iShares MSCI EAFE Value (EFV): Historical Returns

Data Source: from January 1975 to January 2024 (~49 years)
Consolidated Returns as of 31 January 2024
Live Update: Feb 21 2024
Category: Stocks
iShares MSCI EAFE Value (EFV) ETF
ETF • LIVE PERFORMANCE (USD currency)
0.19%
1 Day
Feb 21 2024
0.60%
Current Month
February 2024

In the last 30 Years, the iShares MSCI EAFE Value (EFV) ETF obtained a 5.20% compound annual return, with a 17.18% standard deviation.

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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 Currency
Simple Money Portfolio Tim Maurer 15.00% USD
Aim comfortable trip Aim Ways 13.00% USD
Ultimate Buy and Hold Strategy Paul Merriman 10.00% USD
Robust Alpha Architect 7.50% USD
Sheltered Sam 100/0 Bill Bernstein 7.00% USD
Sheltered Sam 90/10 Bill Bernstein 6.30% USD
Ultimate Buy&Hold FundAdvice 6.00% USD
Big Rocks Portfolio Larry Swedroe 6.00% USD
Sheltered Sam 80/20 Bill Bernstein 5.60% USD
Sheltered Sam 70/30 Bill Bernstein 4.90% USD
Sheltered Sam 60/40 Bill Bernstein 4.20% USD
Sheltered Sam 50/50 Bill Bernstein 3.50% USD
Sheltered Sam 40/60 Bill Bernstein 2.80% USD
Sheltered Sam 30/70 Bill Bernstein 2.10% USD
Sheltered Sam 20/80 Bill Bernstein 1.40% USD
Sheltered Sam 10/90 Bill Bernstein 0.70% USD

Investment Returns as of Jan 31, 2024

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.
  • the actual US Inflation rates.
ISHARES MSCI EAFE VALUE (EFV) ETF
Consolidated returns as of 31 January 2024
Live Update: Feb 21 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~49Y)
iShares MSCI EAFE Value (EFV) ETF 0.19 0.60 -1.07 2.87 8.71 5.46 3.37 5.20 10.01
US Inflation Adjusted return -1.38 1.19 5.43 1.24 0.57 2.60 6.07
Returns over 1 year are annualized | Available data source: since Jan 1975
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 3.11% , 5Y: 4.16% , 10Y: 2.79% , 30Y: 2.53%

In 2023, the iShares MSCI EAFE Value (EFV) ETF granted a 5.01% 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 Jan 31, 2024

An investment of 1$, since February 1994, now would be worth 4.57$, with a total return of 357.37% (5.20% annualized).

The Inflation Adjusted Capital now would be 2.16$, with a net total return of 116.07% (2.60% annualized).
An investment of 1$, since January 1975, now would be worth 107.86$, with a total return of 10686.21% (10.01% annualized).

The Inflation Adjusted Capital now would be 18.08$, with a net total return of 1707.66% (6.07% annualized).

Investment Metrics as of Jan 31, 2024

Metrics of iShares MSCI EAFE Value (EFV) ETF, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
ISHARES MSCI EAFE VALUE (EFV) ETF
Advanced Metrics
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~49Y)
Investment Return (%) -1.07 11.19 2.87 8.71 7.54 5.46 3.37 4.86 5.20 10.01
Infl. Adjusted Return (%) details -1.38 10.41 1.19 5.43 1.77 1.24 0.57 2.23 2.60 6.07
US Inflation (%) 0.31 0.70 1.66 3.11 5.66 4.16 2.79 2.57 2.53 3.71
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -7.48 -23.58 -28.52 -33.18 -59.70 -59.70 -59.70
Start to Recovery (# months) details 5 23 14 40 120 120 120
Start (yyyy mm) 2023 08 2021 06 2020 01 2018 02 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 16 3 26 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 7 11 14 104 104 104
End (yyyy mm) 2023 12 2023 04 2021 02 2021 05 2017 10 2017 10 2017 10
Longest Drawdown Depth (%)
same as
deepest

