EFV vs. FXAIX
EFV (iShares MSCI EAFE Value ETF) and FXAIX (Fidelity 500 Index Fund) are both funds - EFV is a Foreign Large Cap Equities fund tracking the MSCI EAFE Value Index, while FXAIX is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, EFV returned 9.94%/yr vs 15.25%/yr for FXAIX. A 0.76 correlation means they provide meaningful diversification when combined. EFV charges 0.39%/yr vs 0.02%/yr for FXAIX.
Performance
EFV vs. FXAIX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with EFV having a 8.07% return and FXAIX slightly higher at 8.42%. Over the past 10 years, EFV has underperformed FXAIX with an annualized return of 9.94%, while FXAIX has yielded a comparatively higher 15.25% annualized return.
EFV
- 1D
- 0.35%
- 1M
- -1.10%
- YTD
- 8.07%
- 6M
- 12.00%
- 1Y
- 25.73%
- 3Y*
- 21.26%
- 5Y*
- 11.92%
- 10Y*
- 9.94%
FXAIX
- 1D
- -2.63%
- 1M
- -0.08%
- YTD
- 8.42%
- 6M
- 8.48%
- 1Y
- 24.54%
- 3Y*
- 21.52%
- 5Y*
- 13.40%
- 10Y*
- 15.25%
EFV vs. FXAIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFV iShares MSCI EAFE Value ETF | 8.07% | 42.22% | 5.35% | 18.85% | -5.22% | 11.08% | -2.97% | 15.80% | -14.67% | 21.22% |
FXAIX Fidelity 500 Index Fund | 8.42% | 17.84% | 25.01% | 26.29% | -18.14% | 28.71% | 18.42% | 31.48% | -4.43% | 21.82% |
Correlation
The correlation between EFV and FXAIX is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.65 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.59 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.66 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.71 |
Correlation (All Time) Calculated using the full available price history since May 5, 2011 | 0.76 |
The correlation between EFV and FXAIX shifts across timeframes, from 0.59 (3 years) to 0.76 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
EFV vs. FXAIX — Risk / Return Rank
EFV
FXAIX
EFV vs. FXAIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Value ETF (EFV) and Fidelity 500 Index Fund (FXAIX). 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.
| EFV | FXAIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.33 | ||
| Sortino ratioReturn per unit of downside risk | -0.37 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.39 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 2.37 | 2.92 | -0.55 |
| Martin ratioReturn relative to average drawdown | 8.79 | 13.57 | -4.78 |
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
| EFV | FXAIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.80 | 2.13 | -0.33 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.75 | 0.79 | -0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.56 | 0.85 | -0.29 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.26 | 0.81 | -0.55 |
Drawdowns
EFV vs. FXAIX - Drawdown Comparison
The maximum EFV drawdown since its inception was -63.94%, which is greater than FXAIX's maximum drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for EFV and FXAIX.
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Drawdown Indicators
| EFV | FXAIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.94% | -33.79% | -30.15% |
Max Drawdown (1Y)Largest decline over 1 year | -10.90% | -8.89% | -2.01% |
Max Drawdown (3Y)Largest decline over 3 years | -13.72% | -18.76% | +5.04% |
Max Drawdown (5Y)Largest decline over 5 years | -25.84% | -24.50% | -1.34% |
Max Drawdown (10Y)Largest decline over 10 years | -43.16% | -33.79% | -9.37% |
Current DrawdownCurrent decline from peak | -3.47% | -2.94% | -0.53% |
Average DrawdownAverage peak-to-trough decline | -14.82% | -3.79% | -11.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.93% | 1.91% | +1.02% |
Volatility
EFV vs. FXAIX - Volatility Comparison
iShares MSCI EAFE Value ETF (EFV) and Fidelity 500 Index Fund (FXAIX) have volatilities of 3.81% and 3.81%, 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.
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Volatility by Period
| EFV | FXAIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.81% | 3.81% | 0.00% |
Volatility (6M)Calculated over the trailing 6-month period | 11.74% | 9.41% | +2.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.35% | 12.19% | +2.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.98% | 16.95% | -0.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.87% | 18.08% | -0.21% |
EFV vs. FXAIX - Expense Ratio Comparison
EFV has a 0.39% expense ratio, which is higher than FXAIX's 0.02% expense ratio.
Dividends
EFV vs. FXAIX - Dividend Comparison
EFV's dividend yield for the trailing twelve months is around 3.85%, more than FXAIX's 1.06% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFV iShares MSCI EAFE Value ETF | 3.85% | 4.16% | 4.66% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% |
FXAIX Fidelity 500 Index Fund | 1.06% | 1.11% | 1.25% | 1.45% | 1.69% | 1.22% | 1.60% | 2.06% | 2.72% | 1.97% | 2.52% | 2.83% |
Frequently Asked Questions
EFV and FXAIX have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FXAIX has higher volatility (3.81%) compared to EFV (3.81%). In terms of maximum drawdown, EFV dropped -63.94% vs FXAIX's -33.79%.
FXAIX currently has the higher Sharpe Ratio (2.13 vs 1.80), 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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