EFAX vs. VEU
Compare and contrast key facts about SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Vanguard FTSE All-World ex-US ETF (VEU).
EFAX and VEU 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. VEU is a passively managed fund by Vanguard that tracks the performance of the FTSE All-World ex US Index. It was launched on Mar 2, 2007. Both EFAX and VEU are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EFAX or VEU.
Key characteristics
| EFAX | VEU | |
|---|---|---|
| YTD Return | 9.32% | 11.02% |
| 1Y Return | 21.15% | 21.90% |
| 3Y Return (Ann) | 1.72% | 1.99% |
| 5Y Return (Ann) | 6.06% | 6.21% |
| Sharpe Ratio | 1.65 | 1.71 |
| Sortino Ratio | 2.33 | 2.42 |
| Omega Ratio | 1.29 | 1.30 |
| Calmar Ratio | 1.53 | 1.52 |
| Martin Ratio | 8.92 | 10.01 |
| Ulcer Index | 2.39% | 2.15% |
| Daily Std Dev | 12.92% | 12.63% |
| Max Drawdown | -32.53% | -61.52% |
| Current Drawdown | -5.09% | -3.64% |
Correlation
The correlation between EFAX and VEU is 0.88, 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.
Performance
EFAX vs. VEU - Performance Comparison
In the year-to-date period, EFAX achieves a 9.32% return, which is significantly lower than VEU's 11.02% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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. VEU - Expense Ratio Comparison
EFAX has a 0.20% expense ratio, which is higher than VEU's 0.07% 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%.
Risk-Adjusted Performance
EFAX vs. VEU - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Vanguard FTSE All-World ex-US ETF (VEU). 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.
Dividends
EFAX vs. VEU - Dividend Comparison
EFAX's dividend yield for the trailing twelve months is around 2.41%, less than VEU's 2.87% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 2.41% | 2.71% | 2.81% | 2.58% | 1.69% | 2.71% | 3.05% | 2.89% | 0.26% | 0.00% | 0.00% | 0.00% |
VEU Vanguard FTSE All-World ex-US ETF | 2.87% | 3.32% | 3.12% | 3.07% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% | 3.52% | 2.66% |
Drawdowns
EFAX vs. VEU - Drawdown Comparison
The maximum EFAX drawdown since its inception was -32.53%, smaller than the maximum VEU drawdown of -61.52%. Use the drawdown chart below to compare losses from any high point for EFAX and VEU. For additional features, visit the drawdowns tool.
Volatility
EFAX vs. VEU - Volatility Comparison
SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) has a higher volatility of 3.81% compared to Vanguard FTSE All-World ex-US ETF (VEU) at 3.58%. This indicates that EFAX's price experiences larger fluctuations and is considered to be riskier than VEU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.