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

Correlation

The correlation between EFAX and SPYX 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.


-0.50.00.51.0
Correlation: 0.7

Performance

EFAX vs. SPYX - 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 Fossil Fuel Reserves Free ETF (SPYX). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%NovemberDecember2025FebruaryMarchApril
83.00%
198.99%
EFAX
SPYX

Key characteristics

Sharpe Ratio

EFAX:

0.75

SPYX:

0.54

Sortino Ratio

EFAX:

1.17

SPYX:

0.89

Omega Ratio

EFAX:

1.16

SPYX:

1.13

Calmar Ratio

EFAX:

0.99

SPYX:

0.57

Martin Ratio

EFAX:

2.96

SPYX:

2.34

Ulcer Index

EFAX:

4.52%

SPYX:

4.58%

Daily Std Dev

EFAX:

17.77%

SPYX:

19.75%

Max Drawdown

EFAX:

-32.53%

SPYX:

-32.84%

Current Drawdown

EFAX:

-0.20%

SPYX:

-9.97%

Returns By Period

In the year-to-date period, EFAX achieves a 11.86% return, which is significantly higher than SPYX's -5.90% return.


EFAX

YTD

11.86%

1M

2.13%

6M

7.58%

1Y

14.44%

5Y*

11.67%

10Y*

N/A

SPYX

YTD

-5.90%

1M

-3.07%

6M

-4.43%

1Y

11.22%

5Y*

15.66%

10Y*

N/A

*Annualized

Compare stocks, funds, or ETFs

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EFAX vs. SPYX - Expense Ratio Comparison

Both EFAX and SPYX 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%.


Expense ratio chart for EFAX: current value is 0.20%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EFAX: 0.20%
Expense ratio chart for SPYX: current value is 0.20%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPYX: 0.20%

Risk-Adjusted Performance

EFAX vs. SPYX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EFAX
The Risk-Adjusted Performance Rank of EFAX is 7474
Overall Rank
The Sharpe Ratio Rank of EFAX is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of EFAX is 7272
Sortino Ratio Rank
The Omega Ratio Rank of EFAX is 7171
Omega Ratio Rank
The Calmar Ratio Rank of EFAX is 8282
Calmar Ratio Rank
The Martin Ratio Rank of EFAX is 7272
Martin Ratio Rank

SPYX
The Risk-Adjusted Performance Rank of SPYX is 6262
Overall Rank
The Sharpe Ratio Rank of SPYX is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of SPYX is 6060
Sortino Ratio Rank
The Omega Ratio Rank of SPYX is 6262
Omega Ratio Rank
The Calmar Ratio Rank of SPYX is 6666
Calmar Ratio Rank
The Martin Ratio Rank of SPYX is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EFAX vs. SPYX - 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 Fossil Fuel Reserves Free ETF (SPYX). 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.


The chart of Sharpe ratio for EFAX, currently valued at 0.75, compared to the broader market-1.000.001.002.003.004.00
EFAX: 0.75
SPYX: 0.54
The chart of Sortino ratio for EFAX, currently valued at 1.17, compared to the broader market-2.000.002.004.006.008.00
EFAX: 1.17
SPYX: 0.89
The chart of Omega ratio for EFAX, currently valued at 1.16, compared to the broader market0.501.001.502.002.50
EFAX: 1.16
SPYX: 1.13
The chart of Calmar ratio for EFAX, currently valued at 0.99, compared to the broader market0.002.004.006.008.0010.0012.00
EFAX: 0.99
SPYX: 0.57
The chart of Martin ratio for EFAX, currently valued at 2.96, compared to the broader market0.0020.0040.0060.00
EFAX: 2.96
SPYX: 2.34

The current EFAX Sharpe Ratio is 0.75, which is higher than the SPYX Sharpe Ratio of 0.54. The chart below compares the historical Sharpe Ratios of EFAX and SPYX, 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.75
0.54
EFAX
SPYX

Dividends

EFAX vs. SPYX - Dividend Comparison

EFAX's dividend yield for the trailing twelve months is around 2.45%, more than SPYX's 1.13% yield.


TTM2024202320222021202020192018201720162015
EFAX
SPDR MSCI EAFE Fossil Fuel Free ETF
2.45%2.74%2.71%2.81%2.58%1.69%2.71%3.05%2.89%0.26%0.00%
SPYX
SPDR S&P 500 Fossil Fuel Reserves Free ETF
1.13%1.05%1.21%1.41%1.04%1.33%1.56%1.92%1.68%1.91%0.49%

Drawdowns

EFAX vs. SPYX - Drawdown Comparison

The maximum EFAX drawdown since its inception was -32.53%, roughly equal to the maximum SPYX drawdown of -32.84%. Use the drawdown chart below to compare losses from any high point for EFAX and SPYX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-0.20%
-9.97%
EFAX
SPYX

Volatility

EFAX vs. SPYX - Volatility Comparison

The current volatility for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) is 12.01%, while SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) has a volatility of 14.48%. This indicates that EFAX experiences smaller price fluctuations and is considered to be less risky than SPYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
12.01%
14.48%
EFAX
SPYX