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EFAX vs. EFAV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.8

Performance

EFAX vs. EFAV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and iShares Edge MSCI Min Vol EAFE ETF (EFAV). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-2.04%
2.55%
EFAX
EFAV

Key characteristics

Sharpe Ratio

EFAX:

0.46

EFAV:

0.67

Sortino Ratio

EFAX:

0.71

EFAV:

0.99

Omega Ratio

EFAX:

1.09

EFAV:

1.12

Calmar Ratio

EFAX:

0.64

EFAV:

0.68

Martin Ratio

EFAX:

1.74

EFAV:

2.52

Ulcer Index

EFAX:

3.41%

EFAV:

2.61%

Daily Std Dev

EFAX:

13.00%

EFAV:

9.76%

Max Drawdown

EFAX:

-32.53%

EFAV:

-27.56%

Current Drawdown

EFAX:

-9.31%

EFAV:

-8.27%

Returns By Period

The year-to-date returns for both stocks are quite close, with EFAX having a 4.46% return and EFAV slightly lower at 4.39%.


EFAX

YTD

4.46%

1M

-1.13%

6M

-2.04%

1Y

6.98%

5Y*

4.56%

10Y*

N/A

EFAV

YTD

4.39%

1M

-1.92%

6M

2.55%

1Y

7.46%

5Y*

1.44%

10Y*

4.13%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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%.


EFAX
SPDR MSCI EAFE Fossil Fuel Free ETF
Expense ratio chart for EFAX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for EFAV: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

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.


Sharpe ratio
The chart of Sharpe ratio for EFAX, currently valued at 0.46, compared to the broader market0.002.004.000.460.67
The chart of Sortino ratio for EFAX, currently valued at 0.71, compared to the broader market-2.000.002.004.006.008.0010.000.710.99
The chart of Omega ratio for EFAX, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.12
The chart of Calmar ratio for EFAX, currently valued at 0.64, compared to the broader market0.005.0010.0015.000.640.68
The chart of Martin ratio for EFAX, currently valued at 1.74, compared to the broader market0.0020.0040.0060.0080.00100.001.742.52
EFAX
EFAV

The current EFAX Sharpe Ratio is 0.46, which is lower than the EFAV Sharpe Ratio of 0.67. The chart below compares the historical Sharpe Ratios of EFAX and EFAV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.46
0.67
EFAX
EFAV

Dividends

EFAX vs. EFAV - Dividend Comparison

EFAX's dividend yield for the trailing twelve months is around 2.75%, less than EFAV's 3.27% yield.


TTM20232022202120202019201820172016201520142013
EFAX
SPDR MSCI EAFE Fossil Fuel Free ETF
2.75%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
3.27%3.07%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.31%
-8.27%
EFAX
EFAV

Volatility

EFAX vs. EFAV - Volatility Comparison

SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) has a higher volatility of 3.62% compared to iShares Edge MSCI Min Vol EAFE ETF (EFAV) at 2.82%. 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.62%
2.82%
EFAX
EFAV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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