EZA vs. EVLU
EZA (iShares MSCI South Africa ETF) and EVLU (iShares MSCI Emerging Markets Value Factor ETF) are both Emerging Markets Equities funds from iShares - EZA tracks the MSCI South Africa Index while EVLU tracks the MSCI Emerging Markets Value Factor Select Index (Net). Both are passively managed. Over the past year, EZA returned 34.67% vs 72.04% for EVLU. A 0.67 correlation means they provide meaningful diversification when combined. EZA charges 0.59%/yr vs 0.35%/yr for EVLU.
Performance
EZA vs. EVLU - Performance Comparison
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Returns By Period
In the year-to-date period, EZA achieves a -2.56% return, which is significantly lower than EVLU's 34.01% return.
EZA
- 1D
- -2.20%
- 1M
- -0.12%
- YTD
- -2.56%
- 6M
- 5.66%
- 1Y
- 34.67%
- 3Y*
- 26.60%
- 5Y*
- 8.78%
- 10Y*
- 7.31%
EVLU
- 1D
- -2.27%
- 1M
- 15.31%
- YTD
- 34.01%
- 6M
- 37.37%
- 1Y
- 72.04%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
EZA vs. EVLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
EZA iShares MSCI South Africa ETF | -2.56% | 75.20% | -2.85% |
EVLU iShares MSCI Emerging Markets Value Factor ETF | 34.01% | 38.54% | 1.61% |
Correlation
The correlation between EZA and EVLU is 0.66, 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 | 0.66 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2024 | 0.67 |
The correlation between EZA and EVLU has been stable across timeframes, ranging from 0.66 to 0.67 - a consistent structural relationship.
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Return for Risk
EZA vs. EVLU — Risk / Return Rank
EZA
EVLU
EZA vs. EVLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Africa ETF (EZA) and iShares MSCI Emerging Markets Value Factor ETF (EVLU). 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.
| EZA | EVLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.68 | ||
| Sortino ratioReturn per unit of downside risk | -3.12 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.67 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | 1.49 | 5.61 | -4.12 |
| Martin ratioReturn relative to average drawdown | 4.19 | 20.79 | -16.60 |
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
| EZA | EVLU | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.12 | 3.80 | -2.68 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.31 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.23 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.28 | 2.23 | -1.95 |
Drawdowns
EZA vs. EVLU - Drawdown Comparison
The maximum EZA drawdown since its inception was -64.64%, which is greater than EVLU's maximum drawdown of -17.17%. Use the drawdown chart below to compare losses from any high point for EZA and EVLU.
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Drawdown Indicators
| EZA | EVLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.64% | -17.17% | -47.47% |
Max Drawdown (1Y)Largest decline over 1 year | -23.31% | -12.90% | -10.41% |
Max Drawdown (3Y)Largest decline over 3 years | -23.31% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -34.94% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -62.25% | — | — |
Current DrawdownCurrent decline from peak | -17.84% | -2.27% | -15.57% |
Average DrawdownAverage peak-to-trough decline | -16.92% | -3.48% | -13.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.30% | 3.48% | +4.82% |
Volatility
EZA vs. EVLU - Volatility Comparison
iShares MSCI South Africa ETF (EZA) has a higher volatility of 10.55% compared to iShares MSCI Emerging Markets Value Factor ETF (EVLU) at 9.17%. This indicates that EZA's price experiences larger fluctuations and is considered to be riskier than EVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EZA | EVLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.55% | 9.17% | +1.38% |
Volatility (6M)Calculated over the trailing 6-month period | 26.15% | 16.23% | +9.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 31.03% | 19.04% | +11.99% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.69% | 19.93% | +8.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.37% | 19.93% | +11.44% |
EZA vs. EVLU - Expense Ratio Comparison
EZA has a 0.59% expense ratio, which is higher than EVLU's 0.35% expense ratio.
Dividends
EZA vs. EVLU - Dividend Comparison
EZA's dividend yield for the trailing twelve months is around 6.32%, more than EVLU's 3.88% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EVLU iShares MSCI Emerging Markets Value Factor ETF | 3.88% | 5.20% | 1.03% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EZA iShares MSCI South Africa ETF | 6.32% | 6.16% | 7.26% | 2.84% | 3.90% | 2.05% | 5.51% | 12.27% | 3.81% | 1.55% | 4.10% | 3.03% |
Frequently Asked Questions
EZA and EVLU have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EZA has higher volatility (10.55%) compared to EVLU (9.17%). In terms of maximum drawdown, EZA dropped -64.64% vs EVLU's -17.17%.
On 1-year performance, EVLU leads with 72.04% vs 34.67% for EZA. On fees, EVLU is cheaper at 0.35% per year. On volatility, EVLU has been the lower-risk option at 9.17%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, EVLU has performed better with a 72.04% return vs 34.67%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EVLU is cheaper with a 0.35% expense ratio, compared with 0.59% for EZA.
EZA has the higher dividend yield at 6.32%, compared with 3.88% for EVLU.
EZA tracks MSCI South Africa Index, while EVLU tracks MSCI Emerging Markets Value Factor Select Index (Net). Their fees differ too: 0.59% for EZA and 0.35% for EVLU.
EVLU currently has the higher Sharpe Ratio (3.80 vs 1.12), 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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