Data Source: from January 1975 to September 2023 (~49 years)
Consolidated Returns as of 30 September 2023
Live Update: Oct 02 2023, 04:00PM Eastern Time
Consolidated Returns as of 30 September 2023
Live Update: Oct 02 2023, 04:00PM Eastern Time
Category: Stocks
ETF: iShares MSCI EAFE Value (EFV)
ETF • LIVE PERFORMANCE (USD currency)
1.59%
1 Day
Oct 02 2023, 04:00PM Eastern Time
1.59%
Current Month
October 2023
In the last 30 Years, the iShares MSCI EAFE Value (EFV) ETF obtained a 5.44% compound annual return, with a 17.21% standard deviation.
Table of contents
The ETF is related to the following investment themes:
- Asset Class: Equity
- Size: Large Cap
- Style: Value
- Region: Developed Markets
- Country: EAFE
The iShares MSCI EAFE Value (EFV) ETF is part of the following Lazy Portfolios:
| Portfolio Name | Author | EFV Weight▾ |
|---|---|---|
| Simple Money Portfolio | Tim Maurer | 15.00% |
| Ultimate Buy and Hold Strategy | Paul Merriman | 10.00% |
| Robust | Alpha Architect | 7.50% |
| Sheltered Sam 100/0 | Bill Bernstein | 7.00% |
| Sheltered Sam 90/10 | Bill Bernstein | 6.30% |
| Ultimate Buy&Hold | FundAdvice | 6.00% |
| Big Rocks Portfolio | Larry Swedroe | 6.00% |
| Sheltered Sam 80/20 | Bill Bernstein | 5.60% |
| Sheltered Sam 70/30 | Bill Bernstein | 4.90% |
| Sheltered Sam 60/40 | Bill Bernstein | 4.20% |
| Sheltered Sam 50/50 | Bill Bernstein | 3.50% |
| Sheltered Sam 40/60 | Bill Bernstein | 2.80% |
| Sheltered Sam 30/70 | Bill Bernstein | 2.10% |
| Sheltered Sam 20/80 | Bill Bernstein | 1.40% |
| Sheltered Sam 10/90 | Bill Bernstein | 0.70% |
Investment Returns as of Sep 30, 2023
The iShares MSCI EAFE Value (EFV) ETF guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- the reinvestment of dividends.
ISHARES MSCI EAFE VALUE (EFV) ETF
Consolidated returns as of 30 September 2023
Live Update: Oct 02 2023, 04:00PM Eastern Time
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Sep 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Oct 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~49Y) |
|||
| iShares MSCI EAFE Value (EFV) ETF | -1.59 | -1.59 | -0.97 | 3.61 | 32.00 | 2.71 | 2.77 | 5.44 | 9.92 | |||
| US Inflation Adjusted return | -0.97 | 1.85 | 27.61 | -1.24 | 0.03 | 2.84 | 5.98 | |||||
Returns over 1 year are annualized | Available data source: since Jan 1975
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Aug 2023.
Waiting for updates, inflation of Sep 2023 is set to 0%.
Current inflation (annualized) is
1Y: 3.44%
, 5Y: 3.99%
, 10Y: 2.75%
, 30Y: 2.53%
Live update: World Markets and Indexes
In 2022, the iShares MSCI EAFE Value (EFV) ETF granted a 3.83% dividend yield. If you are interested in getting periodic income, please refer to the iShares MSCI EAFE Value (EFV) ETF: Dividend Yield page.
Capital Growth as of Sep 30, 2023
An investment of 1$, since October 1993,
now would be worth 4.90$, with a total return of 389.75% (5.44% annualized).
The Inflation Adjusted Capital now would be 2.31$, with a net total return of 131.46% (2.84% annualized).
The Inflation Adjusted Capital now would be 2.31$, with a net total return of 131.46% (2.84% annualized).
An investment of 1$, since January 1975,
now would be worth 100.50$, with a total return of 9950.26% (9.92% annualized).
The Inflation Adjusted Capital now would be 16.99$, with a net total return of 1598.91% (5.98% annualized).
The Inflation Adjusted Capital now would be 16.99$, with a net total return of 1598.91% (5.98% annualized).
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Investment Metrics as of Sep 30, 2023
Metrics of iShares MSCI EAFE Value (EFV) ETF, updated as of 30 September 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- the reinvestment of dividends.
