EFAX vs. MCSE

Last updated Aug 2, 2026

EFAX (SPDR MSCI EAFE Fossil Fuel Free ETF) and MCSE (Franklin Sustainable International Equity ETF) are both Foreign Large Cap Equities funds. EFAX is passively managed, while MCSE is actively managed. Over the past 3 years, EFAX returned 15.98%/yr vs -0.12%/yr for MCSE. Their 0.75 correlation means they have sometimes moved together and sometimes differently. EFAX charges 0.20%/yr vs 0.59%/yr for MCSE.

Performance

EFAX vs. MCSE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Franklin Sustainable International Equity ETF (MCSE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EFAX achieves a 9.92% return, which is significantly higher than MCSE's 1.12% 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%

MCSE

• 1D: 0.00%
• 1M: 0.00%
• 6M: 0.00%
• YTD: 1.12%
• 1Y: 4.30%
• 3Y*: -0.12%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.07%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF	$530.63K	$1.05M	$1.10M
MCSE Franklin Sustainable International Equity ETF	$0.00	$0.00	$0.00

EFAX vs. MCSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF	9.92%	31.30%	4.78%	18.02%	10.47%
MCSE Franklin Sustainable International Equity ETF	1.12%	7.79%	-9.46%	14.86%	10.04%

Correlation

The correlation between EFAX and MCSE is 0.47, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.47
Correlation (3Y) Balances recent behavior with more history.	0.72
Correlation (All Time) Calculated using the full available price history since Oct 31, 2022	0.75

Over the past year, the correlation between EFAX and MCSE has dropped to 0.47 - well below their long-term average of 0.75, suggesting their price drivers have been diverging.

EFAX vs. MCSE - Sectors Allocation Comparison

Sectors	EFAX	MCSE
Financial Services	26.6%	2.1%
Industrials	18.9%	18.1%
Technology	13.8%	31.1%
Healthcare	11.2%	20.1%
Consumer Cyclical	8.0%	13.8%
Consumer Defensive	7.3%	5.0%
Communication Services	4.8%	4.7%
Basic Materials	4.6%	5.1%
Utilities	3.1%	-
Real Estate	1.8%	-
Energy	0.1%	-

Return for Risk

EFAX vs. MCSE — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

EFAX

EFAX Risk / Return Rank: 56
EFAX Sharpe Ratio Rank: 58
EFAX Sortino Ratio Rank: 58
EFAX Omega Ratio Rank: 57
EFAX Calmar Ratio Rank: 50
EFAX Martin Ratio Rank: 57

MCSE

MCSE Risk / Return Rank: 19
MCSE Sharpe Ratio Rank: 20
MCSE Sortino Ratio Rank: 18
MCSE Omega Ratio Rank: 22
MCSE Calmar Ratio Rank: 17
MCSE Martin Ratio Rank: 17

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

EFAX vs. MCSE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Franklin Sustainable International Equity ETF (MCSE). 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	MCSE	Difference
Sharpe ratio: Return per unit of total volatility	1.37	0.37	+1.00
Sortino ratio: Return per unit of downside risk	1.99	0.58	+1.41
Omega ratio: Gain probability vs. loss probability	1.25	1.10	+0.15
Calmar ratio: Return relative to maximum drawdown	1.81	0.37	+1.45
Martin ratio: Return relative to average drawdown	6.72	0.92	+5.80

EFAX vs. MCSE - Sharpe Ratio Comparison

The current EFAX Sharpe Ratio is 1.37, which is higher than the MCSE Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of EFAX and MCSE, 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

EFAX vs. MCSE - Drawdown Comparison

The maximum EFAX drawdown since its inception was -32.53%, which is greater than MCSE's maximum drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for EFAX and MCSE.

Drawdown Indicators

	EFAX	MCSE	Difference
Max Drawdown Largest peak-to-trough decline	-32.53%	-26.36%	-6.17%
Max Drawdown (1Y) Largest decline over 1 year	-12.38%	-10.42%	-1.96%
Max Drawdown (3Y) Largest decline over 3 years	-13.52%	-26.36%	+12.84%
Max Drawdown (5Y) Largest decline over 5 years	-31.67%	—	—
Current Drawdown Current decline from peak	-0.65%	-10.51%	+9.86%
Average Drawdown Average peak-to-trough decline	-6.88%	-8.79%	+1.91%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.34%	4.36%	-1.02%

Volatility

EFAX vs. MCSE - Volatility Comparison

SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) has a higher volatility of 4.92% compared to Franklin Sustainable International Equity ETF (MCSE) at 0.00%. This indicates that EFAX's price experiences larger fluctuations and is considered to be riskier than MCSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EFAX	MCSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.92%	0.00%	+4.92%
Volatility (6M) Calculated over the trailing 6-month period	14.42%	1.91%	+12.51%
Volatility (1Y) Calculated over the trailing 1-year period	16.46%	10.71%	+5.75%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.83%	19.08%	-2.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.12%	19.08%	-1.96%

EFAX vs. MCSE - Expense Ratio Comparison

EFAX has a 0.20% expense ratio, which is lower than MCSE's 0.59% expense ratio.

Dividends

EFAX vs. MCSE - Dividend Comparison

EFAX's dividend yield for the trailing twelve months is around 3.12%, less than MCSE's 3.74% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
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%
MCSE Franklin Sustainable International Equity ETF	3.74%	3.78%	0.63%	0.57%	0.48%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both EFAX and MCSE in my portfolio?

EFAX and MCSE have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EFAX or MCSE?

EFAX has higher volatility (4.92%) compared to MCSE (0.00%). In terms of maximum drawdown, EFAX dropped -32.53% vs MCSE's -26.36%.

Which ETF is better, EFAX or MCSE?

On 3-year performance, EFAX leads with 15.98% vs -0.12% for MCSE. On fees, EFAX is cheaper at 0.20% per year. On volatility, MCSE has been the lower-risk option at 0.00%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EFAX or MCSE?

Over the 3-year period, EFAX has performed better with a 15.98% return vs -0.12%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EFAX or MCSE?

EFAX is cheaper with a 0.20% expense ratio, compared with 0.59% for MCSE.

Which ETF pays a higher dividend yield, EFAX or MCSE?

MCSE has the higher dividend yield at 3.74%, compared with 3.12% for EFAX.

What is the main difference between EFAX and MCSE?

They also come from different issuers: State Street and Franklin. Their fees differ too: 0.20% for EFAX and 0.59% for MCSE.

Which has better risk-adjusted returns?

EFAX currently has the higher Sharpe Ratio (1.37 vs 0.37), 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.