same as
deepest
-23.58
same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details 23
Start (yyyy mm) 2023 08 2021 06 2021 06 2018 02 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 16 16 26 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 7 7 14 104 104 104
End (yyyy mm) 2023 12 2023 04 2023 04 2021 05 2017 10 2017 10 2017 10
Longest negative period (# months) details 9 29 45 104 189 189 189
Period Start (yyyy mm) 2023 02 2021 06 2019 02 2014 02 2007 01 2007 01 2007 01
Period End (yyyy mm) 2023 10 2023 10 2022 10 2022 09 2022 09 2022 09 2022 09
Annualized Return (%) -2.96 -1.10 -0.36 -0.20 -0.21 -0.21 -0.21
Deepest Drawdown Depth (%) -8.36 -30.77 -30.77 -35.59 -60.37 -60.37 -60.37
Start to Recovery (# months) details 5 32* 32* 72* 195* 195* 195*
Start (yyyy mm) 2023 08 2021 06 2021 06 2018 02 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 16 16 26 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 16 16 46 179 179 179
End (yyyy mm) 2023 12 - - - - - -
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 08 2021 06 2021 06 2018 02 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 16 16 26 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 16 16 46 179 179 179
End (yyyy mm) 2023 12 - - - - - -
Longest negative period (# months) details 9 34* 57 119* 214 214 214
Period Start (yyyy mm) 2023 02 2021 04 2019 02 2014 03 2004 12 2004 12 2004 12
Period End (yyyy mm) 2023 10 2024 01 2023 10 2024 01 2022 09 2022 09 2022 09
Annualized Return (%) -5.97 -0.73 -0.78 -0.02 -0.08 -0.08 -0.08
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 13.64 16.70 19.33 16.22 18.16 17.18 16.76
Sharpe Ratio 0.26 0.32 0.19 0.14 0.20 0.17 0.36
Sortino Ratio 0.39 0.45 0.26 0.19 0.26 0.23 0.49
Ulcer Index 3.07 7.28 9.87 12.12 19.88 17.17 14.53
Ratio: Return / Standard Deviation 0.64 0.45 0.28 0.21 0.27 0.30 0.60
Ratio: Return / Deepest Drawdown 1.16 0.32 0.19 0.10 0.08 0.09 0.17
% Positive Months details 41% 52% 53% 53% 55% 56% 59%
Positive Months 5 19 32 64 134 202 350
Negative Months 7 17 28 56 106 158 239
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 3.37 8.90 12.45 26.16
Worst 10 Years Return (%) - Annualized -0.48 -0.48 -0.48
Best 10 Years Return (%) - Annualized 0.57 7.01 9.58 18.50
Worst 10 Years Return (%) - Annualized -2.26 -2.26 -2.26
ROLLING PERIODS
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 7.00 5.20
Worst Rolling Return (%) - Annualized -51.32 -17.56 -9.23 -0.48 3.34
% Positive Periods 61% 74% 81% 96% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 64.89 21.21 12.76 6.90 6.30 4.99
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.47 2.68
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 71.05 34.44 24.03 9.58 4.46 2.60
Worst Rolling Return (%) - Annualized -51.32 -19.32 -11.04 -2.26 1.24
% Positive Periods 56% 64% 63% 85% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 64.89 21.21 12.76 6.90 6.30 4.99
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.47 2.68
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1975 - Jan 2024)
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% 81% 89% 98% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 64.89 21.21 12.76 6.90 5.36 4.14
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 0.74 1.91
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 82.55 60.19 41.41 18.50 10.81 9.91
Worst Rolling Return (%) - Annualized -51.32 -19.32 -11.04 -2.26 0.65 1.81
% Positive Periods 59% 69% 75% 92% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 64.89 21.21 12.76 6.90 5.36 4.14
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 0.74 1.91
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • 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 initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Correlations as of Jan 31, 2024

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.