ISHARES MSCI EAFE VALUE (EFV) ETF
Advanced Metrics
Data Source: 1 January 1975 - 30 September 2023 (~49 years)
Swipe left to see all data
| Metrics as of Sep 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~49Y) |
|
| Investment Return (%) | -0.97 | -0.02 | 3.61 | 32.00 | 10.96 | 2.71 | 2.77 | 5.51 | 5.44 | 9.92 |
| Infl. Adjusted Return (%) details | -0.97 | -0.64 | 1.85 | 27.61 | 5.02 | -1.24 | 0.03 | 2.87 | 2.84 | 5.98 |
| US Inflation (%) | 0.00 | 0.63 | 1.72 | 3.44 | 5.66 | 3.99 | 2.75 | 2.56 | 2.53 | 3.71 |
| Waiting for updates, inflation of Sep 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | ||||||||||
|
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | -5.22 | -23.58 | -28.52 | -33.18 | -59.70 | -59.70 | -59.70 | |||
| Start to Recovery (# months) details | 2 | 23 | 14 | 40 | 120 | 120 | 120 | |||
| Start (yyyy mm) | 2023 05 | 2021 06 | 2020 01 | 2018 02 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 1 | 16 | 3 | 26 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 7 | 11 | 14 | 104 | 104 | 104 | |||
| End (yyyy mm) | 2023 06 | 2023 04 | 2021 02 | 2021 05 | 2017 10 | 2017 10 | 2017 10 | |||
| Longest Drawdown Depth (%) | -2.24 |
same as deepest |
-23.58 |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
|||
| Start to Recovery (# months) details | 3 | 23 | ||||||||
| Start (yyyy mm) | 2023 02 | 2021 06 | 2021 06 | 2018 02 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 2 | 16 | 16 | 26 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 03 | 2022 09 | 2022 09 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 1 | 7 | 7 | 14 | 104 | 104 | 104 | |||
| End (yyyy mm) | 2023 04 | 2023 04 | 2023 04 | 2021 05 | 2017 10 | 2017 10 | 2017 10 | |||
| Longest negative period (# months) details | 4 | 25 | 49 | 108 | 189 | 189 | 189 | |||
| Period Start (yyyy mm) | 2023 02 | 2021 05 | 2018 10 | 2013 10 | 2007 01 | 2007 01 | 2007 01 | |||
| Period End (yyyy mm) | 2023 05 | 2023 05 | 2022 10 | 2022 09 | 2022 09 | 2022 09 | 2022 09 | |||
| Annualized Return (%) | -11.83 | -0.38 | -1.82 | -0.05 | -0.21 | -0.21 | -0.21 | |||
| Deepest Drawdown Depth (%) | -5.67 | -30.69 | -30.69 | -35.83 | -60.32 | -60.32 | -60.32 | |||
| Start to Recovery (# months) details | 6 | 28* | 28* | 68* | 191* | 191* | 191* | |||
| Start (yyyy mm) | 2023 02 | 2021 06 | 2021 06 | 2018 02 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 4 | 16 | 16 | 26 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 2 | 12 | 12 | 42 | 175 | 175 | 175 | |||
| End (yyyy mm) | 2023 07 | - | - | - | - | - | - | |||
| Longest Drawdown Depth (%) |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
same as deepest |
|||
| Start to Recovery (# months) details | ||||||||||
| Start (yyyy mm) | 2023 02 | 2021 06 | 2021 06 | 2018 02 | 2007 11 | 2007 11 | 2007 11 | |||
| Start to Bottom (# months) | 4 | 16 | 16 | 26 | 16 | 16 | 16 | |||
| Bottom (yyyy mm) | 2023 05 | 2022 09 | 2022 09 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Bottom to End (# months) | 2 | 12 | 12 | 42 | 175 | 175 | 175 | |||
| End (yyyy mm) | 2023 07 | - | - | - | - | - | - | |||
| Longest negative period (# months) details | 8* | 33* | 60* | 119* | 214 | 214 | 214 | |||
