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EFV vs. VGPMX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

EFV vs. VGPMX

Last updated Jun 13, 2026

EFV (iShares MSCI EAFE Value ETF) and VGPMX (Vanguard Global Capital Cycles Fund) are both funds - EFV is a Foreign Large Cap Equities fund tracking the MSCI EAFE Value Index, while VGPMX is a Global Equities fund managed by Vanguard. Over the past 10 years, EFV returned 10.55%/yr vs 10.81%/yr for VGPMX. A 0.68 correlation means they provide meaningful diversification when combined. EFV charges 0.39%/yr vs 0.36%/yr for VGPMX.

Performance

EFV vs. VGPMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI EAFE Value ETF (EFV) and Vanguard Global Capital Cycles Fund (VGPMX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, EFV achieves a 10.56% return, which is significantly lower than VGPMX's 15.44% return. Both investments have delivered pretty close results over the past 10 years, with EFV having a 10.55% annualized return and VGPMX not far ahead at 10.81%.

EFV

1D
0.48%
1M
0.52%
YTD
10.56%
6M
12.39%
1Y
27.62%
3Y*
21.79%
5Y*
12.36%
10Y*
10.55%

VGPMX

1D
2.65%
1M
-3.44%
YTD
15.44%
6M
19.37%
1Y
53.94%
3Y*
29.26%
5Y*
19.29%
10Y*
10.81%
*Multi-year figures are annualized to reflect compound growth (CAGR)

EFV vs. VGPMX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
EFV
iShares MSCI EAFE Value ETF		10.56%42.22%5.35%18.85%-5.22%11.08%-2.97%15.80%-14.67%21.22%
VGPMX
Vanguard Global Capital Cycles Fund		15.44%65.96%5.78%10.06%7.34%19.50%17.21%20.67%-32.26%13.75%

Correlation

The correlation between EFV and VGPMX is 0.74, 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

0.74

Correlation (3Y)
Calculated over the trailing 3-year period

0.77

Correlation (5Y)
Calculated over the trailing 5-year period

0.82

Correlation (10Y)
Calculated over the trailing 10-year period

0.71

Correlation (All Time)
Calculated using the full available price history since Aug 5, 2005

0.68

The correlation between EFV and VGPMX shifts across timeframes, from 0.68 (all time) to 0.82 (5 years), reflecting how their relationship changes across market environments.

EFV vs. VGPMX - Sectors Allocation Comparison

Sectors
EFV
VGPMX

Financial Services

37.3%
5.7%

Industrials

9.6%
2.6%

Consumer Defensive

9.5%
9.4%

Healthcare

7.4%
11.9%

Energy

6.8%
4.4%

Basic Materials

6.5%
38.0%

Consumer Cyclical

6.0%
5.1%

Utilities

5.7%
4.7%

Communication Services

4.4%
6.5%

Technology

3.2%
9.5%

Real Estate

2.7%
2.2%

Financial Services

EFV
37.3%
VGPMX
5.7%

Industrials

EFV
9.6%
VGPMX
2.6%

Consumer Defensive

EFV
9.5%
VGPMX
9.4%

Healthcare

EFV
7.4%
VGPMX
11.9%

Energy

EFV
6.8%
VGPMX
4.4%

Basic Materials

EFV
6.5%
VGPMX
38.0%

Consumer Cyclical

EFV
6.0%
VGPMX
5.1%

Utilities

EFV
5.7%
VGPMX
4.7%

Communication Services

EFV
4.4%
VGPMX
6.5%

Technology

EFV
3.2%
VGPMX
9.5%

Real Estate

EFV
2.7%
VGPMX
2.2%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

iShares MSCI EAFE Value ETF

Vanguard Global Capital Cycles Fund

Often compared with EFV:
EFV vs. VEAEFV vs. EFAVEFV vs. DFIVXEFV vs. VOOEFV vs. FIVAEFV vs. VTRIXEFV vs. SCHF
Often compared with VGPMX:
VGPMX vs. FSAGXVGPMX vs. GLDVGPMX vs. VOOVGPMX vs. VTSAXVGPMX vs. GLDMVGPMX vs. VTIVGPMX vs. GLTR

