PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan

SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) Sharpe Ratio: 1.11

ETF · Currency in USD · Last updated Jul 14, 2026

EFAX is a passive ETF by State Street tracking the investment results of the MSCI EAFE ex Fossil Fuels Index. EFAX launched on Oct 24, 2016 and has a 0.20% expense ratio.

EFAX's Sharpe Ratio of 1.11 indicates that for each unit of volatility, it generates 1.11 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jul 14, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

EFAX Sharpe Ratio Rank

EFAX Sharpe Ratio Rank: 39.139
Below Average

EFAX ranks above 39.1% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Returns may not adequately compensate for volatility taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better consistency
  • Assess whether the volatility profile aligns with your portfolio goals

EFAX Sharpe Ratio Market Positioning

The chart shows EFAX's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.73 or lower
  • Yellow zone (middle 50%): 0.73 to 1.91
  • Green zone (top 25%): 1.91 or higher
  • Top 1%: 6.55+
  • Median: 1.39 — half of all investments score higher

How it compares to other similar ETFs

The table compares SPDR MSCI EAFE Fossil Fuel Free ETF's Sharpe Ratio with other ETFs in the Foreign Large Cap Equities category across multiple time periods, showing how EFAX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jul 14, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
GMOIGMO International Value ETF2.57
JIVEJPMorgan International Value ETF2.45
EFASGlobal X MSCI SuperDividend® EAFE ETF2.45
DFIVDimensional International Value ETF2.27
VIDIVident International Equity Fund2.26
JHIDJohn Hancock International High Dividend ETF2.24
VYMIVanguard International High Dividend Yield ETF2.22
KEMXKraneShares MSCI Emerging Markets ex China Index ETF2.20
HAWXiShares Currency Hedged MSCI ACWI ex U.S. ETF2.20
FNDFSchwab Fundamental International Equity ETF2.18
EFAXSPDR MSCI EAFE Fossil Fuel Free ETF1.11

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows EFAX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when EFAX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

Loading charts...

Sharpe Ratio Calculator

How does EFAX fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

Analyze Your Portfolio