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 31 January 2024
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
0.82
0.82
0.80
0.79
0.78
SPY
US Large Cap
0.80
0.81
0.80
0.78
0.77
IJR
US Small Cap
0.79
0.85
0.75
0.73
0.71
VNQ
US REITs
0.87
0.74
0.61
0.62
0.61
QQQ
US Technology
0.45
0.63
0.65
0.56
0.55
PFF
Preferred Stocks
0.78
0.70
0.63
0.50
0.49
EFA
EAFE Stocks
0.93
0.96
0.96
0.96
0.94
VT
World All Countries
0.88
0.90
0.90
0.90
0.90
EEM
Emerging Markets
0.83
0.81
0.79
0.78
0.76
VGK
Europe
0.93
0.95
0.95
0.94
0.93
VPL
Pacific
0.85
0.90
0.89
0.84
0.81
FLLA
Latin America
0.88
0.78
0.70
0.70
0.69
BND
US Total Bond Market
0.67
0.40
0.29
0.14
0.14
TLT
Long Term Treasuries
0.69
0.03
-0.05
-0.14
-0.14
BIL
US Cash
0.21
-0.02
0.00
-0.03
-0.03
TIP
TIPS
0.62
0.42
0.35
0.17
0.18
LQD
Invest. Grade Bonds
0.73
0.57
0.49
0.33
0.33
HYG
High Yield Bonds
0.80
0.75
0.74
0.68
0.67
CWB
US Convertible Bonds
0.78
0.73
0.74
0.73
0.72
BNDX
International Bonds
0.53
0.37
0.25
0.15
0.15
EMB
Emerg. Market Bonds
0.83
0.76
0.69
0.57
0.57
GLD
Gold
0.12
0.16
0.09
0.13
0.13
DBC
Commodities
0.39
0.67
0.58
0.44
0.44

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 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Inflation Adjusted:
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
-7.48% Aug 2023 Oct 2023 3 Dec 2023 2 5 3.76
-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
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 63 5.7 Months 17.45%
 
DD = 0% 17.45%
 
0% < DD <= -5% 81 4.5 Months 22.44%
 
DD <= -5% 39.89%
 
-5% < DD <= -10% 64 5.6 Months 17.73%
 
DD <= -10% 57.62%
 
-10% < DD <= -15% 36 10.0 Months 9.97%
 
DD <= -15% 67.59%
 
-15% < DD <= -20% 31 11.6 Months 8.59%
 
DD <= -20% 76.18%
 
-20% < DD <= -25% 29 12.4 Months 8.03%
 
DD <= -25% 84.21%
 
-25% < DD <= -30% 16 22.6 Months 4.43%
 
DD <= -30% 88.64%
 
-30% < DD <= -35% 22 16.4 Months 6.09%
 
DD <= -35% 94.74%
 
-35% < DD <= -40% 7 51.6 Months 1.94%
 
DD <= -40% 96.68%
 
-40% < DD <= -45% 5 72.2 Months 1.39%
 
DD <= -45% 98.06%
 
-45% < DD <= -50% 3 120.3 Months 0.83%
 
DD <= -50% 98.89%
 
-50% < DD <= -55% 2 180.5 Months 0.55%
 
DD <= -55% 99.45%
 
-55% < DD <= -60% 2 180.5 Months 0.55%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-60.37% Nov 2007 Feb 2009 16 in progress 179 195 28.81
-34.37% Jan 2000 Mar 2003 39 Dec 2003 9 48 17.24
-18.15% Jun 1998 Sep 1998 4 Apr 1999 7 11 8.29
-13.26% Aug 1997 Dec 1997 5 Mar 1998 3 8 7.82
-12.07% Sep 1994 Feb 1995 6 Dec 1995 10 16 6.39
-6.11% Mar 2005 Apr 2005 2 Aug 2005 4 6 3.81
-5.36% Feb 1994 Mar 1994 2 Aug 1994 5 7 2.98
-5.11% May 1999 May 1999 1 Jul 1999 2 3 2.59
-5.10% Dec 1996 Jan 1997 2 May 1997 4 6 3.54
-4.58% Jun 2007 Aug 2007 3 Oct 2007 2 5 2.46
-4.17% May 2006 May 2006 1 Sep 2006 4 5 2.76
-3.82% May 1996 Jul 1996 3 Nov 1996 4 7 2.43
-3.79% Jul 2004 Jul 2004 1 Sep 2004 2 3 2.31
-3.16% Apr 2004 Apr 2004 1 Jun 2004 2 3 2.06
-1.68% Oct 2005 Oct 2005 1 Nov 2005 1 2 0.97
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 45 8.0 Months 12.47%
 
