PNGAX vs. EFA

Last updated Jun 3, 2026

PNGAX (Putnam International Value Fund) and EFA (iShares MSCI EAFE ETF) are both Foreign Large Cap Equities funds. Over the past 10 years, PNGAX returned 9.73%/yr vs 9.21%/yr for EFA. Their correlation of 0.92 suggests significant overlap in exposure. PNGAX charges 1.27%/yr vs 0.32%/yr for EFA.

Performance

PNGAX vs. EFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Putnam International Value Fund (PNGAX) and iShares MSCI EAFE ETF (EFA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PNGAX achieves a 8.69% return, which is significantly lower than EFA's 9.36% return. Over the past 10 years, PNGAX has outperformed EFA with an annualized return of 9.73%, while EFA has yielded a comparatively lower 9.21% annualized return.

PNGAX

• 1D: -0.42%
• 1M: 1.08%
• YTD: 8.69%
• 6M: 11.87%
• 1Y: 20.98%
• 3Y*: 18.94%
• 5Y*: 10.67%
• 10Y*: 9.73%

EFA

• 1D: 0.56%
• 1M: 2.86%
• YTD: 9.36%
• 6M: 12.50%
• 1Y: 21.18%
• 3Y*: 16.77%
• 5Y*: 8.66%
• 10Y*: 9.21%

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

PNGAX vs. EFA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PNGAX Putnam International Value Fund	8.69%	34.66%	5.86%	18.50%	-6.85%	14.24%	4.19%	19.96%	-18.02%	24.09%
EFA iShares MSCI EAFE ETF	9.36%	31.55%	3.49%	18.36%	-14.39%	11.45%	7.60%	22.04%	-13.82%	25.07%

Correlation

The correlation between PNGAX and EFA is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Aug 20, 2001	0.92

The correlation between PNGAX and EFA has been stable across timeframes, ranging from 0.92 to 0.93 - a consistent structural relationship.

Return for Risk

PNGAX vs. EFA — Risk / Return Rank

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

PNGAX

PNGAX Risk / Return Rank: 31
PNGAX Sharpe Ratio Rank: 29
PNGAX Sortino Ratio Rank: 28
PNGAX Omega Ratio Rank: 30
PNGAX Calmar Ratio Rank: 31
PNGAX Martin Ratio Rank: 35

EFA

EFA Risk / Return Rank: 41
EFA Sharpe Ratio Rank: 39
EFA Sortino Ratio Rank: 40
EFA Omega Ratio Rank: 40
EFA Calmar Ratio Rank: 39
EFA Martin Ratio Rank: 45

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.

PNGAX vs. EFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Putnam International Value Fund (PNGAX) and iShares MSCI EAFE ETF (EFA). 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.

	PNGAX	EFA	Difference
Sharpe ratio Return per unit of total volatility	1.58	1.42	+0.16
Sortino ratio Return per unit of downside risk	2.24	2.05	+0.19
Omega ratio Gain probability vs. loss probability	1.29	1.26	+0.03
Calmar ratio Return relative to maximum drawdown	2.13	1.97	+0.16
Martin ratio Return relative to average drawdown	7.87	7.39	+0.48
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PNGAX vs. EFA - Sharpe Ratio Comparison

The current PNGAX Sharpe Ratio is 1.58, which is comparable to the EFA Sharpe Ratio of 1.42. The chart below compares the historical Sharpe Ratios of PNGAX and EFA, 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

	PNGAX	EFA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.58	1.42	+0.16
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.68	0.53	+0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.57	0.54	+0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.31	+0.04

Drawdowns

PNGAX vs. EFA - Drawdown Comparison

The maximum PNGAX drawdown since its inception was -64.78%, which is greater than EFA's maximum drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for PNGAX and EFA.

Drawdown Indicators

	PNGAX	EFA	Difference
Max Drawdown Largest peak-to-trough decline	-64.78%	-61.04%	-3.74%
Max Drawdown (1Y) Largest decline over 1 year	-10.51%	-11.42%	+0.91%
Max Drawdown (3Y) Largest decline over 3 years	-13.87%	-14.05%	+0.18%
Max Drawdown (5Y) Largest decline over 5 years	-27.37%	-29.53%	+2.16%
Max Drawdown (10Y) Largest decline over 10 years	-41.58%	-34.19%	-7.39%
Current Drawdown Current decline from peak	-1.42%	-0.61%	-0.81%
Average Drawdown Average peak-to-trough decline	-15.82%	-11.94%	-3.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.84%	3.04%	-0.20%

Volatility

PNGAX vs. EFA - Volatility Comparison

The current volatility for Putnam International Value Fund (PNGAX) is 4.17%, while iShares MSCI EAFE ETF (EFA) has a volatility of 5.12%. This indicates that PNGAX experiences smaller price fluctuations and is considered to be less risky than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PNGAX	EFA	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.17%	5.12%	-0.95%
Volatility (6M) Calculated over the trailing 6-month period	11.40%	12.49%	-1.09%
Volatility (1Y) Calculated over the trailing 1-year period	14.29%	15.06%	-0.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.75%	16.48%	-0.73%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.06%	17.26%	-0.20%

PNGAX vs. EFA - Expense Ratio Comparison

PNGAX has a 1.27% expense ratio, which is higher than EFA's 0.32% expense ratio.

Dividends

PNGAX vs. EFA - Dividend Comparison

PNGAX's dividend yield for the trailing twelve months is around 2.73%, less than EFA's 3.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EFA iShares MSCI EAFE ETF	3.09%	3.38%	3.24%	2.98%	2.69%	3.33%	2.13%	3.10%	3.39%	2.57%	3.07%	2.76%
PNGAX Putnam International Value Fund	2.73%	2.97%	3.89%	2.35%	1.63%	5.70%	1.84%	3.91%	4.34%	1.11%	2.23%	1.09%

Frequently Asked Questions

Can I hold both PNGAX and EFA in my portfolio?

With a correlation of 0.93, PNGAX and EFA move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, PNGAX or EFA?

EFA has higher volatility (5.12%) compared to PNGAX (4.17%). In terms of maximum drawdown, PNGAX dropped -64.78% vs EFA's -61.04%.

Which has better risk-adjusted returns?

PNGAX currently has the higher Sharpe Ratio (1.58 vs 1.42), 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.