iShares MSCI EAFE Value ETF

10-Year Study

EFV.US · · US · ETF

Executive Summary: iShares MSCI EAFE Value ETF has compounded at 9.9% annually over the last 10 years, with a maximum drawdown of 33.2% and an annualized volatility of 16.4%.

1Y CAGR
+31.1%
3Y CAGR
+24.1%
5Y CAGR
+12.6%
10Y CAGR
+9.9%

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 →
33.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.43
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.58
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +42.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -14.7%
% 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.
20265.55.9-6.85.0————————9.3%
20254.64.42.93.44.41.9-0.25.71.30.92.73.942.2%
2024-1.11.24.3-1.75.2-3.14.13.01.2-4.6-0.2-2.55.4%
20238.2-2.2-0.03.5-5.25.64.3-3.2-1.0-3.56.95.118.9%
20222.1-2.90.6-5.33.8-9.62.1-4.6-8.97.212.6-0.2-5.2%
2021-0.64.93.51.83.9-2.4-0.30.7-2.12.2-5.95.411.1%
2020-4.2-8.1-18.84.94.63.4-0.25.3-3.9-3.717.94.5-3.0%
20196.51.7-0.22.5-6.25.3-2.8-3.55.03.50.53.315.8%
20185.7-5.3-1.32.3-4.1-1.43.0-3.82.0-7.10.4-5.4-14.7%
20172.90.33.12.22.10.73.1-0.53.00.70.71.121.2%
2016———3.2-1.1-4.04.12.11.20.1-0.63.98.9%