DD = 0% 12.47%
 
0% < DD <= -5% 55 6.6 Months 15.24%
 
DD <= -5% 27.70%
 
-5% < DD <= -10% 32 11.3 Months 8.86%
 
DD <= -10% 36.57%
 
-10% < DD <= -15% 25 14.4 Months 6.93%
 
DD <= -15% 43.49%
 
-15% < DD <= -20% 45 8.0 Months 12.47%
 
DD <= -20% 55.96%
 
-20% < DD <= -25% 48 7.5 Months 13.30%
 
DD <= -25% 69.25%
 
-25% < DD <= -30% 36 10.0 Months 9.97%
 
DD <= -30% 79.22%
 
-30% < DD <= -35% 32 11.3 Months 8.86%
 
DD <= -35% 88.09%
 
-35% < DD <= -40% 25 14.4 Months 6.93%
 
DD <= -40% 95.01%
 
-40% < DD <= -45% 10 36.1 Months 2.77%
 
DD <= -45% 97.78%
 
-45% < DD <= -50% 4 90.3 Months 1.11%
 
DD <= -50% 98.89%
 
-50% < DD <= -55% 1 361.0 Months 0.28%
 
DD <= -55% 99.17%
 
-55% < DD <= -60% 2 180.5 Months 0.55%
 
DD <= -60% 99.72%
 
-60% < DD <= -65% 1 361.0 Months 0.28%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
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 (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 145 4.1 Months 24.58%
 
DD = 0% 24.58%
 
0% < DD <= -5% 144 4.1 Months 24.41%
 
DD <= -5% 48.98%
 
-5% < DD <= -10% 97 6.1 Months 16.44%
 
DD <= -10% 65.42%
 
-10% < DD <= -15% 55 10.7 Months 9.32%
 
DD <= -15% 74.75%
 
-15% < DD <= -20% 51 11.6 Months 8.64%
 
DD <= -20% 83.39%
 
-20% < DD <= -25% 37 15.9 Months 6.27%
 
DD <= -25% 89.66%
 
-25% < DD <= -30% 20 29.5 Months 3.39%
 
DD <= -30% 93.05%
 
-30% < DD <= -35% 22 26.8 Months 3.73%
 
DD <= -35% 96.78%
 
-35% < DD <= -40% 7 84.3 Months 1.19%
 
DD <= -40% 97.97%
 
-40% < DD <= -45% 5 118.0 Months 0.85%
 
DD <= -45% 98.81%
 
-45% < DD <= -50% 3 196.7 Months 0.51%
 
DD <= -50% 99.32%
 
-50% < DD <= -55% 2 295.0 Months 0.34%
 
DD <= -55% 99.66%
 
-55% < DD <= -60% 2 295.0 Months 0.34%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-60.37% Nov 2007 Feb 2009 16 in progress 179 195 28.81
-34.37% Jan 2000 Mar 2003 39 Dec 2003 9 48 17.24
-34.01% Sep 1989 Oct 1990 14 Apr 1996 66 80 18.70
-31.10% Dec 1980 Jul 1982 20 Apr 1983 9 29 14.22
-23.12% Sep 1987 Nov 1987 3 Oct 1988 11 14 10.75
-20.26% Feb 1979 Mar 1980 14 Nov 1980 8 22 9.93
-18.15% Jun 1998 Sep 1998 4 Apr 1999 7 11 8.29
-13.89% Feb 1976 Nov 1976 10 Nov 1977 12 22 8.08
-13.67% Jul 1975 Sep 1975 3 Jan 1976 4 7 8.04
-13.26% Aug 1997 Dec 1997 5 Mar 1998 3 8 7.82
-11.17% Dec 1983 Jul 1984 8 Jan 1985 6 14 5.49
-6.52% Oct 1978 Oct 1978 1 Jan 1979 3 4 3.31
-6.11% Mar 2005 Apr 2005 2 Aug 2005 4 6 3.81
-5.11% May 1999 May 1999 1 Jul 1999 2 3 2.59
-5.10% Dec 1996 Jan 1997 2 May 1997 4 6 3.54
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Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 95 6.2 Months 16.10%
 
DD = 0% 16.10%
 
0% < DD <= -5% 99 6.0 Months 16.78%
 
DD <= -5% 32.88%
 
-5% < DD <= -10% 80 7.4 Months 13.56%
 
DD <= -10% 46.44%
 
-10% < DD <= -15% 57 10.4 Months 9.66%
 
DD <= -15% 56.10%
 
-15% < DD <= -20% 60 9.8 Months 10.17%
 
DD <= -20% 66.27%
 
-20% < DD <= -25% 64 9.2 Months 10.85%
 
DD <= -25% 77.12%
 
-25% < DD <= -30% 55 10.7 Months 9.32%
 
DD <= -30% 86.44%
 
-30% < DD <= -35% 37 15.9 Months 6.27%
 
DD <= -35% 92.71%
 
-35% < DD <= -40% 25 23.6 Months 4.24%
 
DD <= -40% 96.95%
 
-40% < DD <= -45% 10 59.0 Months 1.69%
 
DD <= -45% 98.64%
 
-45% < DD <= -50% 4 147.5 Months 0.68%
 
DD <= -50% 99.32%
 
-50% < DD <= -55% 1 590.0 Months 0.17%
 
DD <= -55% 99.49%
 
-55% < DD <= -60% 2 295.0 Months 0.34%
 
DD <= -60% 99.83%
 
-60% < DD <= -65% 1 590.0 Months 0.17%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 