| Period Start (yyyy mm) | 2023 02 | 2021 01 | 2018 10 | 2013 11 | 2004 12 | 2004 12 | 2004 12 | |||
| Period End (yyyy mm) | 2023 09 | 2023 09 | 2023 09 | 2023 09 | 2022 09 | 2022 09 | 2022 09 | |||
| Annualized Return (%) | -1.95 | -0.83 | -1.24 | -0.39 | -0.11 | -0.11 | -0.11 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
|
RISK INDICATORS
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 17.61 | 19.02 | 19.57 | 16.09 | 18.19 | 17.21 | 16.77 | |||
| Sharpe Ratio | 1.57 | 0.49 | 0.06 | 0.11 | 0.23 | 0.19 | 0.35 | |||
| Sortino Ratio | 2.35 | 0.75 | 0.08 | 0.16 | 0.32 | 0.25 | 0.48 | |||
| Ulcer Index | 2.23 | 7.19 | 10.16 | 12.11 | 19.87 | 17.16 | 14.58 | |||
| Ratio: Return / Standard Deviation | 1.82 | 0.58 | 0.14 | 0.17 | 0.30 | 0.32 | 0.59 | |||
| Ratio: Return / Deepest Drawdown | 6.13 | 0.46 | 0.09 | 0.08 | 0.09 | 0.09 | 0.17 | |||
| % Positive Months details | 50% | 52% | 53% | 54% | 56% | 56% | 59% | |||
| Positive Months | 6 | 19 | 32 | 65 | 136 | 203 | 348 | |||
| Negative Months | 6 | 17 | 28 | 55 | 104 | 157 | 237 | |||
|
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 2.77 | 8.90 | 12.45 | 26.16 | ||||||
| Worst 10 Years Return (%) - Annualized | -0.48 | -0.48 | -0.48 | |||||||
| Best 10 Years Return (%) - Annualized | 0.03 | 7.01 | 9.60 | 18.51 | ||||||
| Worst 10 Years Return (%) - Annualized | -2.25 | -2.25 | -2.25 | |||||||
|
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Over the latest 30Y | ||||||||||
| Best Rolling Return (%) - Annualized | 74.03 | 38.18 | 27.64 | 12.45 | 7.01 | 5.44 | ||||
| Worst Rolling Return (%) - Annualized | -51.32 | -17.56 | -9.23 | -0.48 | 3.34 | |||||
| % Positive Periods | 61% | 74% | 81% | 96% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 71.05 | 34.49 | 24.07 | 9.60 | 4.53 | 2.84 | ||||
| Worst Rolling Return (%) - Annualized | -51.43 | -19.35 | -11.03 | -2.25 | 1.24 | |||||
| % Positive Periods | 56% | 64% | 63% | 86% | 100% | 100% | ||||
| Over all the available data source (Jan 1975 - Sep 2023) | ||||||||||
| Best Rolling Return (%) - Annualized | 85.04 | 65.01 | 45.85 | 26.16 | 16.86 | 14.52 | ||||
| Worst Rolling Return (%) - Annualized | -51.32 | -17.56 | -9.23 | -0.48 | 3.34 | 4.20 | ||||
| % Positive Periods | 69% | 80% | 89% | 98% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 82.38 | 60.19 | 41.41 | 18.51 | 10.83 | 9.89 | ||||
| Worst Rolling Return (%) - Annualized | -51.43 | -19.35 | -11.03 | -2.25 | 0.67 | 1.82 | ||||
| % Positive Periods | 59% | 69% | 75% | 92% | 100% | 100% | ||||
|
WITHDRAWAL RATES (WR)
|
1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 38.89 | 18.80 | 10.03 | 8.16 | 5.69 | 10.56 | ||||
| Perpetual WR (%) | 4.78 | 0.00 | 0.03 | 2.79 | 2.76 | 5.64 | ||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
- Longest negative period: it's the maximum period for which an overall negative return has been observed
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return
- Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation)
- Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio
- Best/Worst 10Y returns: the best and the worst 10-year return over a time frame
- Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.
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Correlations as of Sep 30, 2023
