EFA vs SCZ: returns, risk and drawdowns compared
iShares MSCI EAFE ETF against iShares MSCI EAFE Small-Cap ETF, over the same 18 years (January 2008 to October 2026) with dividends reinvested.
Data updated October 2026
From January 2008 to October 2026, EFA returned 4.5% a year and SCZ 5.5% a year on average, so SCZ came out ahead by 0.9% a year. SCZ was the more volatile of the two (18.9% against 17.5% a year), and the deepest falls from a month-end high were 54.4% for EFA and 58.7% for SCZ.
The correlation of monthly returns was 0.96: they moved almost in lockstep. Over 191 rolling 3-year periods, EFA did better in 32% and SCZ in 68%.
Side by side
| EFA | SCZ | |
|---|---|---|
| Annual return (CAGR) | +4.5% | +5.5% |
| Total return | +131% | +172% |
| Annual volatility | 17.5% | 18.9% |
| Maximum drawdown (month-end) | −54.4% | −58.7% |
| Worst month | −20.8% | −23.8% |
| Best month | +14.3% | +15.9% |
| Positive months | 59% | 59% |
| Best year | 2025: +31.6% | 2009: +42.9% |
| Worst year | 2008: −41.0% | 2008: −48.5% |
| 1-year return | +12.5% | +12.3% |
| 5 years, a year | +8.6% | +4.9% |
| 10 years, a year | +9.1% | +7.9% |
| Trading currency | USD | USD |
First nine rows: the same 226 months for both funds. Trailing returns: to each fund’s last close.
Growth of 10,000: EFA vs SCZ
Returns by calendar year
| Year | EFA | SCZ |
|---|---|---|
| 2025 | +31.6% | +32.1% |
| 2024 | +3.5% | +1.5% |
| 2023 | +18.4% | +13.0% |
| 2022 | −14.3% | −21.3% |
| 2021 | +11.5% | +10.1% |
| 2020 | +7.6% | +11.7% |
| 2019 | +22.0% | +24.7% |
| 2018 | −13.8% | −17.6% |
| 2017 | +25.1% | +32.7% |
| 2016 | +1.4% | +2.6% |
| 2015 | −1.0% | +9.1% |
| 2014 | −6.2% | −6.1% |
| 2013 | +21.4% | +28.6% |
| 2012 | +18.8% | +21.3% |
| 2011 | −12.2% | −15.1% |
| 2010 | +8.2% | +21.5% |
| 2009 | +27.0% | +42.9% |
| 2008 | −41.0% | −48.5% |
How the figures are calculated
Total return in the fund’s trading currency, from end-of-day prices with dividends reinvested on the ex-date. The fund’s own ongoing charges are already reflected in its price; trading costs, taxes and currency conversion are not included. Past returns do not predict future returns.
The comparison uses only the months in which both funds have prices, so the figures cover the same period even when one fund is older.
Questions
Which has returned more, EFA or SCZ?
From January 2008 to October 2026, EFA returned +4.5% a year and SCZ +5.5% a year, with dividends reinvested. Over rolling 3-year periods EFA did better in 32% of cases. Past returns do not predict future returns.
Which is riskier, EFA or SCZ?
Over the same months annual volatility was 17.5% for EFA and 18.9% for SCZ; the deepest fall from a month-end high was 54.4% and 58.7%, and the worst single month −20.8% and −23.8%.
How correlated are EFA and SCZ?
The correlation of their monthly returns was 0.96: they moved almost in lockstep. Holding both adds little diversification compared with holding one.
More comparisons
Source: MarketStack end-of-day prices, total return with dividends reinvested. Figures are historical and descriptive; they are not forecasts and not investment advice. MEDGE Capital does not recommend buying or selling any instrument. Risk disclaimer.