EFA vs VXZ: Correlation
Measured on weekly returns over the past three years, iShares MSCI EAFE ETF (EFA) and iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) carry a correlation of -0.61, a negative link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are EFA and VXZ?
On 3 years of weekly data the EFA/VXZ correlation comes out at -0.61, negative, meaning they tend to move in opposite directions. Recent behaviour matches the longer record: -0.68 over 1 year against -0.61 over 3. The 5-year figure is -0.64, and annualized covariance runs at -231.7 %².
Among the 109 assets we track against EFA, VXZ sits near the bottom by co-movement, at rank #108. Correlation aside, the last 12 months split them widely, with EFA ahead by 38.0 points (+21.9% versus -16.1%). Risk is not evenly split, since VXZ carries 1.7 times the volatility of the other side.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
EFA vs VXZ: side by side
| EFA (iShares MSCI EAFE ETF) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | +21.9% | -16.1% |
| 5-year return | +56.7% | -53.1% |
| Volatility (ann.) | 14.9% | 25.6% |
| Beta vs S&P 500 | 0.77 | -1.31 |
| Max drawdown (3Y) | -14.1% | -36.4% |
| Dividend yield | 3.19% | – |
| Expense ratio | 0.32% | – |
| Assets under management | $78.0B | – |
| Sector / category | ETF · International | US Listed |
EFA is a Foreign Large Blend fund from iShares: $78.0B under management, 666 holdings, a 0.32% expense ratio, a 3.19% trailing dividend yield.
Year-by-year returns
| Year | EFA | VXZ |
|---|---|---|
| 2022 | -14.4% | +0.5% |
| 2023 | +18.4% | -44.0% |
| 2024 | +3.5% | -12.7% |
| 2025 | +31.5% | +5.7% |
| 2026 | +14.3% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are EFA and VXZ good diversifiers for each other?
By historical standards, yes. A correlation of -0.61 means the two rarely move for the same reasons.
FAQ
What is the correlation between EFA and VXZ?
Using weekly returns as of 2026-08-27: -0.61 over 3 years, with -0.68 over the last year and -0.64 over 5 years.
Is VXZ a good diversifier for EFA?
By historical standards, yes. A correlation of -0.61 means the two rarely move for the same reasons.
What does a correlation of -0.61 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/efa-vs-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/efa-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: EFA correlations · VXZ correlations