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
Asset correlations are calculated based on monthly returns.
Monthly correlations of iShares MSCI EAFE Value (EFV) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).
ISHARES MSCI EAFE VALUE (EFV) ETF
Monthly correlations as of 30 September 2023
Swipe left to see all data
| Correlation vs EFV | ||||||
|---|---|---|---|---|---|---|
| Asset Class | 1 Year | 5 Years | 10 Years | 30 Years | Since Jan 1992 |
|
|
VTI
|
US Total Stock Market |
0.74
|
0.82
|
0.80
|
0.79
|
0.78
|
|
SPY
|
US Large Cap |
0.74
|
0.82
|
0.80
|
0.78
|
0.77
|
|
IJR
|
US Small Cap |
0.72
|
0.85
|
0.75
|
0.72
|
0.71
|
|
VNQ
|
US REITs |
0.87
|
0.74
|
0.58
|
0.61
|
0.60
|
|
QQQ
|
US Technology |
0.38
|
0.65
|
0.65
|
0.56
|
0.54
|
|
PFF
|
Preferred Stocks |
0.68
|
0.70
|
0.61
|
0.49
|
0.49
|
|
EFA
|
EAFE Stocks |
0.96
|
0.96
|
0.96
|
0.96
|
0.94
|
|
VT
|
World All Countries |
0.88
|
0.90
|
0.89
|
0.90
|
0.90
|
|
EEM
|
Emerging Markets |
0.82
|
0.81
|
0.79
|
0.78
|
0.76
|
|
VGK
|
Europe |
0.96
|
0.96
|
0.95
|
0.94
|
0.93
|
|
VPL
|
Pacific |
0.88
|
0.90
|
0.88
|
0.84
|
0.81
|
|
FLLA
|
Latin America |
0.66
|
0.73
|
0.69
|
0.70
|
0.69
|
|
BND
|
US Total Bond Market |
0.64
|
0.34
|
0.23
|
0.13
|
0.13
|
|
TLT
|
Long Term Treasuries |
0.58
|
-0.06
|
-0.13
|
-0.16
|
-0.16
|
|
BIL
|
US Cash |
-0.50
|
-0.07
|
-0.04
|
-0.03
|
-0.03
|
|
TIP
|
TIPS |
0.67
|
0.40
|
0.31
|
0.17
|
0.17
|
|
LQD
|
Invest. Grade Bonds |
0.73
|
0.54
|
0.46
|
0.32
|
0.32
|
|
HYG
|
High Yield Bonds |
0.83
|
0.75
|
0.73
|
0.67
|
0.67
|
|
CWB
|
US Convertible Bonds |
0.68
|
0.74
|
0.72
|
0.73
|
0.72
|
|
BNDX
|
International Bonds |
0.53
|
0.32
|
0.20
|
0.14
|
0.14
|
|
EMB
|
Emerg. Market Bonds |
0.84
|
0.74
|
0.68
|
0.57
|
0.56
|
|
GLD
|
Gold |
0.52
|
0.15
|
0.08
|
0.13
|
0.13
|
|
DBC
|
Commodities |
0.60
|
0.70
|
0.60
|
0.45
|
0.45
|
If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.
Drawdowns
A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
ISHARES MSCI EAFE VALUE (EFV) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 October 1993 - 30 September 2023 (30 Years)
Data Source: 1 January 1975 - 30 September 2023 (~49 years)
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -59.70% | Nov 2007 | Feb 2009 | 16 | Oct 2017 | 104 | 120 | 26.28 |
| -33.18% | Feb 2018 | Mar 2020 | 26 | May 2021 | 14 | 40 | 15.28 |
| -29.03% | Jul 2000 | Mar 2003 | 33 | Oct 2003 | 7 | 40 | 14.79 |
| -23.58% | Jun 2021 | Sep 2022 | 16 | Apr 2023 | 7 | 23 | 8.77 |
| -17.81% | Aug 1998 | Sep 1998 | 2 | Apr 1999 | 7 | 9 | 8.58 |
| -12.50% | Aug 1997 | Dec 1997 | 5 | Mar 1998 | 3 | 8 | 7.30 |
| -10.95% | Sep 1994 | Feb 1995 | 6 | Jul 1995 | 5 | 11 | 6.09 |
| -10.01% | Jan 2000 | Feb 2000 | 2 | Jun 2000 | 4 | 6 | 6.28 |
| -5.47% | Mar 2005 | Apr 2005 | 2 | Jul 2005 | 3 | 5 | 3.65 |
| -5.22% | May 2023 | May 2023 | 1 | Jun 2023 | 1 | 2 | 3.01 |
| -5.05% | May 1999 | May 1999 | 1 | Jul 1999 | 2 | 3 | 2.56 |
| -4.84% | Feb 1994 | Mar 1994 | 2 | Aug 1994 | 5 | 7 | 2.43 |
| -4.74% | Aug 1995 | Oct 1995 | 3 | Dec 1995 | 2 | 5 | 2.82 |
| -4.68% | Dec 1996 | Jan 1997 | 2 | May 1997 | 4 | 6 | 3.09 |
| -4.16% | Jun 2007 | Aug 2007 | 3 | Oct 2007 | 2 | 5 | 2.15 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -60.32% | Nov 2007 | Feb 2009 | 16 | in progress | 175 | 191 | 29.03 |
