iShares MSCI EAFE ETF (EFA): analysis and statistics
Return, volatility, Sharpe ratio and risk for iShares MSCI EAFE ETF, in the Macro sector. Data as of 2026-09-13.
| Last close price | $106.70 |
| Sector (GICS) | Macro |
| Annualized return (3.0 yr) | +18.54% |
| Total return over period | +66.03% |
| Annualized volatility | 15.28% |
| Period volatility | 26.38% |
| Sharpe ratio | 0.96 |
| Sortino ratio | 1.42 |
| Max drawdown | -14.05% |
| CVaR 95% (avg. loss, worst 5% of days) | -2.07% |
| Correlation with the S&P 500 | 0.76 |
| Period range | $59.93 – $108.81 |
| Trading days analyzed | 751 |
Over the last 3.0 years, iShares MSCI EAFE ETF (EFA) has posted an annualized return of +18.54% with annual volatility of 15.28%, a Sharpe ratio of 0.96. Its worst stretch (max drawdown from a peak) was -14.05%. Its correlation with the S&P 500 is 0.76, which means it moves closely in line with the index.
These are historical, realized metrics, not projections: they describe how the stock behaved, not how it will behave going forward. To see how EFA would fit inside an optimized portfolio alongside other stocks, try the optimizer.
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Information for educational purposes only. Not financial advice or a recommendation to buy or sell. Past performance does not guarantee future results.