VXZ vs. EFAV

Last updated Aug 1, 2026

VXZ (iPath Series B S&P 500® VIX Mid-Term Futures ETN) is a stock, while EFAV (iShares MSCI EAFE Min Vol Factor ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Minimum Volatility (USD) Index. Both are passively managed. Over the past 5 years, VXZ returned -13.66%/yr vs 6.86%/yr for EFAV. Their -0.46 correlation means they have often moved in opposite directions in the past. VXZ charges 0.89%/yr vs 0.20%/yr for EFAV.

Performance

VXZ vs. EFAV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and iShares MSCI EAFE Min Vol Factor ETF (EFAV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, VXZ achieves a -4.62% return, which is significantly lower than EFAV's 9.79% return.

VXZ

• 1D: -0.08%
• 1M: 1.31%
• 6M: -4.72%
• YTD: -4.62%
• 1Y: -14.50%
• 3Y*: -8.83%
• 5Y*: -13.66%
• 10Y*: —
• ALL TIME*: -3.24%

EFAV

• 1D: -1.09%
• 1M: 4.40%
• 6M: 6.21%
• YTD: 9.79%
• 1Y: 16.01%
• 3Y*: 14.35%
• 5Y*: 6.86%
• 10Y*: 6.38%
• ALL TIME*: 7.28%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
EFAV iShares MSCI EAFE Min Vol Factor ETF	$54.17M	$49.40M	$45.31M
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN	$603.06K	$845.13K	$781.77K

VXZ vs. EFAV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN	-4.62%	5.73%	-12.65%	-43.98%	0.47%	-16.38%	72.77%	-20.10%	31.89%
EFAV iShares MSCI EAFE Min Vol Factor ETF	9.79%	26.00%	5.30%	12.52%	-15.11%	7.20%	-0.06%	16.67%	-8.14%

Correlation

The correlation between VXZ and EFAV is -0.32, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.32
Correlation (3Y) Balances recent behavior with more history.	-0.36
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.45
Correlation (All Time) Calculated using the full available price history since Jan 18, 2018	-0.46

The correlation between VXZ and EFAV shifts across timeframes, from -0.46 (all time) to -0.32 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

VXZ vs. EFAV — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

VXZ

VXZ Risk / Return Rank: 15
VXZ Sharpe Ratio Rank: 13
VXZ Sortino Ratio Rank: 15
VXZ Omega Ratio Rank: 16
VXZ Calmar Ratio Rank: 19
VXZ Martin Ratio Rank: 12

EFAV

EFAV Risk / Return Rank: 69
EFAV Sharpe Ratio Rank: 73
EFAV Sortino Ratio Rank: 73
EFAV Omega Ratio Rank: 73
EFAV Calmar Ratio Rank: 75
EFAV Martin Ratio Rank: 52

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

VXZ vs. EFAV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) and iShares MSCI EAFE Min Vol Factor ETF (EFAV). 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.

	VXZ	EFAV	Difference
Sharpe ratio: Return per unit of total volatility	-0.69	1.64	-2.33
Sortino ratio: Return per unit of downside risk	-0.87	2.35	-3.23
Omega ratio: Gain probability vs. loss probability	0.90	1.30	-0.40
Calmar ratio: Return relative to maximum drawdown	-0.67	2.62	-3.29
Martin ratio: Return relative to average drawdown	-1.28	6.10	-7.38

VXZ vs. EFAV - Sharpe Ratio Comparison

The current VXZ Sharpe Ratio is -0.69, which is lower than the EFAV Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of VXZ and EFAV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

VXZ vs. EFAV - Drawdown Comparison

The maximum VXZ drawdown since its inception was -69.00%, which is greater than EFAV's maximum drawdown of -27.56%. Use the drawdown chart below to compare losses from any high point for VXZ and EFAV.

Drawdown Indicators

	VXZ	EFAV	Difference
Max Drawdown Largest peak-to-trough decline	-69.00%	-27.56%	-41.44%
Max Drawdown (1Y) Largest decline over 1 year	-19.20%	-6.66%	-12.54%
Max Drawdown (3Y) Largest decline over 3 years	-36.45%	-8.65%	-27.80%
Max Drawdown (5Y) Largest decline over 5 years	-62.05%	-27.46%	-34.59%
Max Drawdown (10Y) Largest decline over 10 years	—	-27.56%	—
Current Drawdown Current decline from peak	-66.90%	-1.09%	-65.81%
Average Drawdown Average peak-to-trough decline	-37.31%	-4.76%	-32.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	10.04%	2.86%	+7.18%

Volatility

VXZ vs. EFAV - Volatility Comparison

iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a higher volatility of 3.69% compared to iShares MSCI EAFE Min Vol Factor ETF (EFAV) at 3.28%. This indicates that VXZ's price experiences larger fluctuations and is considered to be riskier than EFAV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VXZ	EFAV	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.69%	3.28%	+0.41%
Volatility (6M) Calculated over the trailing 6-month period	13.55%	8.85%	+4.70%
Volatility (1Y) Calculated over the trailing 1-year period	18.60%	10.67%	+7.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.95%	11.88%	+17.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	33.83%	13.03%	+20.80%

VXZ vs. EFAV - Expense Ratio Comparison

VXZ has a 0.89% expense ratio, which is higher than EFAV's 0.20% expense ratio.

Dividends

VXZ vs. EFAV - Dividend Comparison

VXZ has not paid dividends to shareholders, while EFAV's dividend yield for the trailing twelve months is around 3.07%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EFAV iShares MSCI EAFE Min Vol Factor ETF	3.07%	3.20%	3.24%	3.08%	2.53%	2.47%	1.33%	4.19%	3.34%	2.45%	3.94%	2.49%
VXZ iPath Series B S&P 500® VIX Mid-Term Futures ETN	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VXZ and EFAV in my portfolio?

VXZ and EFAV have a correlation of -0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VXZ or EFAV?

VXZ has higher volatility (3.69%) compared to EFAV (3.28%). In terms of maximum drawdown, VXZ dropped -69.00% vs EFAV's -27.56%.

Which has better risk-adjusted returns?

EFAV currently has the higher Sharpe Ratio (1.64 vs -0.69), 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.