| -34.67% | Jan 2000 | Mar 2003 | 39 | Dec 2003 | 9 | 48 | 17.44 |
| -18.10% | Jun 1998 | Sep 1998 | 4 | Apr 1999 | 7 | 11 | 8.19 |
| -12.94% | Aug 1997 | Dec 1997 | 5 | Mar 1998 | 3 | 8 | 7.69 |
| -12.07% | Sep 1994 | Feb 1995 | 6 | Dec 1995 | 10 | 16 | 6.38 |
| -6.83% | Mar 2005 | Apr 2005 | 2 | Aug 2005 | 4 | 6 | 4.31 |
| -5.49% | Feb 1994 | Mar 1994 | 2 | Aug 1994 | 5 | 7 | 3.06 |
| -5.05% | May 1999 | May 1999 | 1 | Jul 1999 | 2 | 3 | 2.56 |
| -4.98% | Dec 1996 | Jan 1997 | 2 | May 1997 | 4 | 6 | 3.58 |
| -4.36% | May 2006 | May 2006 | 1 | Sep 2006 | 4 | 5 | 2.81 |
| -4.14% | Jun 2007 | Aug 2007 | 3 | Oct 2007 | 2 | 5 | 2.21 |
| -3.70% | May 1996 | Jul 1996 | 3 | Nov 1996 | 4 | 7 | 2.37 |
| -3.54% | Jul 2004 | Jul 2004 | 1 | Sep 2004 | 2 | 3 | 2.13 |
| -3.42% | Nov 1993 | Nov 1993 | 1 | Dec 1993 | 1 | 2 | 1.97 |
| -3.32% | Apr 2004 | Apr 2004 | 1 | Jun 2004 | 2 | 3 | 2.22 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -59.70% | Nov 2007 | Feb 2009 | 16 | Oct 2017 | 104 | 120 | 26.28 |
| -33.18% | Feb 2018 | Mar 2020 | 26 | May 2021 | 14 | 40 | 15.28 |
| -29.29% | Sep 1989 | Oct 1990 | 14 | Oct 1993 | 36 | 50 | 15.80 |
| -29.03% | Jul 2000 | Mar 2003 | 33 | Oct 2003 | 7 | 40 | 14.79 |
| -23.70% | Dec 1981 | Jul 1982 | 8 | Jan 1983 | 6 | 14 | 12.19 |
| -23.58% | Jun 2021 | Sep 2022 | 16 | Apr 2023 | 7 | 23 | 8.77 |
| -22.38% | Sep 1987 | Nov 1987 | 3 | Jul 1988 | 8 | 11 | 10.94 |
| -17.81% | Aug 1998 | Sep 1998 | 2 | Apr 1999 | 7 | 9 | 8.58 |
| -12.50% | Aug 1997 | Dec 1997 | 5 | Mar 1998 | 3 | 8 | 7.30 |
| -11.89% | Jul 1975 | Sep 1975 | 3 | Jan 1976 | 4 | 7 | 6.40 |
| -11.61% | Feb 1980 | Mar 1980 | 2 | Jul 1980 | 4 | 6 | 5.82 |
| -10.95% | Sep 1994 | Feb 1995 | 6 | Jul 1995 | 5 | 11 | 6.09 |
| -10.34% | Feb 1976 | Nov 1976 | 10 | Jun 1977 | 7 | 17 | 5.65 |
| -10.01% | Jan 2000 | Feb 2000 | 2 | Jun 2000 | 4 | 6 | 6.28 |
| -9.16% | Sep 1979 | Oct 1979 | 2 | Jan 1980 | 3 | 5 | 4.62 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
|||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -60.32% | Nov 2007 | Feb 2009 | 16 | in progress | 175 | 191 | 29.03 |
| -34.67% | Jan 2000 | Mar 2003 | 39 | Dec 2003 | 9 | 48 | 17.44 |
| -34.00% | Sep 1989 | Oct 1990 | 14 | Apr 1996 | 66 | 80 | 18.65 |
| -31.22% | Feb 1979 | Jul 1982 | 42 | Apr 1983 | 9 | 51 | 12.81 |
| -23.05% | Sep 1987 | Nov 1987 | 3 | Oct 1988 | 11 | 14 | 10.67 |
| -18.10% | Jun 1998 | Sep 1998 | 4 | Apr 1999 | 7 | 11 | 8.19 |
| -14.05% | Feb 1976 | Nov 1976 | 10 | Nov 1977 | 12 | 22 | 8.33 |
| -13.51% | Jul 1975 | Sep 1975 | 3 | Jan 1976 | 4 | 7 | 7.95 |
| -12.94% | Aug 1997 | Dec 1997 | 5 | Mar 1998 | 3 | 8 | 7.69 |
| -11.09% | Dec 1983 | Jul 1984 | 8 | Jan 1985 | 6 | 14 | 5.38 |
| -6.83% | Mar 2005 | Apr 2005 | 2 | Aug 2005 | 4 | 6 | 4.31 |
| -6.52% | Oct 1978 | Oct 1978 | 1 | Jan 1979 | 3 | 4 | 3.27 |
| -5.05% | May 1999 | May 1999 | 1 | Jul 1999 | 2 | 3 | 2.56 |
| -4.98% | Dec 1996 | Jan 1997 | 2 | May 1997 | 4 | 6 | 3.58 |
| -4.36% | May 2006 | May 2006 | 1 | Sep 2006 | 4 | 5 | 2.81 |
Rolling Returns
( more details)
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
