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RTYS.L vs. EFA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

RTYS.L vs. EFA

Last updated Jun 4, 2026

RTYS.L (Invesco Russell 2000 UCITS ETF) and EFA (iShares MSCI EAFE ETF) are both exchange-traded funds - RTYS.L is a Small Cap Blend Equities fund tracking the Russell 2000 TR USD, while EFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Both are passively managed. Over the past 10 years, RTYS.L returned 10.67%/yr vs 9.11%/yr for EFA. At a 0.44 correlation, their price movements are largely independent. RTYS.L charges 0.25%/yr vs 0.32%/yr for EFA.

Performance

RTYS.L vs. EFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Russell 2000 UCITS ETF (RTYS.L) and iShares MSCI EAFE ETF (EFA). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, RTYS.L achieves a 16.53% return, which is significantly higher than EFA's 8.42% return. Over the past 10 years, RTYS.L has outperformed EFA with an annualized return of 10.67%, while EFA has yielded a comparatively lower 9.11% annualized return.

RTYS.L

1D
-1.07%
1M
3.46%
YTD
16.53%
6M
16.96%
1Y
39.75%
3Y*
18.26%
5Y*
5.95%
10Y*
10.67%

EFA

1D
-0.86%
1M
3.40%
YTD
8.42%
6M
10.94%
1Y
21.06%
3Y*
16.44%
5Y*
8.29%
10Y*
9.11%
*Multi-year figures are annualized to reflect compound growth (CAGR)

RTYS.L vs. EFA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
RTYS.L
Invesco Russell 2000 UCITS ETF		16.53%12.51%10.09%18.90%-21.01%13.97%19.89%24.61%-12.53%14.83%
EFA
iShares MSCI EAFE ETF		8.42%31.55%3.49%18.36%-14.39%11.45%7.60%22.04%-13.82%25.07%

Correlation

The correlation between RTYS.L and EFA is 0.50, 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

0.50

Correlation (3Y)
Calculated over the trailing 3-year period

0.48

Correlation (5Y)
Calculated over the trailing 5-year period

0.51

Correlation (10Y)
Calculated over the trailing 10-year period

0.48

Correlation (All Time)
Calculated using the full available price history since Oct 31, 2011

0.44

The correlation between RTYS.L and EFA has been stable across timeframes, ranging from 0.44 to 0.51 - a consistent structural relationship.

RTYS.L vs. EFA - Sectors Allocation Comparison

Sectors
RTYS.L
EFA

Industrials

17.7%
19.9%

Technology

17.0%
10.4%

Healthcare

16.5%
10.6%

Financial Services

15.8%
24.6%

Consumer Cyclical

8.4%
7.6%

Real Estate

6.1%
1.9%

Energy

6.1%
4.0%

Basic Materials

4.8%
5.9%

Utilities

2.9%
4.0%

Communication Services

2.4%
4.5%

Consumer Defensive

2.4%
6.7%

Industrials

RTYS.L
17.7%
EFA
19.9%

Technology

RTYS.L
17.0%
EFA
10.4%

Healthcare

RTYS.L
16.5%
EFA
10.6%

Financial Services

RTYS.L
15.8%
EFA
24.6%

Consumer Cyclical

RTYS.L
8.4%
EFA
7.6%

Real Estate

RTYS.L
6.1%
EFA
1.9%

Energy

RTYS.L
6.1%
EFA
4.0%

Basic Materials

RTYS.L
4.8%
EFA
5.9%

Utilities

RTYS.L
2.9%
EFA
4.0%

Communication Services

RTYS.L
2.4%
EFA
4.5%

Consumer Defensive

RTYS.L
2.4%
EFA
6.7%

Compare stocks, funds, or ETFs

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

Invesco Russell 2000 UCITS ETF

iShares MSCI EAFE ETF

Often compared with RTYS.L:
RTYS.L vs. HLGEXRTYS.L vs. R2SC.LRTYS.L vs. FCIGXRTYS.L vs. SPYRTYS.L vs. MARARTYS.L vs. ^GSPCRTYS.L vs. COIN
Often compared with EFA:
EFA vs. IEFAEFA vs. VEAEFA vs. EFGEFA vs. XEF.TOEFA vs. EFAVEFA vs. IEUREFA vs. EFO

