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ACWV vs. EFAV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ACWV and EFAV is 0.70, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


Performance

ACWV vs. EFAV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Global Min Vol Factor ETF (ACWV) and iShares Edge MSCI Min Vol EAFE ETF (EFAV). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ACWV:

1.28

EFAV:

1.43

Sortino Ratio

ACWV:

1.81

EFAV:

2.07

Omega Ratio

ACWV:

1.27

EFAV:

1.28

Calmar Ratio

ACWV:

1.93

EFAV:

2.15

Martin Ratio

ACWV:

8.01

EFAV:

5.30

Ulcer Index

ACWV:

1.82%

EFAV:

3.51%

Daily Std Dev

ACWV:

11.11%

EFAV:

12.34%

Max Drawdown

ACWV:

-28.82%

EFAV:

-27.56%

Current Drawdown

ACWV:

-0.41%

EFAV:

-1.63%

Returns By Period

In the year-to-date period, ACWV achieves a 7.68% return, which is significantly lower than EFAV's 16.04% return. Over the past 10 years, ACWV has outperformed EFAV with an annualized return of 7.18%, while EFAV has yielded a comparatively lower 4.69% annualized return.


ACWV

YTD

7.68%

1M

2.50%

6M

6.02%

1Y

14.11%

5Y*

9.02%

10Y*

7.18%

EFAV

YTD

16.04%

1M

3.73%

6M

14.96%

1Y

17.48%

5Y*

8.13%

10Y*

4.69%

*Annualized

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ACWV vs. EFAV - Expense Ratio Comparison

Both ACWV and EFAV have an expense ratio of 0.20%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


Risk-Adjusted Performance

ACWV vs. EFAV — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ACWV
The Risk-Adjusted Performance Rank of ACWV is 9090
Overall Rank
The Sharpe Ratio Rank of ACWV is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of ACWV is 8888
Sortino Ratio Rank
The Omega Ratio Rank of ACWV is 8989
Omega Ratio Rank
The Calmar Ratio Rank of ACWV is 9393
Calmar Ratio Rank
The Martin Ratio Rank of ACWV is 9191
Martin Ratio Rank

EFAV
The Risk-Adjusted Performance Rank of EFAV is 9090
Overall Rank
The Sharpe Ratio Rank of EFAV is 9090
Sharpe Ratio Rank
The Sortino Ratio Rank of EFAV is 9191
Sortino Ratio Rank
The Omega Ratio Rank of EFAV is 9090
Omega Ratio Rank
The Calmar Ratio Rank of EFAV is 9494
Calmar Ratio Rank
The Martin Ratio Rank of EFAV is 8686
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ACWV vs. EFAV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Global Min Vol Factor ETF (ACWV) and iShares Edge MSCI Min Vol EAFE ETF (EFAV). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


The current ACWV Sharpe Ratio is 1.28, which is comparable to the EFAV Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of ACWV and EFAV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

ACWV vs. EFAV - Dividend Comparison

ACWV's dividend yield for the trailing twelve months is around 2.16%, less than EFAV's 2.79% yield.


TTM20242023202220212020201920182017201620152014
ACWV
iShares MSCI Global Min Vol Factor ETF
2.16%2.33%2.41%2.18%1.92%1.77%2.54%2.32%2.04%2.56%2.28%2.23%
EFAV
iShares Edge MSCI Min Vol EAFE ETF
2.79%3.24%3.08%2.53%2.47%1.33%4.19%3.34%2.45%3.94%2.49%3.57%

Drawdowns

ACWV vs. EFAV - Drawdown Comparison

The maximum ACWV drawdown since its inception was -28.82%, roughly equal to the maximum EFAV drawdown of -27.56%. Use the drawdown chart below to compare losses from any high point for ACWV and EFAV. For additional features, visit the drawdowns tool.


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Volatility

ACWV vs. EFAV - Volatility Comparison

The current volatility for iShares MSCI Global Min Vol Factor ETF (ACWV) is 3.53%, while iShares Edge MSCI Min Vol EAFE ETF (EFAV) has a volatility of 3.78%. This indicates that ACWV experiences smaller price fluctuations and is considered to be less risky than EFAV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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