ISHARES MSCI EAFE VALUE (EFV) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 October 1993 - 30 September 2023 (30 Years)
Data Source: 1 January 1975 - 30 September 2023 (~49 years)
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| Rolling Period |
Worst Period |
15th Percentile |
50th Percentile |
85th Percentile |
Best Period |
Latest | Negative Periods |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
From To |
Growth of 1$ |
|||
| 1Y | -51.32 |
03/2008 02/2009 |
0.48$ | -10.96 | 0.89$ | 5.05 | 1.05$ | 25.36 | 1.25$ | 74.03 |
04/2003 03/2004 |
1.74$ | 32.00 | 38.11% |
| 2Y | -32.77 |
03/2007 02/2009 |
0.45$ | -7.26 | 0.85$ | 5.59 | 1.11$ | 20.16 | 1.44$ | 44.81 |
03/2003 02/2005 |
2.09$ | 2.58 | 28.19% |
| 3Y | -17.56 |
03/2006 02/2009 |
0.56$ | -3.74 | 0.89$ | 5.14 | 1.16$ | 13.27 | 1.45$ | 38.18 |
04/2003 03/2006 |
2.63$ | 10.96 | 25.85% |
| 5Y | -9.23 |
06/2007 05/2012 |
0.61$ | -0.75 | 0.96$ | 4.62 | 1.25$ | 10.97 | 1.68$ | 27.64 |
11/2002 10/2007 |
3.38$ | 2.71 | 18.60% |
| 7Y | -1.64 |
11/2013 10/2020 |
0.89$ | 1.00 | 1.07$ | 4.68 | 1.37$ | 10.81 | 2.05$ | 15.13 |
11/2000 10/2007 |
2.68$ | 4.76 | 4.33% |
| 10Y | -0.48 |
01/2007 12/2016 |
0.95$ | 2.14 | 1.23$ | 5.91 | 1.77$ | 9.22 | 2.41$ | 12.45 |
11/1997 10/2007 |
3.23$ | 2.77 | 3.73% |
| 15Y | -0.75 |
10/2007 09/2022 |
0.89$ | 2.05 | 1.35$ | 5.45 | 2.21$ | 6.80 | 2.68$ | 9.05 |
02/2003 01/2018 |
3.66$ | 3.62 | 1.10% |
| 20Y | 3.34 |
04/2000 03/2020 |
1.93$ | 4.82 | 2.56$ | 5.60 | 2.97$ | 6.45 | 3.49$ | 7.01 |
12/1993 11/2013 |
3.87$ | 5.51 | 0.00% |
| 30Y | 5.44 |
10/1993 09/2023 |
4.89$ | 5.44 | 4.89$ | 5.44 | 4.89$ | 5.44 | 4.89$ | 5.44 |
10/1993 09/2023 |
4.89$ | 5.44 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
Swipe left to see all data
| Rolling Period |
Worst Period |
15th Percentile |
50th Percentile |
85th Percentile |
Best Period |
Latest | Negative Periods |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
From To |
Growth of 1$ |
|||
| 1Y | -51.43 |
03/2008 02/2009 |
0.48$ | -12.62 | 0.87$ | 2.94 | 1.02$ | 21.91 | 1.21$ | 71.05 |
04/2003 03/2004 |
1.71$ | 27.61 | 43.84% |
| 2Y | -34.16 |
03/2007 02/2009 |
0.43$ | -8.39 | 0.83$ | 2.63 | 1.05$ | 17.42 | 1.37$ | 41.49 |
03/2003 02/2005 |
2.00$ | -3.04 | 39.17% |
| 3Y | -19.35 |
03/2006 02/2009 |
0.52$ | -5.65 | 0.83$ | 2.79 | 1.08$ | 10.19 | 1.33$ | 34.49 |
04/2003 03/2006 |
2.43$ | 5.02 | 35.69% |
| 5Y | -11.03 |
06/2007 05/2012 |
0.55$ | -3.09 | 0.85$ | 2.50 | 1.13$ | 8.16 | 1.48$ | 24.07 |
11/2002 10/2007 |
2.93$ | -1.24 | 36.54% |
| 7Y | -3.38 |
11/2007 10/2014 |
0.78$ | -1.29 | 0.91$ | 2.51 | 1.18$ | 7.80 | 1.69$ | 12.16 |
11/2000 10/2007 |
2.23$ | 1.23 | 27.08% |
| 10Y | -2.25 |
12/2006 11/2016 |
0.79$ | 0.17 | 1.01$ | 3.40 | 1.39$ | 6.55 | 1.88$ | 9.60 |
11/1997 10/2007 |
2.50$ | 0.03 | 13.69% |
| 15Y | -3.05 |
10/2007 09/2022 |
0.62$ | 0.09 | 1.01$ | 3.09 | 1.57$ | 4.34 | 1.89$ | 6.81 |
02/2003 01/2018 |
2.68$ | 1.31 | 12.71% |
| 20Y | 1.24 |
04/2000 03/2020 |
1.28$ | 2.62 | 1.67$ | 3.31 | 1.91$ | 4.08 | 2.22$ | 4.53 |
12/1993 11/2013 |
2.42$ | 2.87 | 0.00% |
| 30Y | 2.84 |
10/1993 09/2023 |
2.31$ | 2.84 | 2.31$ | 2.84 | 2.31$ | 2.84 | 2.31$ | 2.84 |
10/1993 09/2023 |
2.31$ | 2.84 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
Swipe left to see all data
| Rolling Period |