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 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
Inflation Adjusted:
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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$ 5.35 1.05$ 25.36 1.25$ 74.03 04/2003
03/2004
1.74$ 8.71 38.11%
2Y -32.77 03/2007
02/2009
0.45$ -7.26 0.85$ 5.48 1.11$ 20.16 1.44$ 44.81 03/2003
02/2005
2.09$ 4.52 28.49%
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$ 7.54 25.85%
5Y -9.23 06/2007
05/2012
0.61$ -0.75 0.96$ 4.59 1.25$ 10.97 1.68$ 27.64 11/2002
10/2007
3.38$ 5.46 18.60%
7Y -1.64 11/2013
10/2020
0.89$ 1.00 1.07$ 4.60 1.36$ 10.81 2.05$ 15.13 11/2000
10/2007
2.68$ 4.90 4.33%
10Y -0.48 01/2007
12/2016
0.95$ 2.13 1.23$ 5.77 1.75$ 9.22 2.41$ 12.45 11/1997
10/2007
3.23$ 3.37 3.73%
15Y -0.75 10/2007
09/2022
0.89$ 2.05 1.35$ 5.52 2.23$ 6.80 2.68$ 9.05 02/2003
01/2018
3.66$ 6.74 1.10%
20Y 3.34 04/2000
03/2020
1.93$ 4.82 2.56$ 5.55 2.94$ 6.40 3.45$ 7.00 04/2003
03/2023
3.86$ 4.86 0.00%
30Y 5.20 02/1994
01/2024
4.57$ 5.20 4.57$ 5.20 4.57$ 5.20 4.57$ 5.20 02/1994
01/2024
4.57$ 5.20 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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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$ -12.62 0.87$ 3.02 1.03$ 21.95 1.21$ 71.05 04/2003
03/2004
1.71$ 5.43 43.84%
2Y -34.12 03/2007
02/2009
0.43$ -8.39 0.83$ 2.32 1.04$ 17.43 1.37$ 41.46 03/2003
02/2005
2.00$ -0.19 40.06%
3Y -19.32 03/2006
02/2009
0.52$ -5.63 0.84$ 2.61 1.08$ 10.10 1.33$ 34.44 04/2003
03/2006
2.42$ 1.77 35.38%
5Y -11.04 06/2007
05/2012
0.55$ -3.09 0.85$ 2.18 1.11$ 8.17 1.48$ 24.03 11/2002
10/2007
2.93$ 1.24 36.88%
7Y -3.36 11/2007
10/2014
0.78$ -1.29 0.91$ 2.41 1.18$ 7.74 1.68$ 12.13 11/2000
10/2007
2.22$ 1.36 27.44%
10Y -2.26 12/2006
11/2016
0.79$ -0.01 0.99$ 3.34 1.38$ 6.53 1.88$ 9.58 11/1997
10/2007
2.49$ 0.57 14.94%
15Y -3.04 10/2007
09/2022
0.62$ 0.09 1.01$ 3.11 1.58$ 4.31 1.88$ 6.82 02/2003
01/2018
2.69$ 4.07 12.71%
20Y 1.24 04/2000
03/2020
1.27$ 2.52 1.64$ 3.25 1.89$ 4.05 2.21$ 4.46 03/1995
02/2015
2.39$ 2.23 0.00%
30Y 2.60 02/1994
01/2024
2.16$ 2.60 2.16$ 2.60 2.16$ 2.60 2.16$ 2.60 02/1994
01/2024
2.16$ 2.60 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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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$ -7.67 0.92$ 9.27 1.09$ 30.27 1.30$ 85.04 02/1986
01/1987
1.85$ 8.71 30.45%
2Y -32.77 03/2007
02/2009
0.45$ -3.57 0.92$ 8.42 1.17$ 23.54 1.52$ 76.14 10/1985
09/1987
3.10$ 4.52 21.38%
3Y -17.56 03/2006
02/2009
0.56$ -1.33 0.96$ 7.86 1.25$ 22.70 1.84$ 65.01 08/1984
07/1987
4.49$ 7.54 18.95%
5Y -9.23 06/2007
05/2012
0.61$ 0.83 1.04$ 7.14 1.41$ 20.04 2.49$ 45.85 08/1982
07/1987
6.59$ 5.46 10.57%
7Y -1.64 11/2013
10/2020
0.89$ 2.15 1.16$ 7.37 1.64$ 18.64 3.30$ 36.45 08/1982
07/1989
8.80$ 4.90 2.37%
10Y -0.48 01/2007
12/2016
0.95$ 3.55 1.41$ 7.18 2.00$ 19.66 6.01$ 26.16 09/1977
