EFAX vs. ESGD
Compare and contrast key facts about SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and iShares ESG Aware MSCI EAFE ETF (ESGD).
EFAX and ESGD 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. ESGD is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Extended ESG Focus Index. It was launched on Jun 28, 2016. Both EFAX and ESGD are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
EFAX vs. ESGD - Performance Comparison
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EFAX vs. ESGD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | -1.39% | 31.30% | 4.78% | 18.02% | -16.72% | 10.50% | 9.57% | 23.52% | -14.78% | 23.93% |
ESGD iShares ESG Aware MSCI EAFE ETF | 0.56% | 29.63% | 3.95% | 18.53% | -15.17% | 11.79% | 8.20% | 23.12% | -13.33% | 25.10% |
Returns By Period
In the year-to-date period, EFAX achieves a -1.39% return, which is significantly lower than ESGD's 0.56% return.
EFAX
- 1D
- 3.39%
- 1M
- -8.98%
- YTD
- -1.39%
- 6M
- 2.82%
- 1Y
- 19.98%
- 3Y*
- 13.70%
- 5Y*
- 7.09%
- 10Y*
- —
ESGD
- 1D
- 3.29%
- 1M
- -8.25%
- YTD
- 0.56%
- 6M
- 4.79%
- 1Y
- 21.50%
- 3Y*
- 13.70%
- 5Y*
- 7.69%
- 10Y*
- —
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EFAX vs. ESGD - Expense Ratio Comparison
Both EFAX and ESGD 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%.
Return for Risk
EFAX vs. ESGD — Risk / Return Rank
EFAX
ESGD
EFAX vs. ESGD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and iShares ESG Aware MSCI EAFE ETF (ESGD). 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.
| EFAX | ESGD | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.11 | 1.22 | -0.10 |
Sortino ratioReturn per unit of downside risk | 1.63 | 1.75 | -0.12 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.25 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 1.53 | 1.75 | -0.22 |
Martin ratioReturn relative to average drawdown | 6.02 | 6.75 | -0.73 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EFAX | ESGD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.11 | 1.22 | -0.10 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.43 | 0.47 | -0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.53 | -0.05 |
Correlation
The correlation between EFAX and ESGD is 0.93, 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.
Dividends
EFAX vs. ESGD - Dividend Comparison
EFAX's dividend yield for the trailing twelve months is around 3.35%, less than ESGD's 3.58% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 3.35% | 3.31% | 2.74% | 2.71% | 2.81% | 2.58% | 1.69% | 2.71% | 3.05% | 2.89% | 0.26% |
ESGD iShares ESG Aware MSCI EAFE ETF | 3.58% | 3.60% | 3.23% | 3.02% | 2.59% | 2.75% | 1.63% | 2.57% | 2.69% | 2.65% | 0.09% |
Drawdowns
EFAX vs. ESGD - Drawdown Comparison
The maximum EFAX drawdown since its inception was -32.53%, roughly equal to the maximum ESGD drawdown of -33.70%. Use the drawdown chart below to compare losses from any high point for EFAX and ESGD.
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Drawdown Indicators
| EFAX | ESGD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.53% | -33.70% | +1.17% |
Max Drawdown (1Y)Largest decline over 1 year | -12.38% | -11.68% | -0.70% |
Max Drawdown (5Y)Largest decline over 5 years | -31.67% | -30.03% | -1.64% |
Current DrawdownCurrent decline from peak | -9.22% | -8.42% | -0.80% |
Average DrawdownAverage peak-to-trough decline | -7.03% | -6.25% | -0.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.14% | 3.03% | +0.11% |
Volatility
EFAX vs. ESGD - Volatility Comparison
SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and iShares ESG Aware MSCI EAFE ETF (ESGD) have volatilities of 8.20% and 7.99%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EFAX | ESGD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.20% | 7.99% | +0.21% |
Volatility (6M)Calculated over the trailing 6-month period | 11.35% | 11.29% | +0.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.04% | 17.75% | +0.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.43% | 16.45% | -0.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.04% | 16.94% | +0.10% |