Worst Period |
15th Percentile |
50th Percentile |
85th Percentile |
Best Period |
Latest | Negative Periods |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
From To |
Growth of 1$ |
|||
| 1Y | -51.32 |
03/2008 02/2009 |
0.48$ | -7.79 | 0.92$ | 9.23 | 1.09$ | 30.34 | 1.30$ | 85.04 |
02/1986 01/1987 |
1.85$ | 32.00 | 30.66% |
| 2Y | -32.77 |
03/2007 02/2009 |
0.45$ | -3.72 | 0.92$ | 8.48 | 1.17$ | 23.60 | 1.52$ | 76.14 |
10/1985 09/1987 |
3.10$ | 2.58 | 21.35% |
| 3Y | -17.56 |
03/2006 02/2009 |
0.56$ | -1.33 | 0.96$ | 7.91 | 1.25$ | 22.83 | 1.85$ | 65.01 |
08/1984 07/1987 |
4.49$ | 10.96 | 19.09% |
| 5Y | -9.23 |
06/2007 05/2012 |
0.61$ | 0.78 | 1.03$ | 7.18 | 1.41$ | 20.04 | 2.49$ | 45.85 |
08/1982 07/1987 |
6.59$ | 2.71 | 10.65% |
| 7Y | -1.64 |
11/2013 10/2020 |
0.89$ | 2.09 | 1.15$ | 7.48 | 1.65$ | 18.78 | 3.33$ | 36.45 |
08/1982 07/1989 |
8.80$ | 4.76 | 2.39% |
| 10Y | -0.48 |
01/2007 12/2016 |
0.95$ | 3.60 | 1.42$ | 7.34 | 2.03$ | 19.66 | 6.01$ | 26.16 |
09/1977 08/1987 |
10.21$ | 2.77 | 1.93% |
| 15Y | -0.75 |
10/2007 09/2022 |
0.89$ | 4.27 | 1.87$ | 7.04 | 2.77$ | 16.30 | 9.63$ | 22.20 |
01/1975 12/1989 |
20.23$ | 3.62 | 0.49% |
| 20Y | 3.34 |
04/2000 03/2020 |
1.93$ | 5.28 | 2.79$ | 7.04 | 3.90$ | 13.93 | 13.57$ | 16.86 |
01/1975 12/1994 |
22.54$ | 5.51 | 0.00% |
| 30Y | 4.20 |
04/1990 03/2020 |
3.44$ | 5.55 | 5.06$ | 10.36 | 19.25$ | 13.29 | 42.18$ | 14.52 |
06/1977 05/2007 |
58.46$ | 5.44 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
Swipe left to see all data
| Rolling Period |
Worst Period |
15th Percentile |
50th Percentile |
85th Percentile |
Best Period |
Latest | Negative Periods |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return |
From To |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
Growth of 1$ |
Ann. Return |
From To |
Growth of 1$ |
|||
| 1Y | -51.43 |
03/2008 02/2009 |
0.48$ | -10.93 | 0.89$ | 4.43 | 1.04$ | 24.82 | 1.24$ | 82.38 |
02/1986 01/1987 |
1.82$ | 27.61 | 40.77% |
| 2Y | -34.16 |
03/2007 02/2009 |
0.43$ | -6.64 | 0.87$ | 4.46 | 1.09$ | 18.78 | 1.41$ | 70.98 |
09/1985 08/1987 |
2.92$ | -3.04 | 33.27% |
| 3Y | -19.35 |
03/2006 02/2009 |
0.52$ | -4.69 | 0.86$ | 4.42 | 1.13$ | 19.15 | 1.69$ | 60.19 |
08/1984 07/1987 |
4.11$ | 5.02 | 30.55% |
| 5Y | -11.03 |
06/2007 05/2012 |
0.55$ | -1.27 | 0.93$ | 3.72 | 1.20$ | 15.67 | 2.07$ | 41.41 |
08/1982 07/1987 |
5.65$ | -1.24 | 24.52% |
| 7Y | -3.38 |
11/2007 10/2014 |
0.78$ | -0.11 | 0.99$ | 4.38 | 1.34$ | 13.89 | 2.48$ | 31.78 |
08/1982 07/1989 |
6.90$ | 1.23 | 15.74% |
| 10Y | -2.25 |
12/2006 11/2016 |
0.79$ | 1.30 | 1.13$ | 4.47 | 1.54$ | 14.77 | 3.96$ | 18.51 |
09/1977 08/1987 |
5.46$ | 0.03 | 7.08% |
| 15Y | -3.05 |
10/2007 09/2022 |
0.62$ | 1.62 | 1.27$ | 4.38 | 1.90$ | 11.45 | 5.08$ | 15.18 |
01/1975 12/1989 |
8.33$ | 1.31 | 5.67% |
| 20Y | 0.67 |
03/1989 02/2009 |
1.14$ | 2.88 | 1.76$ | 4.40 | 2.36$ | 9.68 | 6.34$ | 10.83 |
01/1975 12/1994 |
7.81$ | 2.87 | 0.00% |
| 30Y | 1.82 |
04/1990 03/2020 |
1.71$ | 3.02 | 2.44$ | 7.06 | 7.73$ | 8.54 | 11.69$ | 9.89 |
06/1977 05/2007 |
16.95$ | 2.84 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
If you need a deeper detail about rolling returns, please refer to the iShares MSCI EAFE Value (EFV) ETF: Rolling Returns page.
