KOKU vs. EFG
Compare and contrast key facts about Xtrackers MSCI Kokusai Equity ETF (KOKU) and iShares MSCI EAFE Growth ETF (EFG).
KOKU and EFG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. KOKU is a passively managed fund by Deutsche Bank that tracks the performance of the MSCI Kokusai Index (World ex Japan). It was launched on Apr 8, 2020. EFG is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Growth Index. It was launched on Aug 1, 2005. Both KOKU and EFG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: KOKU or EFG.
Key characteristics
| KOKU | EFG | |
|---|---|---|
| YTD Return | 21.72% | 3.81% |
| 1Y Return | 32.99% | 15.19% |
| 3Y Return (Ann) | 7.82% | -2.64% |
| Sharpe Ratio | 2.82 | 1.04 |
| Sortino Ratio | 3.83 | 1.54 |
| Omega Ratio | 1.52 | 1.18 |
| Calmar Ratio | 4.18 | 0.74 |
| Martin Ratio | 19.04 | 4.87 |
| Ulcer Index | 1.74% | 3.12% |
| Daily Std Dev | 11.74% | 14.63% |
| Max Drawdown | -25.77% | -58.41% |
| Current Drawdown | -0.53% | -8.52% |
Correlation
The correlation between KOKU and EFG is 0.84, 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
KOKU vs. EFG - Performance Comparison
In the year-to-date period, KOKU achieves a 21.72% return, which is significantly higher than EFG's 3.81% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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KOKU vs. EFG - Expense Ratio Comparison
KOKU has a 0.09% expense ratio, which is lower than EFG's 0.40% expense ratio.
Risk-Adjusted Performance
KOKU vs. EFG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI Kokusai Equity ETF (KOKU) and iShares MSCI EAFE Growth ETF (EFG). 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.
Dividends
KOKU vs. EFG - Dividend Comparison
KOKU's dividend yield for the trailing twelve months is around 1.55%, which matches EFG's 1.55% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KOKU Xtrackers MSCI Kokusai Equity ETF | 1.55% | 1.76% | 1.98% | 1.89% | 0.55% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EFG iShares MSCI EAFE Growth ETF | 1.55% | 1.63% | 1.27% | 1.54% | 0.85% | 1.69% | 1.98% | 1.56% | 2.20% | 1.75% | 2.34% | 1.86% |
Drawdowns
KOKU vs. EFG - Drawdown Comparison
The maximum KOKU drawdown since its inception was -25.77%, smaller than the maximum EFG drawdown of -58.41%. Use the drawdown chart below to compare losses from any high point for KOKU and EFG. For additional features, visit the drawdowns tool.
Volatility
KOKU vs. EFG - Volatility Comparison
The current volatility for Xtrackers MSCI Kokusai Equity ETF (KOKU) is 3.24%, while iShares MSCI EAFE Growth ETF (EFG) has a volatility of 4.54%. This indicates that KOKU experiences smaller price fluctuations and is considered to be less risky than EFG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.