SPYM vs. EFA

Last updated Jun 14, 2026

SPYM (State Street SPDR Portfolio S&P 500 ETF) and EFA (iShares MSCI EAFE ETF) are both exchange-traded funds - SPYM is a S&P 500 fund tracking the S&P 500 Index, while EFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Both are passively managed. Over the past 10 years, SPYM returned 15.52%/yr vs 9.84%/yr for EFA. A 0.72 correlation means they provide meaningful diversification when combined. SPYM charges 0.02%/yr vs 0.32%/yr for EFA.

Performance

SPYM vs. EFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR Portfolio S&P 500 ETF (SPYM) and iShares MSCI EAFE ETF (EFA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with SPYM having a 9.10% return and EFA slightly higher at 9.36%. Over the past 10 years, SPYM has outperformed EFA with an annualized return of 15.52%, while EFA has yielded a comparatively lower 9.84% annualized return.

SPYM

• 1D: 0.53%
• 1M: -0.85%
• YTD: 9.10%
• 6M: 9.42%
• 1Y: 25.76%
• 3Y*: 20.95%
• 5Y*: 13.43%
• 10Y*: 15.52%

EFA

• 1D: 0.28%
• 1M: 1.51%
• YTD: 9.36%
• 6M: 10.80%
• 1Y: 21.90%
• 3Y*: 16.14%
• 5Y*: 8.36%
• 10Y*: 9.84%

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

SPYM vs. EFA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SPYM State Street SPDR Portfolio S&P 500 ETF	9.10%	17.79%	25.00%	26.24%	-18.09%	28.78%	18.49%	31.99%	-4.78%	21.30%
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 SPYM and EFA is 0.77, 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	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.72
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (10Y) Calculated over the trailing 10-year period	0.78
Correlation (All Time) Calculated using the full available price history since Nov 15, 2005	0.72

The correlation between SPYM and EFA has been stable across timeframes, ranging from 0.72 to 0.78 - a consistent structural relationship.

SPYM vs. EFA - Sectors Allocation Comparison

Sectors	SPYM	EFA
Technology	39.0%	12.1%
Financial Services	11.1%	24.1%
Communication Services	10.6%	4.6%
Consumer Cyclical	9.9%	7.4%
Healthcare	8.3%	10.1%
Industrials	7.8%	18.9%
Consumer Defensive	4.5%	6.7%
Energy	3.1%	3.8%
Utilities	2.1%	3.7%
Real Estate	1.8%	1.6%
Basic Materials	1.7%	6.2%

Return for Risk

SPYM vs. EFA — Risk / Return Rank

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

SPYM

SPYM Risk / Return Rank: 70
SPYM Sharpe Ratio Rank: 72
SPYM Sortino Ratio Rank: 69
SPYM Omega Ratio Rank: 72
SPYM Calmar Ratio Rank: 63
SPYM Martin Ratio Rank: 76

EFA

EFA Risk / Return Rank: 42
EFA Sharpe Ratio Rank: 42
EFA Sortino Ratio Rank: 42
EFA Omega Ratio Rank: 41
EFA Calmar Ratio Rank: 40
EFA Martin Ratio Rank: 46

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.

SPYM vs. EFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR Portfolio S&P 500 ETF (SPYM) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	SPYM	EFA	Difference
Sharpe ratio: Return per unit of total volatility	2.00	1.31	+0.69
Sortino ratio: Return per unit of downside risk	2.70	1.91	+0.79
Omega ratio: Gain probability vs. loss probability	1.36	1.24	+0.12
Calmar ratio: Return relative to maximum drawdown	2.75	1.79	+0.96
Martin ratio: Return relative to average drawdown	12.42	6.67	+5.75

SPYM vs. EFA - Sharpe Ratio Comparison

The current SPYM Sharpe Ratio is 2.00, which is higher than the EFA Sharpe Ratio of 1.31. The chart below compares the historical Sharpe Ratios of SPYM 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.

Drawdowns

SPYM vs. EFA - Drawdown Comparison

The maximum SPYM drawdown since its inception was -54.46%, smaller than the maximum EFA drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for SPYM and EFA.

Drawdown Indicators

	SPYM	EFA	Difference
Max Drawdown Largest peak-to-trough decline	-54.46%	-61.04%	+6.58%
Max Drawdown (1Y) Largest decline over 1 year	-8.90%	-11.42%	+2.52%
Max Drawdown (3Y) Largest decline over 3 years	-18.72%	-14.05%	-4.67%
Max Drawdown (5Y) Largest decline over 5 years	-24.48%	-29.53%	+5.05%
Max Drawdown (10Y) Largest decline over 10 years	-33.87%	-34.19%	+0.32%
Current Drawdown Current decline from peak	-2.35%	-0.61%	-1.74%
Average Drawdown Average peak-to-trough decline	-7.15%	-11.92%	+4.77%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.97%	3.07%	-1.10%

Volatility

SPYM vs. EFA - Volatility Comparison

The current volatility for State Street SPDR Portfolio S&P 500 ETF (SPYM) is 4.33%, while iShares MSCI EAFE ETF (EFA) has a volatility of 5.50%. This indicates that SPYM 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

	SPYM	EFA	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.33%	5.50%	-1.17%
Volatility (6M) Calculated over the trailing 6-month period	9.58%	13.19%	-3.61%
Volatility (1Y) Calculated over the trailing 1-year period	12.26%	15.64%	-3.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.87%	16.58%	+0.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.03%	17.27%	+0.76%

SPYM vs. EFA - Expense Ratio Comparison

SPYM has a 0.02% expense ratio, which is lower than EFA's 0.32% expense ratio.

Dividends

SPYM vs. EFA - Dividend Comparison

SPYM's dividend yield for the trailing twelve months is around 1.29%, 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%
SPYM State Street SPDR Portfolio S&P 500 ETF	1.29%	1.13%	1.28%	1.44%	1.69%	1.25%	1.54%	1.79%	2.23%	1.75%	1.97%	1.98%

Frequently Asked Questions

Can I hold both SPYM and EFA in my portfolio?

SPYM and EFA have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPYM or EFA?

EFA has higher volatility (5.50%) compared to SPYM (4.33%). In terms of maximum drawdown, SPYM dropped -54.46% vs EFA's -61.04%.

Which ETF is better, SPYM or EFA?

On 10-year performance, SPYM leads with 15.52% vs 9.84% for EFA. On fees, SPYM is cheaper at 0.02% per year. On volatility, SPYM has been the lower-risk option at 4.33%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPYM or EFA?

Over the 10-year period, SPYM has performed better with a 15.52% return vs 9.84%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPYM or EFA?

SPYM is cheaper with a 0.02% expense ratio, compared with 0.32% for EFA.

Which ETF pays a higher dividend yield, SPYM or EFA?

EFA has the higher dividend yield at 3.09%, compared with 1.29% for SPYM.

What is the main difference between SPYM and EFA?

SPYM is categorized as S&P 500, while EFA is Foreign Large Cap Equities. SPYM tracks S&P 500 Index, while EFA tracks MSCI EAFE Index (Net). They also come from different issuers: State Street and iShares. Their fees differ too: 0.02% for SPYM and 0.32% for EFA.

Which has better risk-adjusted returns?

SPYM currently has the higher Sharpe Ratio (2.00 vs 1.31), 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.