iShares MSCI EAFE ETF

10-Year Study

EFA.US · · US · ETF

Executive Summary: iShares MSCI EAFE ETF has compounded at 9.1% annually over the last 10 years, with a maximum drawdown of 27.6% and an annualized volatility of 14.6%.

1Y CAGR
+22.1%
3Y CAGR
+17.6%
5Y CAGR
+8.4%
10Y CAGR
+9.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
27.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.40
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.60
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
14.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +31.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -14.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.94.6-7.86.1————————7.3%
20254.83.00.23.74.82.4-2.14.52.11.20.72.731.5%
2024-0.53.03.4-3.25.1-1.82.63.30.8-5.3-0.3-3.03.5%
20239.0-3.13.12.9-4.04.52.7-3.9-3.6-2.98.25.418.4%
2022-3.6-3.40.5-6.72.0-8.85.2-6.1-9.25.913.2-1.8-14.4%
2021-0.82.22.53.03.5-1.10.81.4-3.33.2-4.54.411.4%
2020-2.8-7.8-14.15.85.43.51.94.7-2.0-3.614.35.07.6%
20196.62.50.92.9-5.05.9-1.9-1.93.23.41.13.022.0%
20185.0-4.8-0.81.5-1.9-1.62.9-2.21.0-8.10.5-5.3-13.8%
20173.31.23.22.43.50.32.7-0.02.41.70.71.325.1%
2016———2.2-0.1-2.44.00.51.3-2.2-1.82.74.1%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 14.6%. The dominant macroeconomic risk driver is VEA.US, accounting for 98.8% of variance. Idiosyncratic stock-specific factors contribute 0.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110222.20439217093
2016-05-0110213.44931257286
2016-06-019966.348400251089
2016-07-0110361.813693794042
2016-08-0110418.049151158455
2016-09-0110557.328072419374
2016-10-0110323.442374585255
2016-11-0110139.538505831213
2016-12-0110413.942995228364
2017-01-0110756.66542380721
2017-02-0110884.758609948223
2017-03-0111236.51930129273
2017-04-0111508.894311322136
2017-05-0111916.583678266164
2017-06-0111951.863581228732
2017-07-0112268.981531737752
2017-08-0112263.483058566999
2017-09-0112553.132241819547
2017-10-0112763.938511494876
2017-11-0112851.914082226955
2017-12-0113025.269377988172
2018-01-0113679.210107751196
2018-02-0113017.859418436168
2018-03-0112908.550715745454
2018-04-0113104.938242470867
2018-05-0112856.680998881428
2018-06-0112653.025104187807
2018-07-0113013.894854089873
2018-08-0112722.924149388558
2018-09-0112845.731249734516
2018-10-0111800.92695290192
2018-11-0111859.498671398971
2018-12-0111225.050383005235
2019-01-0111969.822113773558
2019-02-0112273.441666627336
2019-03-0112386.124968731858
2019-04-0112748.953402209772
2019-05-0112107.307541639724
2019-06-0112823.052997729816
2019-07-0112573.332641107812
2019-08-0112331.423420191904
2019-09-0112721.602627939794
2019-10-0113152.749000599404
2019-11-0113301.018987431387
2019-12-0113699.434105636763
2020-01-0113312.747490289179
2020-02-0112278.987336992688
2020-03-0110546.826696621152
2020-04-0111160.390226404943
2020-05-0111766.048226093442
2020-06-0112179.165270416326
2020-07-0112415.269236396589
2020-08-0113001.529189104998
2020-09-0112735.40780735993
2020-10-0112283.211485909278
2020-11-0114035.95010312587
2020-12-0114739.91985916357
2021-01-0114624.758704342614
2021-02-0114952.047650287668
2021-03-0115327.831713682937
2021-04-0115780.358415495783
2021-05-0116329.875352209065
2021-06-0116153.829816355716
2021-07-0116278.760790458615
2021-08-0116514.274791506392
2021-09-0115975.68400534272
2021-10-0116483.549417822604
2021-11-0115736.063848364853
2021-12-0116427.030777290598
2022-01-0115829.915469824473
2022-02-0115287.076936146917
2022-03-0115366.415420267418
2022-04-0114330.838174978879
2022-05-0114616.876772844622
2022-06-0113335.472939488478
2022-07-0114024.764368005966
2022-08-0113166.884560381732
2022-09-0111952.618736342312
2022-10-0112656.848076950306
2022-11-0114323.522609816073
2022-12-0114063.843645133733
2023-01-0115330.12077762098
2023-02-0114858.738796565933
2023-03-0115323.678360558251
2023-04-0115773.632815265459
2023-05-0115141.56798519896
2023-06-0115818.399354342377
2023-07-0116246.05313460168
2023-08-0115606.767133761568
2023-09-0115037.285783733014
2023-10-0114600.924121070244
2023-11-0115800.936392340838
2023-12-0116646.450534980202
2024-01-0116571.336199776284
2024-02-0117066.198785144214
2024-03-0117642.806911557178
2024-04-0117070.611722839196
2024-05-0117934.414778385573
2024-06-0117606.81905067563
2024-07-0118063.097929459072
2024-08-0118652.024523662316
2024-09-0118798.123439542753
2024-10-0117806.864359982443
2024-11-0117750.676099812626
2024-12-0117226.999627142162
2025-01-0118054.059666693414
2025-02-0118587.199176880928
2025-03-0118621.369945770424
2025-04-0119309.457845825647
2025-05-0120234.475662766607
2025-06-0120719.332442879597
2025-07-0120285.897006281946
2025-08-0121203.764448241196
2025-09-0121641.848808506824
2025-10-0121901.456977397265
2025-11-0122063.697333830478
2025-12-0122661.73298659128
2026-01-0123773.226919391913
2026-02-0124868.20183408298
2026-03-0122921.31755688442
2026-04-0124308.915078087757
Annual Return Matrix
YearAnnual Return
20170.2507528977214788
2018-0.13820973238566459
20190.2204340861024332
20200.07595100246503561
20210.11445862218024061
2022-0.14385966424460794
20230.18363449957295863
20240.034875248086192245
20250.31547765003061645
20260.0726856190773717
Total Factor Risk
0.1458428227938535
VTI.US Exposure
-0.05488755526432727
VEA.US Exposure
0.9878821376316851
VWO.US Exposure
0.017153520128801242
QQQ.US Exposure
0.011102466529568481
VTV.US Exposure
0.008774692028911632
IJR.US Exposure
-0.013906320299082123
QUAL.US Exposure
0.029769666095707185
SHV.US Exposure
0.01389816604060818
TLT.US Exposure
-0.011946513084186431
LQD.US Exposure
0.01720528248581673
HYG.US Exposure
0.0011416136263089514
GLD.US Exposure
-0.018682104434933757
USO.US Exposure
0.0061702474588003
VNQ.US Exposure
-0.017959455562158992
BTC-USD.CC Exposure
0.00038624279219896546
CPER.US Exposure
0.0021966855952856744
VIX.INDX Exposure
0.0020843596681206326
UUP.US Exposure
0.01392092008280659
TIP.US Exposure
0.00020807378863707223
Idiosyncratic Exposure
0.0054878746914319545
Value Score
44
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
37
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.6%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →15.0x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.08%
Market Cap$65.8B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.5%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+8.9%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
2.5% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.01
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares MSCI EAFE ETF a high-risk investment?

iShares MSCI EAFE ETF (EFA.US) has an annualized volatility of 14.6% and experienced a maximum drawdown of 27.6% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of EFA.US?

Over the past 10 years, EFA.US has generated a Compound Annual Growth Rate (CAGR) of 9.1%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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