EFAV vs. VXZ
Compare and contrast key facts about iShares Edge MSCI Min Vol EAFE ETF (EFAV) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ).
EFAV is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Minimum Volatility Index. It was launched on Oct 18, 2011. VXZ is a passively managed fund by Barclays Capital that tracks the performance of the S&P 500 VIX Mid-Term Futures Index Total Return. It was launched on Jan 17, 2018. Both EFAV and VXZ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EFAV or VXZ.
Key characteristics
| EFAV | VXZ | |
|---|---|---|
| YTD Return | 0.72% | -8.49% |
| 1Y Return | 2.41% | -42.29% |
| 3Y Return (Ann) | 0.69% | -22.68% |
| 5Y Return (Ann) | 2.25% | -5.90% |
| 10Y Return (Ann) | 3.78% | -13.86% |
| Sharpe Ratio | 0.25 | -1.66 |
| Daily Std Dev | 9.63% | 25.56% |
| Max Drawdown | -27.56% | -97.08% |
| Current Drawdown | -6.35% | -97.08% |
Correlation
The correlation between EFAV and VXZ is -0.57. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
EFAV vs. VXZ - Performance Comparison
In the year-to-date period, EFAV achieves a 0.72% return, which is significantly higher than VXZ's -8.49% return. Over the past 10 years, EFAV has outperformed VXZ with an annualized return of 3.78%, while VXZ has yielded a comparatively lower -13.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
EFAV vs. VXZ - Risk-Adjusted Performance 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.
Dividends
EFAV vs. VXZ - Dividend Comparison
EFAV's dividend yield for the trailing twelve months is around 3.05%, while VXZ has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFAV iShares Edge MSCI Min Vol EAFE ETF | 3.05% | 3.08% | 2.53% | 2.47% | 1.33% | 4.19% | 3.34% | 2.45% | 3.94% | 2.49% | 3.57% | 2.53% |
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% |
Drawdowns
EFAV vs. VXZ - Drawdown Comparison
The maximum EFAV drawdown since its inception was -27.56%, smaller than the maximum VXZ drawdown of -97.08%. Use the drawdown chart below to compare losses from any high point for EFAV and VXZ. For additional features, visit the drawdowns tool.
Volatility
EFAV vs. VXZ - Volatility Comparison
The current volatility for iShares Edge MSCI Min Vol EAFE ETF (EFAV) is 2.95%, while iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a volatility of 8.04%. 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.