iShares MSCI EAFE Growth ETF

10-Year Study

EFG.US · · US · ETF

Executive Summary: iShares MSCI EAFE Growth ETF has compounded at 7.9% annually over the last 10 years, with a maximum drawdown of 33.6% and an annualized volatility of 17.5%.

1Y CAGR
+13.4%
3Y CAGR
+11.3%
5Y CAGR
+4.0%
10Y CAGR
+7.9%

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 →
33.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.30
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.45
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +28.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -23.1%
% 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.
20264.43.4-9.57.8————————5.4%
20255.11.1-2.84.45.23.0-4.03.32.61.6-1.41.520.7%
20240.34.62.2-4.75.0-0.61.04.00.2-6.30.3-3.61.5%
20239.4-3.76.22.2-2.73.41.2-4.7-6.2-2.69.65.817.6%
2022-9.5-3.90.3-8.30.3-8.18.2-7.5-9.95.014.0-3.3-23.1%
2021-1.4-0.11.04.13.30.11.81.9-4.34.2-3.23.511.0%
2020-1.3-7.1-10.36.96.43.44.04.2-0.2-4.011.45.317.8%
20196.23.32.23.5-4.26.5-1.1-0.61.43.31.82.827.5%
20184.5-4.6-0.20.60.1-1.52.4-0.6-0.2-9.30.7-5.0-12.9%
20173.71.83.43.04.8-0.22.30.61.72.40.91.528.9%
2016———1.20.4-0.63.9-1.11.7-4.5-3.41.6-1.1%

