EFAX vs. IDHQ
EFAX (SPDR MSCI EAFE Fossil Fuel Free ETF) and IDHQ (Invesco S&P International Developed High Quality ETF) are both exchange-traded funds - EFAX is a Foreign Large Cap Equities fund tracking the MSCI EAFE ex Fossil Fuels Index, while IDHQ is a Quality Factor fund tracking the IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. Both are passively managed. Over the past 5 years, EFAX returned 8.38%/yr vs 9.70%/yr for IDHQ. Their correlation of 0.84 means they have usually moved in the same direction. EFAX charges 0.20%/yr vs 0.29%/yr for IDHQ.
Performance
EFAX vs. IDHQ - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, EFAX achieves a 9.92% return, which is significantly lower than IDHQ's 26.27% return.
EFAX
- 1D
- -0.65%
- 1M
- 0.42%
- 6M
- 5.51%
- YTD
- 9.92%
- 1Y
- 22.63%
- 3Y*
- 15.98%
- 5Y*
- 8.38%
- 10Y*
- —
- ALL TIME*
- 9.19%
IDHQ
- 1D
- -1.04%
- 1M
- -0.18%
- 6M
- 17.73%
- YTD
- 26.27%
- 1Y
- 41.32%
- 3Y*
- 19.52%
- 5Y*
- 9.70%
- 10Y*
- 10.64%
- ALL TIME*
- 5.32%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $530.63K | $1.05M | $1.10M | |
| $5.89M | $6.19M | $5.51M |
EFAX vs. IDHQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 9.92% | 31.30% | 4.78% | 18.02% | -16.72% | 10.50% | 9.57% | 23.52% | -14.78% | 23.93% |
IDHQ Invesco S&P International Developed High Quality ETF | 26.27% | 27.46% | 1.33% | 18.80% | -20.23% | 11.38% | 16.09% | 29.58% | -13.38% | 28.16% |
Correlation
The correlation between EFAX and IDHQ is 0.92, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.92 |
Correlation (3Y) Balances recent behavior with more history. | 0.92 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.93 |
Correlation (All Time) Calculated using the full available price history since Oct 25, 2016 | 0.84 |
The correlation between EFAX and IDHQ has been stable across timeframes, ranging from 0.84 to 0.93 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
EFAX vs. IDHQ — Risk / Return Rank
EFAX
IDHQ
EFAX vs. IDHQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Invesco S&P International Developed High Quality ETF (IDHQ). 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.
| EFAX | IDHQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.60 | ||
| Sortino ratioReturn per unit of downside risk | -0.78 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.36 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.81 | 3.03 | -1.21 |
| Martin ratioReturn relative to average drawdown | 6.72 | 12.14 | -5.42 |
Loading charts...
Drawdowns
EFAX vs. IDHQ - Drawdown Comparison
The maximum EFAX drawdown since its inception was -32.53%, smaller than the maximum IDHQ drawdown of -73.84%. Use the drawdown chart below to compare losses from any high point for EFAX and IDHQ.
Loading charts...
Drawdown Indicators
| EFAX | IDHQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.53% | -73.84% | +41.31% |
Max Drawdown (1Y)Largest decline over 1 year | -12.38% | -13.44% | +1.06% |
Max Drawdown (3Y)Largest decline over 3 years | -13.52% | -14.07% | +0.55% |
Max Drawdown (5Y)Largest decline over 5 years | -31.67% | -33.54% | +1.87% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.54% | — |
Current DrawdownCurrent decline from peak | -0.65% | -1.04% | +0.39% |
Average DrawdownAverage peak-to-trough decline | -6.88% | -21.03% | +14.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.34% | 3.35% | -0.01% |
Volatility
EFAX vs. IDHQ - Volatility Comparison
SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) has a higher volatility of 4.92% compared to Invesco S&P International Developed High Quality ETF (IDHQ) at 4.17%. This indicates that EFAX's price experiences larger fluctuations and is considered to be riskier than IDHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| EFAX | IDHQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.92% | 4.17% | +0.75% |
Volatility (6M)Calculated over the trailing 6-month period | 14.42% | 18.92% | -4.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.46% | 20.74% | -4.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.83% | 17.85% | -1.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.12% | 17.97% | -0.85% |
EFAX vs. IDHQ - Expense Ratio Comparison
EFAX has a 0.20% expense ratio, which is lower than IDHQ's 0.29% expense ratio.
Dividends
EFAX vs. IDHQ - Dividend Comparison
EFAX's dividend yield for the trailing twelve months is around 3.12%, more than IDHQ's 2.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 3.12% | 3.31% | 2.74% | 2.71% | 2.81% | 2.58% | 1.69% | 2.71% | 3.05% | 2.89% | 0.26% | 0.00% |
IDHQ Invesco S&P International Developed High Quality ETF | 2.01% | 2.46% | 2.41% | 2.52% | 3.33% | 2.10% | 1.60% | 2.10% | 2.67% | 1.68% | 2.36% | 1.71% |
Frequently Asked Questions
With a correlation of 0.92, EFAX and IDHQ move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
EFAX has higher volatility (4.92%) compared to IDHQ (4.17%). In terms of maximum drawdown, EFAX dropped -32.53% vs IDHQ's -73.84%.
On 5-year performance, IDHQ leads with 9.70% vs 8.38% for EFAX. On fees, EFAX is cheaper at 0.20% per year. On volatility, IDHQ has been the lower-risk option at 4.17%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, IDHQ has performed better with a 9.70% return vs 8.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFAX is cheaper with a 0.20% expense ratio, compared with 0.29% for IDHQ.
EFAX has the higher dividend yield at 3.12%, compared with 2.01% for IDHQ.
EFAX is categorized as Foreign Large Cap Equities, while IDHQ is Quality Factor. EFAX tracks MSCI EAFE ex Fossil Fuels Index, while IDHQ tracks IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. They also come from different issuers: State Street and Invesco. Their fees differ too: 0.20% for EFAX and 0.29% for IDHQ.
IDHQ currently has the higher Sharpe Ratio (1.97 vs 1.37), 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.
Find the right allocation for EFAX and IDHQ
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer