iShares MSCI EAFE Min Vol Factor ETF

10-Year Study

EFAV.US · · US · ETF

Executive Summary: iShares MSCI EAFE Min Vol Factor ETF has compounded at 6.5% annually over the last 10 years, with a maximum drawdown of 25.5% and an annualized volatility of 12.9%.

1Y CAGR
+15.1%
3Y CAGR
+15.4%
5Y CAGR
+7.2%
10Y CAGR
+6.5%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
25.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.23
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.34
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
11.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +26.0%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -15.1%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20263.46.4-3.71.8————————7.8%
20253.03.83.15.82.41.4-2.73.9-0.1-0.52.21.426.0%
2024-0.60.82.1-2.23.4-1.25.54.8-0.0-3.70.0-3.15.3%
20235.1-3.14.54.0-4.32.22.1-2.6-2.9-1.85.24.212.5%
2022-5.0-1.40.3-5.2-0.8-5.13.7-5.5-8.12.610.0-0.4-15.1%
2021-1.1-1.52.11.63.10.52.31.6-4.01.8-2.53.57.2%
2020-0.3-7.4-9.83.82.61.40.83.4-1.1-3.98.83.0-0.1%
20194.61.71.60.0-1.44.2-1.50.51.92.40.21.516.7%
20183.2-3.00.80.6-1.1-1.02.7-1.10.8-6.21.9-3.1-5.7%
20173.21.82.71.95.3-0.31.80.8-0.11.01.40.822.2%
2016———1.2-0.30.62.1-1.91.7-5.0-3.51.0-4.3%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 12.9%. The dominant macroeconomic risk driver is VEA.US, accounting for 57.3% of variance. Idiosyncratic stock-specific factors contribute 4.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110117.414253365256
2016-05-0110085.79727052876
2016-06-0110143.17773969967
2016-07-0110360.12168791344
2016-08-0110166.105622192248
2016-09-0110334.155658447466
2016-10-019822.329164995686
2016-11-019475.514560825728
2016-12-019570.507289527304
2017-01-019875.354956838059
2017-02-0110050.433239758408
2017-03-0110317.769919104274
2017-04-0110514.743114546243
2017-05-0111069.711295020275
2017-06-0111040.16025212569
2017-07-0111244.262965798565
2017-08-0111338.323996094969
2017-09-0111330.364051024666
2017-10-0111445.165497992797
2017-11-0111601.427523991233
2017-12-0111699.45839966621
2018-01-0112076.188624367558
2018-02-0111713.879470633272
2018-03-0111813.287639602853
2018-04-0111879.012885794029
2018-05-0111752.362665629646
2018-06-0111635.3129899012
2018-07-0111944.434317287867
2018-08-0111813.591454300195
2018-09-0111908.462657122833
2018-10-0111164.278683145576
2018-11-0111380.169407075236
2018-12-0111027.926646979473
2019-01-0111530.841242642622
2019-02-0111722.750859795595
2019-03-0111911.35902390414
2019-04-0111916.321330627357
2019-05-0111752.524700134894
2019-06-0112250.456734761668
2019-07-0112068.329950863037
2019-08-0112128.181446238978
2019-09-0112358.391969569919
2019-10-0112656.900036862851
2019-11-0112678.815203697628
2019-12-0112866.714466845715
2020-01-0112825.274142128566
2020-02-0111879.357209117683
2020-03-0110710.744102956727
2020-04-0111121.582591012757
2020-05-0111415.027080016689
2020-06-0111571.67393796509
2020-07-0111664.519709472132
2020-08-0112063.894256281876
2020-09-0111934.266652083561
2020-10-0111471.820174106075
2020-11-0112480.809038284704
2020-12-0112859.159608038533
2021-01-0112715.536273449432
2021-02-0112519.33274190739
2021-03-0112785.59594265599
2021-04-0112992.29120841283
2021-05-0113389.92388429116
2021-06-0113452.388186064223
2021-07-0113764.04130259539
2021-08-0113977.744560704201
2021-09-0113416.781103536
2021-10-0113660.744305499857