Return for Risk

RTYS.L vs. EFA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
RTYS.L
RTYS.L Risk / Return Rank: 6666
Overall Rank
RTYS.L Sharpe Ratio Rank: 6363
Sharpe Ratio Rank
RTYS.L Sortino Ratio Rank: 6666
Sortino Ratio Rank
RTYS.L Omega Ratio Rank: 5858
Omega Ratio Rank
RTYS.L Calmar Ratio Rank: 7575
Calmar Ratio Rank
RTYS.L Martin Ratio Rank: 6767
Martin Ratio Rank
EFA
EFA Risk / Return Rank: 3939
Overall Rank
EFA Sharpe Ratio Rank: 3939
Sharpe Ratio Rank
EFA Sortino Ratio Rank: 3939
Sortino Ratio Rank
EFA Omega Ratio Rank: 3838
Omega Ratio Rank
EFA Calmar Ratio Rank: 3737
Calmar Ratio Rank
EFA Martin Ratio Rank: 4242
Martin Ratio Rank
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.

RTYS.L vs. EFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Russell 2000 UCITS ETF (RTYS.L) 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.

RTYS.LEFADifference
Sharpe ratioReturn per unit of total volatility
2.13
1.41

+0.72

Sortino ratioReturn per unit of downside risk
3.03
2.04

+0.99

Omega ratioGain probability vs. loss probability

1.36

1.26

+0.10

Calmar ratioReturn relative to maximum drawdown

3.74

1.85

+1.89

Martin ratioReturn relative to average drawdown

12.22

6.94

+5.28

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RTYS.L vs. EFA - Sharpe Ratio Comparison

The current RTYS.L Sharpe Ratio is 2.13, which is higher than the EFA Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of RTYS.L 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.

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Sharpe Ratios by Period

RTYS.LEFADifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.13

1.41

+0.72

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.27

0.51

-0.24

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.48

0.53

-0.05

Sharpe Ratio (All Time)

Calculated using the full available price history

0.55

0.31

+0.24

Drawdowns

RTYS.L vs. EFA - Drawdown Comparison

The maximum RTYS.L drawdown since its inception was -42.15%, smaller than the maximum EFA drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for RTYS.L and EFA.

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Drawdown Indicators

RTYS.LEFADifference

Max Drawdown

Largest peak-to-trough decline

-42.15%

-61.04%

+18.89%

Max Drawdown (1Y)

Largest decline over 1 year

-10.57%

-11.42%

+0.85%

Max Drawdown (3Y)

Largest decline over 3 years

-28.71%

-14.05%

-14.66%

Max Drawdown (5Y)

Largest decline over 5 years

-31.97%

-29.53%

-2.44%

Max Drawdown (10Y)

Largest decline over 10 years

-42.15%

-34.19%

-7.96%

Current Drawdown

Current decline from peak

-1.24%

-1.46%

+0.22%

Average Drawdown

Average peak-to-trough decline

-9.15%

-11.93%

+2.78%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.24%

3.04%

+0.20%

Volatility

RTYS.L vs. EFA - Volatility Comparison

Invesco Russell 2000 UCITS ETF (RTYS.L) has a higher volatility of 6.29% compared to iShares MSCI EAFE ETF (EFA) at 4.98%. This indicates that RTYS.L's price experiences larger fluctuations and is considered to be riskier than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

RTYS.LEFADifference

Volatility (1M)

Calculated over the trailing 1-month period

6.29%

4.98%

+1.31%

Volatility (6M)

Calculated over the trailing 6-month period

13.46%

12.51%

+0.95%

Volatility (1Y)

Calculated over the trailing 1-year period

18.68%

15.05%

+3.63%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

22.27%

16.48%

+5.79%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

22.16%

17.26%

+4.90%

RTYS.L vs. EFA - Expense Ratio Comparison

RTYS.L has a 0.25% expense ratio, which is lower than EFA's 0.32% expense ratio.

Dividends

RTYS.L vs. EFA - Dividend Comparison

RTYS.L has not paid dividends to shareholders, while EFA's dividend yield for the trailing twelve months is around 3.12%.

PositionTTM20252024202320222021202020192018201720162015
EFA
iShares MSCI EAFE ETF		3.12%3.38%3.24%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%
RTYS.L
Invesco Russell 2000 UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

RTYS.L and EFA have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, RTYS.L is cheaper at 0.25% per year. The better choice depends on whether you care most about return, fees, risk, or income.

RTYS.L is cheaper with a 0.25% expense ratio, compared with 0.32% for EFA.

RTYS.L is categorized as Small Cap Blend Equities, while EFA is Foreign Large Cap Equities. RTYS.L tracks Russell 2000 TR USD, while EFA tracks MSCI EAFE Index (Net). They also come from different issuers: Invesco and iShares. Their fees differ too: 0.25% for RTYS.L and 0.32% for EFA.

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