ETF (EWY). 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.

	JEF	EWY	Difference
Sharpe ratio: Return per unit of total volatility	0.26	6.02	-5.76
Sortino ratio: Return per unit of downside risk	0.59	5.31	-4.72
Omega ratio: Gain probability vs. loss probability	1.08	1.74	-0.66
Calmar ratio: Return relative to maximum drawdown	0.22	10.99	-10.77
Martin ratio: Return relative to average drawdown	0.49	40.91	-40.42
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JEF vs. EWY - Sharpe Ratio Comparison

The current JEF Sharpe Ratio is 0.26, which is lower than the EWY Sharpe Ratio of 6.02. The chart below compares the historical Sharpe Ratios of JEF and EWY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	JEF	EWY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.26	6.02	-5.76
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.42	0.71	-0.29
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.48	0.64	-0.16
Sharpe Ratio (All Time) Calculated using the full available price history	0.44	0.33	+0.11

Drawdowns

JEF vs. EWY - Drawdown Comparison

The maximum JEF drawdown since its inception was -80.74%, which is greater than EWY's maximum drawdown of -74.14%. Use the drawdown chart below to compare losses from any high point for JEF and EWY.

Drawdown Indicators

	JEF	EWY	Difference
Max Drawdown Largest peak-to-trough decline	-80.74%	-74.14%	-6.60%
Max Drawdown (1Y) Largest decline over 1 year	-48.05%	-23.08%	-24.97%
Max Drawdown (3Y) Largest decline over 3 years	-54.39%	-27.36%	-27.03%
Max Drawdown (5Y) Largest decline over 5 years	-54.39%	-48.55%	-5.84%
Max Drawdown (10Y) Largest decline over 10 years	-54.39%	-49.73%	-4.66%
Current Drawdown Current decline from peak	-32.58%	-1.73%	-30.85%
Average Drawdown Average peak-to-trough decline	-25.53%	-20.13%	-5.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	21.30%	6.19%	+15.11%

Volatility

JEF vs. EWY - Volatility Comparison

The current volatility for Jefferies Financial Group Inc. (JEF) is 7.25%, while iShares MSCI South Korea ETF (EWY) has a volatility of 20.32%. This indicates that JEF experiences smaller price fluctuations and is considered to be less risky than EWY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JEF	EWY	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.25%	20.32%	-13.07%
Volatility (6M) Calculated over the trailing 6-month period	30.07%	37.41%	-7.34%
Volatility (1Y) Calculated over the trailing 1-year period	40.47%	42.10%	-1.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	35.85%	28.83%	+7.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	34.96%	27.37%	+7.59%

Dividends

JEF vs. EWY - Dividend Comparison

JEF's dividend yield for the trailing twelve months is around 3.03%, more than EWY's 0.96% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EWY iShares MSCI South Korea ETF	0.96%	2.10%	2.55%	2.52%	1.23%	2.16%	0.73%	2.10%	1.34%	2.90%	1.21%	2.42%
JEF Jefferies Financial Group Inc.	3.03%	2.58%	1.66%	2.97%	3.50%	2.32%	2.44%	8.07%	2.59%	1.23%	1.08%	1.44%

Frequently Asked Questions

Can I hold both JEF and EWY in my portfolio?

JEF and EWY have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JEF or EWY?

EWY has higher volatility (20.32%) compared to JEF (7.25%). In terms of maximum drawdown, JEF dropped -80.74% vs EWY's -74.14%.

Which has better risk-adjusted returns?

EWY currently has the higher Sharpe Ratio (6.02 vs 0.26), 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.