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SCZ vs. IEFA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SCZIEFA
YTD Return2.71%5.80%
1Y Return13.40%18.34%
3Y Return (Ann)-1.86%3.87%
5Y Return (Ann)4.81%7.25%
10Y Return (Ann)4.71%5.04%
Sharpe Ratio0.961.49
Daily Std Dev13.66%12.40%
Max Drawdown-61.86%-34.78%
Current Drawdown-13.86%0.00%

Correlation

0.95
-1.001.00

The correlation between SCZ and IEFA is 0.95, 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

SCZ vs. IEFA - Performance Comparison

In the year-to-date period, SCZ achieves a 2.71% return, which is significantly lower than IEFA's 5.80% return. Over the past 10 years, SCZ has underperformed IEFA with an annualized return of 4.71%, while IEFA has yielded a comparatively higher 5.04% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


70.00%80.00%90.00%100.00%110.00%120.00%OctoberNovemberDecember2024FebruaryMarch
117.49%
110.41%
SCZ
IEFA

Compare stocks, funds, or ETFs


iShares MSCI EAFE Small-Cap ETF

iShares Core MSCI EAFE ETF

SCZ vs. IEFA - Expense Ratio Comparison

SCZ has a 0.40% expense ratio, which is higher than IEFA's 0.07% expense ratio.

SCZ
iShares MSCI EAFE Small-Cap ETF
0.50%1.00%1.50%2.00%0.40%
0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

SCZ vs. IEFA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Small-Cap ETF (SCZ) and iShares Core MSCI EAFE ETF (IEFA). 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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
SCZ
iShares MSCI EAFE Small-Cap ETF
0.96
IEFA
iShares Core MSCI EAFE ETF
1.49

SCZ vs. IEFA - Sharpe Ratio Comparison

The current SCZ Sharpe Ratio is 0.96, which is lower than the IEFA Sharpe Ratio of 1.49. The chart below compares the 12-month rolling Sharpe Ratio of SCZ and IEFA.


Rolling 12-month Sharpe Ratio0.000.501.001.50OctoberNovemberDecember2024FebruaryMarch
0.96
1.49
SCZ
IEFA

Dividends

SCZ vs. IEFA - Dividend Comparison

SCZ's dividend yield for the trailing twelve months is around 2.88%, less than IEFA's 3.03% yield.


TTM20232022202120202019201820172016201520142013
SCZ
iShares MSCI EAFE Small-Cap ETF
2.88%2.96%1.99%2.96%1.52%3.51%2.79%2.38%2.82%2.06%2.61%2.39%
IEFA
iShares Core MSCI EAFE ETF
3.03%3.20%2.70%3.32%1.90%3.18%3.46%2.57%2.96%2.63%3.10%2.16%

Drawdowns

SCZ vs. IEFA - Drawdown Comparison

The maximum SCZ drawdown since its inception was -61.86%, which is greater than IEFA's maximum drawdown of -34.78%. The drawdown chart below compares losses from any high point along the way for SCZ and IEFA


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-13.86%
0
SCZ
IEFA

Volatility

SCZ vs. IEFA - Volatility Comparison

iShares MSCI EAFE Small-Cap ETF (SCZ) has a higher volatility of 2.98% compared to iShares Core MSCI EAFE ETF (IEFA) at 2.73%. This indicates that SCZ's price experiences larger fluctuations and is considered to be riskier than IEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%OctoberNovemberDecember2024FebruaryMarch
2.98%
2.73%
SCZ
IEFA