This paper examines the diversification benefits of iShares in comparison to closed-end country funds (CECFs) and American Depository Receipts (ADRs) between April 1996 and December 2013. iShares are country-specific exchange traded funds that track specific Morgan Stanley Capital International (MSCI) country indices and thus are expected to provide superior diversification gains than their rivals. The main findings are: first, although all of these financial instruments exhibit significant exposure to U.S. market, they retain significant exposure to their home markets and provide important diversification benefits. Second, mean-variance spanning and Sharpe ratio test results provide strong evidence that iShares can neither outperform nor replace CECFs and ADRs for international diversification. Finally, a combination of these domestically traded securities could exhaust the gains from unattainable direct foreign investment.