EFV vs. VBR
Compare and contrast key facts about iShares MSCI EAFE Value ETF (EFV) and Vanguard Small-Cap Value ETF (VBR).
EFV and VBR are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EFV is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Value Index. It was launched on Aug 1, 2005. VBR is a passively managed fund by Vanguard that tracks the performance of the MSCI US Small Cap Value Index. It was launched on Jan 26, 2004. Both EFV and VBR 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: EFV or VBR.
Performance
EFV vs. VBR - Performance Comparison
Returns By Period
In the year-to-date period, EFV achieves a 6.52% return, which is significantly lower than VBR's 16.78% return. Over the past 10 years, EFV has underperformed VBR with an annualized return of 4.04%, while VBR has yielded a comparatively higher 9.32% annualized return.
EFV
6.52%
-4.82%
-1.62%
12.77%
5.83%
4.04%
VBR
16.78%
1.03%
10.01%
30.83%
11.40%
9.32%
Key characteristics
| EFV | VBR | |
|---|---|---|
| Sharpe Ratio | 1.16 | 1.75 |
| Sortino Ratio | 1.60 | 2.51 |
| Omega Ratio | 1.20 | 1.31 |
| Calmar Ratio | 1.85 | 3.24 |
| Martin Ratio | 6.15 | 9.87 |
| Ulcer Index | 2.31% | 2.97% |
| Daily Std Dev | 12.29% | 16.68% |
| Max Drawdown | -63.94% | -62.01% |
| Current Drawdown | -6.90% | -3.20% |
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EFV vs. VBR - Expense Ratio Comparison
EFV has a 0.39% expense ratio, which is higher than VBR's 0.07% expense ratio.
Correlation
The correlation between EFV and VBR is 0.76, 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.
Risk-Adjusted Performance
EFV vs. VBR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Value ETF (EFV) and Vanguard Small-Cap Value ETF (VBR). 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
EFV vs. VBR - Dividend Comparison
EFV's dividend yield for the trailing twelve months is around 4.62%, more than VBR's 1.92% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFV iShares MSCI EAFE Value ETF | 4.62% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.27% | 3.59% | 4.87% | 3.19% |
VBR Vanguard Small-Cap Value ETF | 1.92% | 2.12% | 2.03% | 1.75% | 1.68% | 2.06% | 2.35% | 1.79% | 1.77% | 1.99% | 1.77% | 1.87% |
Drawdowns
EFV vs. VBR - Drawdown Comparison
The maximum EFV drawdown since its inception was -63.94%, roughly equal to the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for EFV and VBR. For additional features, visit the drawdowns tool.
Volatility
EFV vs. VBR - Volatility Comparison
The current volatility for iShares MSCI EAFE Value ETF (EFV) is 4.12%, while Vanguard Small-Cap Value ETF (VBR) has a volatility of 5.85%. This indicates that EFV experiences smaller price fluctuations and is considered to be less risky than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.