IEFA vs JOF: Correlation
Measured on weekly returns over the past three years, iShares Core MSCI EAFE ETF (IEFA) and Japan Smaller Capitalization Fund Inc (JOF) carry a correlation of 0.78, a strong link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are IEFA and JOF?
On 3 years of weekly data the IEFA/JOF correlation comes out at 0.78, strong. Recent behaviour matches the longer record: 0.78 over 1 year against 0.78 over 3. The 5-year figure is 0.72, and annualized covariance runs at 217.3 %².
Within IEFA's tracked universe of 111 assets, JOF comes in at #19 by 3-year correlation. The trailing year gives JOF the advantage: +21.8% versus +33.0%, a 11.2-point spread.
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.
IEFA vs JOF: side by side
| IEFA (iShares Core MSCI EAFE ETF) | JOF (Japan Smaller Capitalization Fund Inc) | |
|---|---|---|
| 1-year return | +21.8% | +33.0% |
| 5-year return | +54.5% | +81.0% |
| Volatility (ann.) | 15.0% | 18.6% |
| Beta vs S&P 500 | 0.77 | 0.74 |
| Max drawdown (3Y) | -13.8% | -17.2% |
| Market cap | – | – |
| P/E (trailing) | – | 2.5 |
| Dividend yield | 3.35% | 5.67% |
| Expense ratio | 0.07% | – |
| Assets under management | $190.1B | – |
| Sector / category | ETF · International | US Listed |
On the fund side, IEFA sits in the Foreign Large Blend category at iShares, with $190.1B under management, 1620 holdings, a 0.07% expense ratio, a 3.35% trailing dividend yield.
Year-by-year returns
| Year | IEFA | JOF |
|---|---|---|
| 2022 | -15.2% | -17.1% |
| 2023 | +18.0% | +21.4% |
| 2024 | +3.3% | +5.3% |
| 2025 | +32.1% | +52.1% |
| 2026 | +14.5% | +20.9% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are IEFA and JOF good diversifiers for each other?
Somewhat, no more. With 0.78 correlation, most large moves hit both names, and the diversification benefit stays modest.
FAQ
What is the correlation between IEFA and JOF?
The IEFA/JOF correlation stands at 0.78 on a 3-year window (1 year: 0.78, 5 years: 0.72), computed from weekly returns as of 2026-08-27.
Is JOF a good diversifier for IEFA?
Somewhat, no more. With 0.78 correlation, most large moves hit both names, and the diversification benefit stays modest.
What does a correlation of 0.78 mean?
On the −1 to +1 scale, 0.78 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.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/iefa-vs-jof.json
Markdown for the live badge, attribution link included:
[](https://www.pairbook.io/pair/iefa-vs-jof/)
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Related comparisons
Hubs: IEFA correlations · JOF correlations