Seasonality
In which months is it better to invest in iShares MSCI EAFE Value (EFV) ETF?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
For further information about the seasonality, check the Asset Class Seasonality page.
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
2.39
60% |
-1.31
40% |
-2.98
40% |
1.48
80% |
0.17
60% |
0.47
60% |
0.64
40% |
-1.07
40% |
-2.18
20% |
0.41
60% |
5.10
80% |
1.49
60% |
| Best |
8.2 2023 |
4.9 2021 |
3.5 2021 |
4.9 2020 |
4.6 2020 |
5.7 2023 |
4.3 2023 |
5.3 2020 |
5.0 2019 |
7.2 2022 |
17.9 2020 |
5.2 2021 |
| Worst |
-4.2 2020 |
-8.1 2020 |
-18.8 2020 |
-5.3 2022 |
-6.2 2019 |
-9.6 2022 |
-2.8 2019 |
-4.6 2022 |
-8.9 2022 |
-7.1 2018 |
-5.9 2021 |
-5.4 2018 |
Monthly Seasonality over the period Feb 1975 - Sep 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.89
50% |
-0.25
50% |
-0.80
40% |
2.16
90% |
-0.13
50% |
-0.45
50% |
1.25
60% |
-1.56
30% |
-1.44
40% |
1.23
70% |
2.37
60% |
0.77
60% |
| Best |
8.2 2023 |
6.4 2015 |
7.2 2016 |
4.9 2020 |
4.6 2020 |
5.7 2023 |
4.3 2023 |
5.3 2020 |
5.0 2019 |
7.2 2022 |
17.9 2020 |
5.2 2021 |
| Worst |
-6.7 2016 |
-8.1 2020 |
-18.8 2020 |
-5.3 2022 |
-6.2 2019 |
-9.6 2022 |
-2.8 2019 |
-7.6 2015 |
-8.9 2022 |
-7.1 2018 |
-5.9 2021 |
-5.4 2018 |
Monthly Seasonality over the period Feb 1975 - Sep 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
1.06
57% |
0.41
53% |
1.19
67% |
2.58
76% |
0.61
57% |
0.63
55% |
0.94
57% |
0.11
55% |
-0.91
49% |
0.54
54% |
1.54
63% |
2.23
71% |
| Best |
15.4 1987 |
11.2 1986 |
9.0 2009 |
16.7 2009 |
13.1 2009 |
9.0 2012 |
12.6 2010 |
12.1 1982 |
8.9 2010 |
11.1 1982 |
17.9 2020 |
11.9 1991 |
| Worst |
-15.3 2009 |
-11.5 2009 |
-18.8 2020 |
-5.3 2022 |
-11.7 2012 |
-9.8 2008 |
-10.3 2002 |
-13.1 1998 |
-12.7 2001 |
-19.8 2008 |
-6.8 2008 |
-5.4 2018 |
Monthly Seasonality over the period Feb 1975 - Sep 2023
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the iShares MSCI EAFE Value (EFV) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
ISHARES MSCI EAFE VALUE (EFV) ETF
Monthly Returns Distribution
Data Source: 1 October 1993 - 30 September 2023 (30 Years)
Data Source: 1 January 1975 - 30 September 2023 (~49 years)
203 Positive Months (56%) - 157 Negative Months (44%)
348 Positive Months (59%) - 237 Negative Months (41%)
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(Scroll down to see all data)
Investment Returns, up to December 2005, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets.
They have been derived using the historical series of equivalent ETFs / Assets.
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