EFAA vs. XRMI

Last updated Jun 24, 2026

EFAA (Invesco MSCI EAFE Income Advantage ETF) and XRMI (Global X S&P 500 Risk Managed Income ETF) are both Derivative Income funds. EFAA is actively managed, while XRMI is passively managed. Over the past year, EFAA returned 18.90% vs 10.09% for XRMI. A 0.51 correlation means they provide meaningful diversification when combined. EFAA charges 0.39%/yr vs 0.60%/yr for XRMI.

Performance

EFAA vs. XRMI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco MSCI EAFE Income Advantage ETF (EFAA) and Global X S&P 500 Risk Managed Income ETF (XRMI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EFAA achieves a 6.18% return, which is significantly higher than XRMI's 2.19% return.

EFAA

• 1D: -1.40%
• 1M: 0.47%
• YTD: 6.18%
• 6M: 6.02%
• 1Y: 18.90%
• 3Y*: —
• 5Y*: —
• 10Y*: —

XRMI

• 1D: 0.09%
• 1M: 0.92%
• YTD: 2.19%
• 6M: 2.05%
• 1Y: 10.09%
• 3Y*: 7.08%
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

EFAA vs. XRMI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
EFAA Invesco MSCI EAFE Income Advantage ETF	6.18%	25.80%	-3.61%
XRMI Global X S&P 500 Risk Managed Income ETF	2.19%	4.60%	7.76%

Correlation

The correlation between EFAA and XRMI is 0.57, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.57
Correlation (All Time) Calculated using the full available price history since Jul 17, 2024	0.51

The correlation between EFAA and XRMI has been stable across timeframes, ranging from 0.51 to 0.57 - a consistent structural relationship.

EFAA vs. XRMI - Sectors Allocation Comparison

Sectors	EFAA	XRMI
Financial Services	25.0%	11.6%
Industrials	14.2%	7.9%
Technology	10.1%	39.5%
Healthcare	7.2%	8.5%
Consumer Defensive	5.2%	4.6%
Consumer Cyclical	4.5%	9.5%
Basic Materials	4.1%	1.7%
Communication Services	3.5%	10.3%
Energy	2.7%	3.1%
Utilities	2.6%	2.7%
Real Estate	1.3%	1.8%

Return for Risk

EFAA vs. XRMI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EFAA

EFAA Risk / Return Rank: 44
EFAA Sharpe Ratio Rank: 46
EFAA Sortino Ratio Rank: 46
EFAA Omega Ratio Rank: 45
EFAA Calmar Ratio Rank: 39
EFAA Martin Ratio Rank: 45

XRMI

XRMI Risk / Return Rank: 53
XRMI Sharpe Ratio Rank: 56
XRMI Sortino Ratio Rank: 56
XRMI Omega Ratio Rank: 61
XRMI Calmar Ratio Rank: 42
XRMI Martin Ratio Rank: 49

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EFAA vs. XRMI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI EAFE Income Advantage ETF (EFAA) and Global X S&P 500 Risk Managed Income ETF (XRMI). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	EFAA	XRMI	Difference
Sharpe ratio: Return per unit of total volatility	1.53	1.85	-0.32
Sortino ratio: Return per unit of downside risk	2.17	2.58	-0.41
Omega ratio: Gain probability vs. loss probability	1.28	1.36	-0.08
Calmar ratio: Return relative to maximum drawdown	1.87	2.02	-0.15
Martin ratio: Return relative to average drawdown	7.22	8.14	-0.92

EFAA vs. XRMI - Sharpe Ratio Comparison

The current EFAA Sharpe Ratio is 1.53, which is comparable to the XRMI Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of EFAA and XRMI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

EFAA vs. XRMI - Drawdown Comparison

The maximum EFAA drawdown since its inception was -11.97%, smaller than the maximum XRMI drawdown of -15.31%. Use the drawdown chart below to compare losses from any high point for EFAA and XRMI.

Drawdown Indicators

	EFAA	XRMI	Difference
Max Drawdown Largest peak-to-trough decline	-11.97%	-15.31%	+3.34%
Max Drawdown (1Y) Largest decline over 1 year	-10.14%	-5.02%	-5.12%
Max Drawdown (3Y) Largest decline over 3 years	—	-8.34%	—
Current Drawdown Current decline from peak	-1.41%	0.00%	-1.41%
Average Drawdown Average peak-to-trough decline	-2.02%	-5.88%	+3.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.62%	1.24%	+1.38%

Volatility

EFAA vs. XRMI - Volatility Comparison

Invesco MSCI EAFE Income Advantage ETF (EFAA) has a higher volatility of 4.18% compared to Global X S&P 500 Risk Managed Income ETF (XRMI) at 1.61%. This indicates that EFAA's price experiences larger fluctuations and is considered to be riskier than XRMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EFAA	XRMI	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.18%	1.61%	+2.57%
Volatility (6M) Calculated over the trailing 6-month period	10.42%	4.41%	+6.01%
Volatility (1Y) Calculated over the trailing 1-year period	12.44%	5.50%	+6.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.10%	6.91%	+6.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.10%	6.91%	+6.19%

EFAA vs. XRMI - Expense Ratio Comparison

EFAA has a 0.39% expense ratio, which is lower than XRMI's 0.60% expense ratio.

Dividends

EFAA vs. XRMI - Dividend Comparison

EFAA's dividend yield for the trailing twelve months is around 8.23%, less than XRMI's 13.71% yield.

Position	TTM	2025	2024	2023	2022	2021
EFAA Invesco MSCI EAFE Income Advantage ETF	8.23%	7.94%	3.29%	0.00%	0.00%	0.00%
XRMI Global X S&P 500 Risk Managed Income ETF	12.66%	12.35%	11.86%	12.62%	12.84%	2.93%

Frequently Asked Questions

Can I hold both EFAA and XRMI in my portfolio?

EFAA and XRMI have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EFAA or XRMI?

EFAA has higher volatility (4.18%) compared to XRMI (1.61%). In terms of maximum drawdown, EFAA dropped -11.97% vs XRMI's -15.31%.

Which ETF is better, EFAA or XRMI?

On 1-year performance, EFAA leads with 18.90% vs 10.09% for XRMI. On fees, EFAA is cheaper at 0.39% per year. On volatility, XRMI has been the lower-risk option at 1.61%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EFAA or XRMI?

Over the 1-year period, EFAA has performed better with a 18.90% return vs 10.09%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EFAA or XRMI?

EFAA is cheaper with a 0.39% expense ratio, compared with 0.60% for XRMI.

Which ETF pays a higher dividend yield, EFAA or XRMI?

XRMI has the higher dividend yield at 13.71%, compared with 8.23% for EFAA.

What is the main difference between EFAA and XRMI?

They also come from different issuers: Invesco and Global X. Their fees differ too: 0.39% for EFAA and 0.60% for XRMI.

Which has better risk-adjusted returns?

XRMI currently has the higher Sharpe Ratio (1.85 vs 1.53), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.