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 17.5%. The dominant macroeconomic risk driver is VEA.US, accounting for 65.6% of variance. Idiosyncratic stock-specific factors contribute 2.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110115.482080583866
2016-05-0110158.034736347989
2016-06-0110092.371276417807
2016-07-0110490.380689799053
2016-08-0110377.776219072439
2016-09-0110549.011990640573
2016-10-0110076.94009355829
2016-11-019729.8284045272
2016-12-019886.568216439424
2017-01-0110249.812505732738
2017-02-0110431.425657848593
2017-03-0110786.900400527322
2017-04-0111109.768226511058
2017-05-0111645.309406007369
2017-06-0111616.533307434844
2017-07-0111885.104232424548
2017-08-0111957.350224903194
2017-09-0112155.257842835741
2017-10-0112444.259797811936
2017-11-0112554.202479420594
2017-12-0112740.32988200001
2018-01-0113311.535438664643
2018-02-0112705.600728035295
2018-03-0112681.932386959392
2018-04-0112756.102781030077
2018-05-0112769.519636989515
2018-06-0112582.510966391314
2018-07-0112881.098959204484
2018-08-0112809.248638081208
2018-09-0112785.31052108119
2018-10-0111597.307276576077
2018-11-0111683.527661924007
2018-12-0111093.635626248837
2019-01-0111777.84132499546
2019-02-0112171.354472974746
2019-03-0112439.583681793902
2019-04-0112874.84015776496
2019-05-0112333.579728677361
2019-06-0113133.50131380875
2019-07-0112983.919556416442
2019-08-0112912.356996278892
2019-09-0113091.236419030354
2019-10-0113518.885213941301
2019-11-0113762.780634405062
2019-12-0114141.492076681108
2020-01-0113958.332209266982
2020-02-0112960.71882694234
2020-03-0111629.48255179248
2020-04-0112434.11622306512
2020-05-0113225.656769487265
2020-06-0113676.488308810702
2020-07-0114221.183884665395
2020-08-0114825.10426839467
2020-09-0114790.554965046033
2020-10-0114201.436287020002
2020-11-0115822.33996442555
2020-12-0116665.425697415725
2021-01-0116430.91847911125
2021-02-0116421.008710165337
2021-03-0116591.11142285218
2021-04-0117268.231007325317
2021-05-0117837.997759061323
2021-06-0117863.518561482833
2021-07-0118179.893780226143
2021-08-0118531.231958735076
2021-09-0117728.648584485723
2021-10-0118474.632969855236
2021-11-0117876.845492134235
2021-12-0118500.171757338354
2022-01-0116750.620934252012
2022-02-0116098.104914058384
2022-03-0116148.427116437088
2022-04-0114801.471897441985
2022-05-0114848.430893300025
2022-06-0113639.672887699477
2022-07-0114754.710737261632
2022-08-0113643.072064343356
2022-09-0112295.88303954735
2022-10-0112911.008116658304
2022-11-0114714.04651296633
2022-12-0114223.270151811905
2023-01-0115559.66813964321
2023-02-0114977.221919473684
2023-03-0115907.786992124342
2023-04-0116264.376808622757
2023-05-0115817.771758777159
2023-06-0116358.70845675582
2023-07-0116559.313833929536
2023-08-0115777.467235714015
2023-09-0114796.741826239126
2023-10-0114410.962254751203
2023-11-0115798.042146193371
2023-12-0116719.758568532976
2024-01-0116768.10241413482
2024-02-0117532.881188884512
2024-03-0117917.851432600084
2024-04-0117070.215479023125
2024-05-0117919.577998514436
2024-06-0117811.164047142443
2024-07-0117995.726749361977
2024-08-0118709.553844576694
2024-09-0118742.646357935097
2024-10-0117556.963186377394
2024-11-0117603.976137420257
2024-12-0116975.200398548965
2025-01-0117842.9976061883
2025-02-0118030.563813696343
2025-03-0117530.938802230867
2025-04-0118295.285935501972
2025-05-0119247.21726134273
2025-06-0119827.595199427356
2025-07-0119027.403838371847
2025-08-0119647.025180884757
2025-09-0120160.40876448022
2025-10-0120475.525028910986
2025-11-0120190.497772550123
2025-12-0120488.58218363827
2026-01-0121387.835264029698
2026-02-0122123.424283789882
2026-03-0120029.963112638645
2026-04-0121591.965713278554
Annual Return Matrix
YearAnnual Return
20170.28865037929089876
2018-0.12925051949225275
20190.2747391885867141
20200.1784771795683786
20210.11009296091411191
2022-0.23118172423615235
20230.17552140893583768
20240.015277842019605359
20250.20697144673412082
20260.053853581460674205
Total Factor Risk
0.17536510621734128
VTI.US Exposure
-0.005813600073940982
VEA.US Exposure
0.6558218195221918
VWO.US Exposure
-0.02317382508948561
QQQ.US Exposure
-0.0339665563418777
VTV.US Exposure
-0.11207446390543715
IJR.US Exposure
0.004644253885750808
QUAL.US Exposure
0.26718498082602327
SHV.US Exposure
0.19662465282746575
TLT.US Exposure
-0.0036428295837840807
LQD.US Exposure
0.0715172802876702
HYG.US Exposure
-0.03304325678339965
GLD.US Exposure
-0.0032345420668776154
USO.US Exposure
0.008894900100991546
VNQ.US Exposure
-0.012039131581252818
BTC-USD.CC Exposure
0.005072316280625521
CPER.US Exposure
0.001212629620871646
VIX.INDX Exposure
0.0009127899662054486
UUP.US Exposure
-0.0021370213492395013
TIP.US Exposure
-0.007559625923830593
Idiosyncratic Exposure
0.024799229381329956
Value Score
42
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
28.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.5%

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 →19.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.34%
Market Cap$67.6B
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 →
+2.7%
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 →
+5.7%
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 →
2.7% 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 →
1.09
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares MSCI EAFE Growth ETF a high-risk investment?

iShares MSCI EAFE Growth ETF (EFG.US) has an annualized volatility of 17.5% and experienced a maximum drawdown of 33.6% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, EFG.US has generated a Compound Annual Growth Rate (CAGR) of 7.9%. 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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