EFAV vs. VXZ
EFAV (iShares Edge MSCI Min Vol EAFE ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Minimum Volatility Index, while VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock. Both are passively managed. Over the past 5 years, EFAV returned 6.29%/yr vs -12.85%/yr for VXZ. At a correlation of -0.46, they often move in opposite directions. EFAV charges 0.20%/yr vs 0.89%/yr for VXZ.
Performance
EFAV vs. VXZ - Performance Comparison
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Returns By Period
In the year-to-date period, EFAV achieves a 4.42% return, which is significantly higher than VXZ's 0.67% return.
EFAV
- 1D
- 0.57%
- 1M
- -1.23%
- YTD
- 4.42%
- 6M
- 5.83%
- 1Y
- 9.78%
- 3Y*
- 13.24%
- 5Y*
- 6.29%
- 10Y*
- 5.92%
VXZ
- 1D
- -0.81%
- 1M
- -3.67%
- YTD
- 0.67%
- 6M
- -2.94%
- 1Y
- -8.91%
- 3Y*
- -12.52%
- 5Y*
- -12.85%
- 10Y*
- —
EFAV vs. VXZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
EFAV iShares Edge MSCI Min Vol EAFE ETF | 4.42% | 26.00% | 5.30% | 12.52% | -15.11% | 7.20% | -0.06% | 16.67% | -7.91% |
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | 0.67% | 5.73% | -12.65% | -43.98% | 0.47% | -16.38% | 72.77% | -20.10% | 31.89% |
Correlation
The correlation between EFAV and VXZ is -0.33, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.46 |
Correlation (All Time) Calculated using the full available price history since Jan 19, 2018 | -0.46 |
The correlation between EFAV and VXZ shifts across timeframes, from -0.46 (all time) to -0.33 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
EFAV vs. VXZ — Risk / Return Rank
EFAV
VXZ
EFAV vs. VXZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Min Vol EAFE ETF (EFAV) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ). 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.
| EFAV | VXZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.42 | ||
| Sortino ratioReturn per unit of downside risk | +1.92 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 0.94 | +0.24 |
| Calmar ratioReturn relative to maximum drawdown | 1.52 | -0.61 | +2.13 |
| Martin ratioReturn relative to average drawdown | 4.22 | -1.04 | +5.26 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EFAV | VXZ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.95 | -0.47 | +1.42 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.54 | -0.44 | +0.98 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.45 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.54 | -0.08 | +0.62 |
Drawdowns
EFAV vs. VXZ - Drawdown Comparison
The maximum EFAV drawdown since its inception was -27.56%, smaller than the maximum VXZ drawdown of -69.00%. Use the drawdown chart below to compare losses from any high point for EFAV and VXZ.
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Drawdown Indicators
| EFAV | VXZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.56% | -69.00% | +41.44% |
Max Drawdown (1Y)Largest decline over 1 year | -6.46% | -14.67% | +8.21% |
Max Drawdown (3Y)Largest decline over 3 years | -8.75% | -38.89% | +30.14% |
Max Drawdown (5Y)Largest decline over 5 years | -27.46% | -62.05% | +34.59% |
Max Drawdown (10Y)Largest decline over 10 years | -27.56% | — | — |
Current DrawdownCurrent decline from peak | -5.07% | -65.07% | +60.00% |
Average DrawdownAverage peak-to-trough decline | -4.77% | -36.79% | +32.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.32% | 8.58% | -6.26% |
Volatility
EFAV vs. VXZ - Volatility Comparison
The current volatility for iShares Edge MSCI Min Vol EAFE ETF (EFAV) is 3.14%, while iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a volatility of 3.63%. This indicates that EFAV experiences smaller price fluctuations and is considered to be less risky than VXZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFAV | VXZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.14% | 3.63% | -0.49% |
Volatility (6M)Calculated over the trailing 6-month period | 8.19% | 13.53% | -5.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.32% | 19.11% | -8.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.79% | 29.15% | -17.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.21% | 34.10% | -20.89% |
EFAV vs. VXZ - Expense Ratio Comparison
EFAV has a 0.20% expense ratio, which is lower than VXZ's 0.89% expense ratio.
Dividends
EFAV vs. VXZ - Dividend Comparison
EFAV's dividend yield for the trailing twelve months is around 3.06%, while VXZ has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFAV iShares Edge MSCI Min Vol EAFE ETF | 3.06% | 3.20% | 3.24% | 3.08% | 2.53% | 2.47% | 1.33% | 4.19% | 3.34% | 2.45% | 3.94% | 2.49% |
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EFAV and VXZ have a correlation of -0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VXZ has higher volatility (3.63%) compared to EFAV (3.14%). In terms of maximum drawdown, EFAV dropped -27.56% vs VXZ's -69.00%.
EFAV currently has the higher Sharpe Ratio (0.95 vs -0.47), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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