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EFV vs. FIVA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EFV and FIVA is 0.71, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

EFV vs. FIVA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI EAFE Value ETF (EFV) and Fidelity International Value Factor ETF (FIVA). The values are adjusted to include any dividend payments, if applicable.

20.00%25.00%30.00%35.00%40.00%NovemberDecember2025FebruaryMarchApril
38.00%
38.72%
EFV
FIVA

Key characteristics

Sharpe Ratio

EFV:

1.05

FIVA:

0.70

Sortino Ratio

EFV:

1.51

FIVA:

1.07

Omega Ratio

EFV:

1.21

FIVA:

1.14

Calmar Ratio

EFV:

1.28

FIVA:

0.82

Martin Ratio

EFV:

4.28

FIVA:

2.63

Ulcer Index

EFV:

4.11%

FIVA:

4.62%

Daily Std Dev

EFV:

16.82%

FIVA:

17.39%

Max Drawdown

EFV:

-63.94%

FIVA:

-39.76%

Current Drawdown

EFV:

-0.35%

FIVA:

-1.66%

Returns By Period

In the year-to-date period, EFV achieves a 15.34% return, which is significantly higher than FIVA's 13.81% return.


EFV

YTD

15.34%

1M

1.17%

6M

11.44%

1Y

18.38%

5Y*

15.38%

10Y*

4.71%

FIVA

YTD

13.81%

1M

0.33%

6M

8.74%

1Y

12.29%

5Y*

14.28%

10Y*

N/A

*Annualized

Compare stocks, funds, or ETFs

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EFV vs. FIVA - Expense Ratio Comparison

Both EFV and FIVA have an expense ratio of 0.39%.


Expense ratio chart for EFV: current value is 0.39%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EFV: 0.39%
Expense ratio chart for FIVA: current value is 0.39%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FIVA: 0.39%

Risk-Adjusted Performance

EFV vs. FIVA — Risk-Adjusted Performance Rank

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

EFV
The Risk-Adjusted Performance Rank of EFV is 8282
Overall Rank
The Sharpe Ratio Rank of EFV is 8181
Sharpe Ratio Rank
The Sortino Ratio Rank of EFV is 8181
Sortino Ratio Rank
The Omega Ratio Rank of EFV is 8181
Omega Ratio Rank
The Calmar Ratio Rank of EFV is 8787
Calmar Ratio Rank
The Martin Ratio Rank of EFV is 8181
Martin Ratio Rank

FIVA
The Risk-Adjusted Performance Rank of FIVA is 7070
Overall Rank
The Sharpe Ratio Rank of FIVA is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of FIVA is 6969
Sortino Ratio Rank
The Omega Ratio Rank of FIVA is 6868
Omega Ratio Rank
The Calmar Ratio Rank of FIVA is 7878
Calmar Ratio Rank
The Martin Ratio Rank of FIVA is 6868
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.

EFV vs. FIVA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Value ETF (EFV) and Fidelity International Value Factor ETF (FIVA). 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 chart of Sharpe ratio for EFV, currently valued at 1.05, compared to the broader market-1.000.001.002.003.004.00
EFV: 1.05
FIVA: 0.70
The chart of Sortino ratio for EFV, currently valued at 1.51, compared to the broader market-2.000.002.004.006.008.00
EFV: 1.51
FIVA: 1.07
The chart of Omega ratio for EFV, currently valued at 1.21, compared to the broader market0.501.001.502.00
EFV: 1.21
FIVA: 1.14
The chart of Calmar ratio for EFV, currently valued at 1.28, compared to the broader market0.002.004.006.008.0010.0012.00
EFV: 1.28
FIVA: 0.82
The chart of Martin ratio for EFV, currently valued at 4.28, compared to the broader market0.0020.0040.0060.00
EFV: 4.28
FIVA: 2.63

The current EFV Sharpe Ratio is 1.05, which is higher than the FIVA Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of EFV and FIVA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
1.05
0.70
EFV
FIVA

Dividends

EFV vs. FIVA - Dividend Comparison

EFV's dividend yield for the trailing twelve months is around 4.04%, more than FIVA's 3.20% yield.


TTM20242023202220212020201920182017201620152014
EFV
iShares MSCI EAFE Value ETF
4.04%4.67%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.27%3.59%4.87%
FIVA
Fidelity International Value Factor ETF
3.20%3.52%3.63%3.62%3.76%2.46%3.61%3.28%0.00%0.00%0.00%0.00%

Drawdowns

EFV vs. FIVA - Drawdown Comparison

The maximum EFV drawdown since its inception was -63.94%, which is greater than FIVA's maximum drawdown of -39.76%. Use the drawdown chart below to compare losses from any high point for EFV and FIVA. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-0.35%
-1.66%
EFV
FIVA

Volatility

EFV vs. FIVA - Volatility Comparison

iShares MSCI EAFE Value ETF (EFV) and Fidelity International Value Factor ETF (FIVA) have volatilities of 11.34% and 11.21%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
11.34%
11.21%
EFV
FIVA