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 16.4%. The dominant macroeconomic risk driver is VEA.US, accounting for 79.8% of variance. Idiosyncratic stock-specific factors contribute 2.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110323.230442962658
2016-05-0110211.775108197768
2016-06-019800.756553360945
2016-07-0110204.72812610109
2016-08-0110414.7082482931
2016-09-0110535.670360792186
2016-10-0110549.365439206484
2016-11-0110487.737586342151
2016-12-0110893.803309422348
2017-01-0111205.033938531704
2017-02-0111244.224466324069
2017-03-0111597.005697418543
2017-04-0111848.303738224558
2017-05-0112101.895372260155
2017-06-0112192.143279771839
2017-07-0112567.095912085575
2017-08-0112501.080315651612
2017-09-0112876.03294796535
2017-10-0112968.009360519616
2017-11-0113064.705921459392
2017-12-0113204.315944129397
2018-01-0113958.97459762397
2018-02-0113215.085860163943
2018-03-0113047.653554404695
2018-04-0113353.83163031266
2018-05-0112803.70166002965
2018-06-0112618.219772768067
2018-07-0113002.812144742355
2018-08-0112503.93899706819
2018-09-0112759.525059999069
2018-10-0111857.611073069225
2018-11-0111909.200300493952
2018-12-0111267.858448733206
2019-01-0112000.44542245328
2019-02-0112209.727494531939
2019-03-0112179.844301584239
2019-04-0112481.335469588284
2019-05-0111706.400122324974
2019-06-0112330.722847512614
2019-07-0111989.542544492384
2019-08-0111574.003284159582
2019-09-0112151.157765973714
2019-10-0112570.552922170737
2019-11-0112630.851155771543
2019-12-0113047.686794886284
2020-01-0112493.700928739056
2020-02-0111479.766518857325
2020-03-019326.481362061973
2020-04-019786.429905796474
2020-05-0110233.281699785266
2020-06-0110576.423191219195
2020-07-0110555.249004447578
2020-08-0111113.589373682846
2020-09-0110676.975648023188
2020-10-0110277.42505933426
2020-11-0112116.454703195737
2020-12-0112660.46842486654
2021-01-0112588.037415486075
2021-02-0113207.673232769797
2021-03-0113671.710355739635
2021-04-0113918.487691049668
2021-05-0114460.307540935653
2021-06-0114111.14952233428
2021-07-0114072.989449471144
2021-08-0114165.663912138758
2021-09-0113863.042567760722
2021-10-0114171.115351119208
2021-11-0113339.604704192956
2021-12-0114063.216747884242
2022-01-0114356.264833564908
2022-02-0113940.426408897813
2022-03-0114026.918141990041
2022-04-0113285.954566909766
2022-05-0113792.50626583078
2022-06-0112462.920242788477
2022-07-0112729.97427186725
2022-08-0112141.285342942048
2022-09-0111064.42670141405
2022-10-0111857.012744400641
2022-11-0113350.241658301145
2022-12-0113329.266914419055
2023-01-0114421.615620367107
2023-02-0114104.966792758894
2023-03-0114099.149708480976
2023-04-0114590.144862018762
2023-05-0113828.971074132924
2023-06-0114608.360645929037
2023-07-0115238.201291060304
2023-08-0114748.668718712397
2023-09-0114605.402243067698
2023-10-0114097.953051143806
2023-11-0115077.01819583962
2023-12-0115842.180841516032
2024-01-0115671.889854340208
2024-02-0115857.371741601792
2024-03-0116541.52733364801
2024-04-0116258.750556778068
2024-05-0117110.139011694002
2024-06-0116587.066793423703
2024-07-0117262.54661977543
2024-08-0117772.2894049289
2024-09-0117991.211216668107
2024-10-0117162.459529713666
2024-11-0117121.806420731424
2024-12-0116689.87960297569
2025-01-0117450.122657377062
2025-02-0118226.254661977542
2025-03-0118747.89753953955
2025-04-0119390.43604863747
2025-05-0120242.888198964225
2025-06-0120632.366921731962
2025-07-0120583.60313524222
2025-08-0121763.440788730146
2025-09-0122046.21756560009
2025-10-0122244.463797791504
2025-11-0122839.268975328912
2025-12-0123737.027902060243
2026-01-0125043.37882847247
2026-02-0126512.608114666367
2026-03-0124714.298060750305
2026-04-0125954.16802398633
Annual Return Matrix
YearAnnual Return
20170.21209421256106453
2018-0.14665337482000607
20190.15795622160599443
2020-0.029677166236969033
20210.11079750574335412
2022-0.052189328133309676
20230.18852604147183882
20240.053508968868615225
20250.422240811001902
20260.09340428511412968
Total Factor Risk
0.1635545008135499
VTI.US Exposure
-0.06958911098437441
VEA.US Exposure
0.7976393300307663
VWO.US Exposure
0.0648919906443001
QQQ.US Exposure
0.044849969431943935
VTV.US Exposure
0.19381134452760237
IJR.US Exposure
-0.02511935505328504
QUAL.US Exposure
-0.15284519062974333
SHV.US Exposure
0.12182630955984798
TLT.US Exposure
-0.005170343469740852
LQD.US Exposure
-0.040965373998200015
HYG.US Exposure
0.048388592530755226
GLD.US Exposure
-0.02644499708922148
USO.US Exposure
0.0018777189319363144
VNQ.US Exposure
-0.014265824288494542
BTC-USD.CC Exposure
-0.0032135761427465274
CPER.US Exposure
-0.0014092544961612132
VIX.INDX Exposure
0.005315383918043084
UUP.US Exposure
0.02887487990999997
TIP.US Exposure
0.007254755034553762
Idiosyncratic Exposure
0.02429275163221845
Value Score
45.1
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
44.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.4%

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 →12.3x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.72%
Market Cap$64.0B
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 →
+2.5%
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 →
+12.2%
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 →
2.3% 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 →
0.92
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares MSCI EAFE Value ETF a high-risk investment?

iShares MSCI EAFE Value ETF (EFV.US) has an annualized volatility of 16.4% and experienced a maximum drawdown of 33.2% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, EFV.US has generated a Compound Annual Growth Rate (CAGR) of 9.9%. 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.

Run a Full Backtest on iShares MSCI EAFE Value ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest