EFAX vs. EFAV
Compare and contrast key facts about SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and iShares Edge MSCI Min Vol EAFE ETF (EFAV).
EFAX and EFAV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EFAX is a passively managed fund by State Street that tracks the performance of the MSCI EAFE ex Fossil Fuels Index. It was launched on Oct 24, 2016. EFAV is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Minimum Volatility Index. It was launched on Oct 18, 2011. Both EFAX and EFAV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EFAX or EFAV.
Key characteristics
| EFAX | EFAV | |
|---|---|---|
| YTD Return | 7.86% | 8.25% |
| 1Y Return | 19.65% | 16.56% |
| 3Y Return (Ann) | 1.28% | 0.96% |
| 5Y Return (Ann) | 5.78% | 2.42% |
| Sharpe Ratio | 1.49 | 1.63 |
| Sortino Ratio | 2.12 | 2.32 |
| Omega Ratio | 1.26 | 1.28 |
| Calmar Ratio | 1.38 | 1.12 |
| Martin Ratio | 8.12 | 9.15 |
| Ulcer Index | 2.37% | 1.73% |
| Daily Std Dev | 12.86% | 9.71% |
| Max Drawdown | -32.53% | -27.56% |
| Current Drawdown | -6.37% | -4.87% |
Correlation
The correlation between EFAX and EFAV is 0.85, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
EFAX vs. EFAV - Performance Comparison
The year-to-date returns for both investments are quite close, with EFAX having a 7.86% return and EFAV slightly higher at 8.25%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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EFAX vs. EFAV - Expense Ratio Comparison
Both EFAX and EFAV have an expense ratio of 0.20%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
EFAX vs. EFAV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and iShares Edge MSCI Min Vol EAFE ETF (EFAV). 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.
Dividends
EFAX vs. EFAV - Dividend Comparison
EFAX's dividend yield for the trailing twelve months is around 2.44%, less than EFAV's 3.05% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 2.44% | 2.71% | 2.81% | 2.58% | 1.69% | 2.71% | 3.05% | 2.89% | 0.26% | 0.00% | 0.00% | 0.00% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 3.05% | 3.08% | 2.53% | 2.47% | 1.33% | 4.19% | 3.34% | 2.45% | 3.94% | 2.49% | 3.57% | 2.53% |
Drawdowns
EFAX vs. EFAV - Drawdown Comparison
The maximum EFAX drawdown since its inception was -32.53%, which is greater than EFAV's maximum drawdown of -27.56%. Use the drawdown chart below to compare losses from any high point for EFAX and EFAV. For additional features, visit the drawdowns tool.
Volatility
EFAX vs. EFAV - Volatility Comparison
SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) has a higher volatility of 3.50% compared to iShares Edge MSCI Min Vol EAFE ETF (EFAV) at 2.70%. This indicates that EFAX's price experiences larger fluctuations and is considered to be riskier than EFAV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.