Return for Risk

EFV vs. VGPMX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EFV
EFV Risk / Return Rank: 6464
Overall Rank
EFV Sharpe Ratio Rank: 6767
Sharpe Ratio Rank
EFV Sortino Ratio Rank: 6767
Sortino Ratio Rank
EFV Omega Ratio Rank: 6666
Omega Ratio Rank
EFV Calmar Ratio Rank: 5858
Calmar Ratio Rank
EFV Martin Ratio Rank: 6060
Martin Ratio Rank
VGPMX
VGPMX Risk / Return Rank: 9292
Overall Rank
VGPMX Sharpe Ratio Rank: 9797
Sharpe Ratio Rank
VGPMX Sortino Ratio Rank: 8888
Sortino Ratio Rank
VGPMX Omega Ratio Rank: 8888
Omega Ratio Rank
VGPMX Calmar Ratio Rank: 9393
Calmar Ratio Rank
VGPMX Martin Ratio Rank: 9494
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EFV vs. VGPMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Value ETF (EFV) and Vanguard Global Capital Cycles Fund (VGPMX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

EFVVGPMXDifference
Sharpe ratioReturn per unit of total volatility
1.90
3.14

-1.24

Sortino ratioReturn per unit of downside risk
2.65
3.81

-1.16

Omega ratioGain probability vs. loss probability

1.34

1.54

-0.20

Calmar ratioReturn relative to maximum drawdown

2.55

4.32

-1.77

Martin ratioReturn relative to average drawdown

9.40

17.40

-8.00

EFV vs. VGPMX - Sharpe Ratio Comparison

The current EFV Sharpe Ratio is 1.90, which is lower than the VGPMX Sharpe Ratio of 3.14. The chart below compares the historical Sharpe Ratios of EFV and VGPMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

EFV vs. VGPMX - Drawdown Comparison

The maximum EFV drawdown since its inception was -63.94%, smaller than the maximum VGPMX drawdown of -78.85%. Use the drawdown chart below to compare losses from any high point for EFV and VGPMX.

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Drawdown Indicators

EFVVGPMXDifference

Max Drawdown

Largest peak-to-trough decline

-63.94%

-78.85%

+14.91%

Max Drawdown (1Y)

Largest decline over 1 year

-10.90%

-12.80%

+1.90%

Max Drawdown (3Y)

Largest decline over 3 years

-13.72%

-14.63%

+0.91%

Max Drawdown (5Y)

Largest decline over 5 years

-25.84%

-22.71%

-3.13%

Max Drawdown (10Y)

Largest decline over 10 years

-43.16%

-54.59%

+11.43%

Current Drawdown

Current decline from peak

-1.24%

-4.71%

+3.47%

Average Drawdown

Average peak-to-trough decline

-14.81%

-34.53%

+19.72%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.96%

3.17%

-0.21%

Volatility

EFV vs. VGPMX - Volatility Comparison

The current volatility for iShares MSCI EAFE Value ETF (EFV) is 4.62%, while Vanguard Global Capital Cycles Fund (VGPMX) has a volatility of 7.38%. This indicates that EFV experiences smaller price fluctuations and is considered to be less risky than VGPMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

EFVVGPMXDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.62%

7.38%

-2.76%

Volatility (6M)

Calculated over the trailing 6-month period

11.98%

14.90%

-2.92%

Volatility (1Y)

Calculated over the trailing 1-year period

14.58%

17.61%

-3.03%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.02%

17.54%

-1.52%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.85%

20.91%

-3.06%

EFV vs. VGPMX - Expense Ratio Comparison

EFV has a 0.39% expense ratio, which is higher than VGPMX's 0.36% expense ratio.

Dividends

EFV vs. VGPMX - Dividend Comparison

EFV's dividend yield for the trailing twelve months is around 3.76%, more than VGPMX's 3.38% yield.

PositionTTM20252024202320222021202020192018201720162015
EFV
iShares MSCI EAFE Value ETF		3.76%4.16%4.66%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.28%3.59%
VGPMX
Vanguard Global Capital Cycles Fund		3.38%2.59%2.68%3.22%3.27%3.26%2.03%2.39%3.02%0.02%1.72%2.32%

Frequently Asked Questions

EFV and VGPMX have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VGPMX has higher volatility (7.38%) compared to EFV (4.62%). In terms of maximum drawdown, EFV dropped -63.94% vs VGPMX's -78.85%.

VGPMX currently has the higher Sharpe Ratio (3.14 vs 1.90), 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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