EFA vs IEFA: returns, Sharpe ratio and drawdown
Performance
EFA+12.10%IEFA+12.12%
Summary
EFA vs IEFA
Over the past year, IEFA returned +12.12% against +12.10% for EFA. Over five years, EFA averaged +5.29% a year, compared with +4.90% for IEFA. IEFA had the higher Sharpe ratio over the past year (0.52 vs 0.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.42% for EFA and -11.50% for IEFA.
Current Drawdown
EFA-4.97%IEFA-4.82%
Rolling Volatility
EFA+0.81%IEFA+0.81%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EFAIEFA
Alpha
EFA
-5.34%
IEFA
-5.37%
Beta
EFA
0.97x
IEFA
0.97x
Sharpe
EFA
0.52
IEFA
0.52
Sortino
EFA
0.76
IEFA
0.77
Omega
EFA
1.09
IEFA
1.09
Calmar
EFA
1.06
IEFA
1.05
Martin
EFA
2.56
IEFA
2.59
Comparisons