EFA vs JOF: Correlation
Measured on weekly returns over the past three years, iShares MSCI EAFE ETF (EFA) and Japan Smaller Capitalization Fund Inc (JOF) carry a correlation of 0.77, a strong link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EFA and JOF?
Over the past 3 years, EFA and JOF moved with a correlation of 0.77, which is strong. Recent behaviour matches the longer record: 0.77 over 1 year against 0.77 over 3. Over 5 years the correlation is 0.71, and the annualized covariance of weekly returns is 213.7 %².
Among the 109 assets we track against EFA, JOF ranks #19 by 3-year correlation. On 12-month performance JOF holds a 11.1-point edge, +21.9% against +33.0%.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
EFA vs JOF: side by side
| EFA (iShares MSCI EAFE ETF) | JOF (Japan Smaller Capitalization Fund Inc) | |
|---|---|---|
| 1-year return | +21.9% | +33.0% |
| 5-year return | +56.7% | +81.0% |
| Volatility (ann.) | 14.9% | 18.6% |
| Beta vs S&P 500 | 0.77 | 0.74 |
| Max drawdown (3Y) | -14.1% | -17.2% |
| Market cap | – | – |
| P/E (trailing) | – | 2.5 |
| Dividend yield | 3.19% | 5.67% |
| Expense ratio | 0.32% | – |
| Assets under management | $78.0B | – |
| Sector / category | ETF · International | US Listed |
On the fund side, EFA sits in the Foreign Large Blend category at iShares, with $78.0B under management, 666 holdings, a 0.32% expense ratio, a 3.19% trailing dividend yield.
Year-by-year returns
| Year | EFA | JOF |
|---|---|---|
| 2022 | -14.4% | -17.1% |
| 2023 | +18.4% | +21.4% |
| 2024 | +3.5% | +5.3% |
| 2025 | +31.5% | +52.1% |
| 2026 | +14.3% | +20.9% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EFA and JOF good diversifiers for each other?
Only partially. A correlation of 0.77 means EFA and JOF share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between EFA and JOF?
As of 2026-08-27, the correlation of weekly returns between EFA and JOF is 0.77 over 3 years, 0.77 over 1 year and 0.71 over 5 years.
Is JOF a good diversifier for EFA?
Only partially. A correlation of 0.77 means EFA and JOF share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.77 mean?
On the −1 to +1 scale, 0.77 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
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Related comparisons
Hubs: EFA correlations · JOF correlations