08/1987
10.21$ 3.37 1.91%
15Y -0.75 10/2007
09/2022
0.89$ 4.33 1.88$ 6.96 2.74$ 16.30 9.63$ 22.20 01/1975
12/1989
20.23$ 6.74 0.49%
20Y 3.34 04/2000
03/2020
1.93$ 5.21 2.76$ 7.01 3.87$ 13.93 13.57$ 16.86 01/1975
12/1994
22.54$ 4.86 0.00%
30Y 4.20 04/1990
03/2020
3.44$ 5.45 4.91$ 10.25 18.66$ 13.29 42.18$ 14.52 06/1977
05/2007
58.46$ 5.20 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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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$ -10.84 0.89$ 4.47 1.04$ 24.83 1.24$ 82.55 02/1986
01/1987
1.82$ 5.43 40.66%
2Y -34.12 03/2007
02/2009
0.43$ -6.45 0.87$ 4.33 1.08$ 18.64 1.40$ 71.00 10/1985
09/1987
2.92$ -0.19 33.75%
3Y -19.32 03/2006
02/2009
0.52$ -4.68 0.86$ 4.40 1.13$ 19.08 1.68$ 60.19 08/1984
07/1987
4.11$ 1.77 30.32%
5Y -11.04 06/2007
05/2012
0.55$ -1.28 0.93$ 3.71 1.19$ 15.65 2.06$ 41.41 08/1982
07/1987
5.65$ 1.24 24.53%
7Y -3.36 11/2007
10/2014
0.78$ -0.11 0.99$ 4.29 1.34$ 13.69 2.45$ 31.77 08/1982
07/1989
6.89$ 1.36 15.81%
10Y -2.26 12/2006
11/2016
0.79$ 1.24 1.13$ 4.39 1.53$ 14.75 3.95$ 18.50 09/1977
08/1987
5.45$ 0.57 7.66%
15Y -3.04 10/2007
09/2022
0.62$ 1.74 1.29$ 4.34 1.89$ 11.46 5.08$ 15.17 01/1975
12/1989
8.31$ 4.07 5.61%
20Y 0.65 03/1989
02/2009
1.13$ 2.87 1.76$ 4.38 2.35$ 9.68 6.34$ 10.81 01/1975
12/1994
7.79$ 2.23 0.00%
30Y 1.81 04/1990
03/2020
1.71$ 2.98 2.41$ 7.03 7.68$ 8.57 11.76$ 9.91 06/1977
05/2007
17.02$ 2.60 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.
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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
0.88
40%
-1.31
40%
-2.98
40%
1.48
80%
0.17
60%
0.47
60%
0.64
40%
-1.07
40%
-2.18
20%
1.13
60%
6.41
80%
3.58
80%
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
-3.7
2020
-5.9
2021
-0.2
2022
Monthly Seasonality over the period Feb 1975 - Jan 2024
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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
1.27
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%
0.49
60%
3.02
60%
1.08
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 - Jan 2024
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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
1.02
56%
0.41
53%
1.19
67%
2.58
76%
0.61
57%
0.63
55%
0.94
57%
0.11
55%
-0.91
49%
0.46
53%
1.65
63%
2.29
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 - Jan 2024

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 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1975 - 31 January 2024 (~49 years)
202 Positive Months (56%) - 158 Negative Months (44%)
350 Positive Months (59%) - 239 Negative Months (41%)
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(Scroll down to see all data)
Investment Returns, up to December 2005, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

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