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

Correlation

The correlation between EFAX and SPY is 0.72, 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.


-0.50.00.51.00.7

Performance

EFAX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.68%
9.85%
EFAX
SPY

Key characteristics

Sharpe Ratio

EFAX:

0.47

SPY:

2.21

Sortino Ratio

EFAX:

0.72

SPY:

2.93

Omega Ratio

EFAX:

1.09

SPY:

1.41

Calmar Ratio

EFAX:

0.63

SPY:

3.26

Martin Ratio

EFAX:

1.72

SPY:

14.40

Ulcer Index

EFAX:

3.51%

SPY:

1.90%

Daily Std Dev

EFAX:

12.93%

SPY:

12.44%

Max Drawdown

EFAX:

-32.53%

SPY:

-55.19%

Current Drawdown

EFAX:

-8.74%

SPY:

-1.83%

Returns By Period

In the year-to-date period, EFAX achieves a 5.12% return, which is significantly lower than SPY's 26.72% return.


EFAX

YTD

5.12%

1M

-0.58%

6M

-1.47%

1Y

5.86%

5Y*

4.65%

10Y*

N/A

SPY

YTD

26.72%

1M

0.20%

6M

10.28%

1Y

27.17%

5Y*

14.87%

10Y*

13.04%

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. SPY - Expense Ratio Comparison

EFAX has a 0.20% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

EFAX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and SPDR S&P 500 ETF (SPY). 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 0.47, compared to the broader market0.002.004.000.472.21
The chart of Sortino ratio for EFAX, currently valued at 0.72, compared to the broader market-2.000.002.004.006.008.0010.000.722.93
The chart of Omega ratio for EFAX, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.41
The chart of Calmar ratio for EFAX, currently valued at 0.63, compared to the broader market0.005.0010.0015.000.633.26
The chart of Martin ratio for EFAX, currently valued at 1.72, compared to the broader market0.0020.0040.0060.0080.00100.001.7214.40
EFAX
SPY

The current EFAX Sharpe Ratio is 0.47, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of EFAX and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.47
2.21
EFAX
SPY

Dividends

EFAX vs. SPY - Dividend Comparison

EFAX's dividend yield for the trailing twelve months is around 2.73%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
EFAX
SPDR MSCI EAFE Fossil Fuel Free ETF
2.73%2.71%2.81%2.58%1.69%2.71%3.05%2.89%0.26%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

EFAX vs. SPY - Drawdown Comparison

The maximum EFAX drawdown since its inception was -32.53%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EFAX and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.74%
-1.83%
EFAX
SPY

Volatility

EFAX vs. SPY - Volatility Comparison

SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and SPDR S&P 500 ETF (SPY) have volatilities of 3.72% and 3.83%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.72%
3.83%
EFAX
SPY
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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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