2021-11-0113322.3960042291
2021-12-0113785.490620227576
2022-01-0113094.150149274288
2022-02-0112914.57540883331
2022-03-0112954.09157380064
2022-04-0112286.084071603049
2022-05-0112183.739027225849
2022-06-0111561.546781387095
2022-07-0111994.340944904217
2022-08-0111329.614641437893
2022-09-0110411.041031187591
2022-10-0110686.803504806348
2022-11-0111751.451221537627
2022-12-0111702.395275073826
2023-01-0112297.770810294052
2023-02-0111914.964291645907
2023-03-0112450.528840116502
2023-04-0112949.291301582673
2023-05-0112397.15872495048
2023-06-0112664.353624104251
2023-07-0112934.525907291958
2023-08-0112596.805489729037
2023-09-0112236.582530249818
2023-10-0112018.929681075586
2023-11-0112641.830827874795
2023-12-0113166.822624877967
2024-01-0113081.369677672861
2024-02-0113180.12970862145
2024-03-0113459.254398224102
2024-04-0113163.035068317799
2024-05-0113605.470284897168
2024-06-0113436.95439943936
2024-07-0114181.88778300339
2024-08-0114863.870761278615
2024-09-0114859.981933152667
2024-10-0114307.829102207315
2024-11-0114313.642090083084
2024-12-0113864.563458788549
2025-01-0114278.278059312732
2025-02-0114817.488384151406
2025-03-0115278.274008450098
2025-04-0116162.577320840472
2025-05-0116556.68574622966
2025-06-0116796.25376223867
2025-07-0116336.683396729331
2025-08-0116966.086178051617
2025-09-0116950.105524971543
2025-10-0116860.19662887212
2025-11-0117229.83784396887
2025-12-0117469.345097038415
2026-01-0118058.745609877624
2026-02-0119215.26689108446
2026-03-0118506.36593062493
2026-04-0118834.485803751908
Annual Return Matrix
YearAnnual Return
20170.22244913939604283
2018-0.0573985333120971
20190.16673921388204738
2020-0.0005871630109340886
20210.07203666805799469
2022-0.15110781346419444
20230.12513911172727
20240.052992347036880494
20250.25999964939140185
20260.07814492753623181
Total Factor Risk
0.12866375843614328
VTI.US Exposure
-0.17649540474956885
VEA.US Exposure
0.5729546249206683
VWO.US Exposure
-0.009620116631713357
QQQ.US Exposure
0.1117993087051051
VTV.US Exposure
0.10013783590722819
IJR.US Exposure
-0.06110808255996587
QUAL.US Exposure
-0.006466988862046921
SHV.US Exposure
0.24844827180159965
TLT.US Exposure
-0.01857187314963316
LQD.US Exposure
0.04755323251492847
HYG.US Exposure
-0.018064872020725004
GLD.US Exposure
-0.006720484309368599
USO.US Exposure
0.004808155793314632
VNQ.US Exposure
0.06980762864557907
BTC-USD.CC Exposure
-0.0024578944429496704
CPER.US Exposure
-0.03760802024811251
VIX.INDX Exposure
0.018490786817237086
UUP.US Exposure
0.0885965501784738
TIP.US Exposure
0.02758095846886113
Idiosyncratic Exposure
0.04693638322108859
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.9%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.1%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+7.7%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
2.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.74
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares MSCI EAFE Min Vol Factor ETF a high-risk investment?

iShares MSCI EAFE Min Vol Factor ETF (EFAV.US) has an annualized volatility of 12.9% and experienced a maximum drawdown of 25.5% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of EFAV.US?

Over the past 10 years, EFAV.US has generated a Compound Annual Growth Rate (CAGR) of 6.5%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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