MS vs. EFG
MS (Morgan Stanley) is a stock, while EFG (iShares MSCI EAFE Growth ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Growth Index. Over the past 10 years, MS returned 27.13%/yr vs 8.09%/yr for EFG. A 0.57 correlation means they provide meaningful diversification when combined.
Performance
MS vs. EFG - Performance Comparison
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Returns By Period
In the year-to-date period, MS achieves a 20.86% return, which is significantly higher than EFG's 6.44% return. Over the past 10 years, MS has outperformed EFG with an annualized return of 27.13%, while EFG has yielded a comparatively lower 8.09% annualized return.
MS
- 1D
- 0.15%
- 1M
- 9.92%
- YTD
- 20.86%
- 6M
- 21.34%
- 1Y
- 64.89%
- 3Y*
- 39.40%
- 5Y*
- 21.89%
- 10Y*
- 27.13%
EFG
- 1D
- 1.13%
- 1M
- -1.06%
- YTD
- 6.44%
- 6M
- 7.52%
- 1Y
- 11.82%
- 3Y*
- 10.54%
- 5Y*
- 3.87%
- 10Y*
- 8.09%
MS vs. EFG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MS Morgan Stanley | 20.86% | 45.16% | 39.73% | 13.93% | -10.34% | 46.65% | 38.09% | 32.67% | -22.76% | 26.61% |
EFG iShares MSCI EAFE Growth ETF | 6.44% | 20.70% | 1.53% | 17.55% | -23.12% | 11.01% | 17.85% | 27.47% | -12.93% | 28.86% |
Correlation
The correlation between MS and EFG is 0.54, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.49 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.56 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.54 |
Correlation (All Time) Calculated using the full available price history since Aug 5, 2005 | 0.57 |
The correlation between MS and EFG has been stable across timeframes, ranging from 0.49 to 0.57 - a consistent structural relationship.
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Return for Risk
MS vs. EFG — Risk / Return Rank
MS
EFG
MS vs. EFG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley (MS) 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.
| MS | EFG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.87 | ||
| Sortino ratioReturn per unit of downside risk | +2.09 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.13 | +0.30 |
| Calmar ratioReturn relative to maximum drawdown | 3.46 | 0.93 | +2.53 |
| Martin ratioReturn relative to average drawdown | 11.46 | 3.41 | +8.05 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MS | EFG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.55 | 0.68 | +1.87 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.77 | 0.21 | +0.55 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.86 | 0.46 | +0.41 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.29 | 0.00 |
Drawdowns
MS vs. EFG - Drawdown Comparison
The maximum MS drawdown since its inception was -88.12%, which is greater than EFG's maximum drawdown of -58.40%. Use the drawdown chart below to compare losses from any high point for MS and EFG.
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Drawdown Indicators
| MS | EFG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.12% | -58.40% | -29.72% |
Max Drawdown (1Y)Largest decline over 1 year | -18.83% | -12.78% | -6.05% |
Max Drawdown (3Y)Largest decline over 3 years | -29.24% | -16.87% | -12.37% |
Max Drawdown (5Y)Largest decline over 5 years | -32.38% | -35.78% | +3.40% |
Max Drawdown (10Y)Largest decline over 10 years | -51.33% | -35.78% | -15.55% |
Current DrawdownCurrent decline from peak | -2.76% | -2.28% | -0.48% |
Average DrawdownAverage peak-to-trough decline | -33.70% | -12.15% | -21.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.68% | 3.47% | +2.21% |
Volatility
MS vs. EFG - Volatility Comparison
Morgan Stanley (MS) has a higher volatility of 8.06% compared to iShares MSCI EAFE Growth ETF (EFG) at 5.78%. This indicates that MS's price experiences larger fluctuations and is considered to be riskier than EFG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MS | EFG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.06% | 5.78% | +2.28% |
Volatility (6M)Calculated over the trailing 6-month period | 21.21% | 14.82% | +6.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.62% | 17.48% | +8.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.72% | 18.18% | +10.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.51% | 17.73% | +13.78% |
Dividends
MS vs. EFG - Dividend Comparison
MS's dividend yield for the trailing twelve months is around 1.88%, less than EFG's 2.37% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFG iShares MSCI EAFE Growth ETF | 2.37% | 2.53% | 1.64% | 1.63% | 1.27% | 1.54% | 0.85% | 1.69% | 1.98% | 1.56% | 2.20% | 1.75% |
MS Morgan Stanley | 1.88% | 2.17% | 2.82% | 3.49% | 3.47% | 2.14% | 2.04% | 2.54% | 2.77% | 1.72% | 1.66% | 1.73% |
Frequently Asked Questions
MS and EFG have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MS has higher volatility (8.06%) compared to EFG (5.78%). In terms of maximum drawdown, MS dropped -88.12% vs EFG's -58.40%.
MS currently has the higher Sharpe Ratio (2.55 vs 0.68), 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.
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