PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EFAX vs. VGK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EFAX and VGK is 0.90, 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: 0.9

Performance

EFAX vs. VGK - Performance Comparison

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

60.00%70.00%80.00%90.00%100.00%NovemberDecember2025FebruaryMarchApril
76.79%
94.22%
EFAX
VGK

Key characteristics

Sharpe Ratio

EFAX:

0.45

VGK:

0.57

Sortino Ratio

EFAX:

0.71

VGK:

0.88

Omega Ratio

EFAX:

1.08

VGK:

1.10

Calmar Ratio

EFAX:

0.63

VGK:

0.73

Martin Ratio

EFAX:

1.46

VGK:

1.69

Ulcer Index

EFAX:

4.25%

VGK:

4.76%

Daily Std Dev

EFAX:

13.76%

VGK:

14.06%

Max Drawdown

EFAX:

-32.53%

VGK:

-63.61%

Current Drawdown

EFAX:

-3.59%

VGK:

-3.84%

Returns By Period

In the year-to-date period, EFAX achieves a 8.06% return, which is significantly lower than VGK's 11.35% return.


EFAX

YTD

8.06%

1M

0.00%

6M

0.15%

1Y

6.78%

5Y*

12.37%

10Y*

N/A

VGK

YTD

11.35%

1M

0.68%

6M

1.66%

1Y

8.22%

5Y*

14.35%

10Y*

5.81%

*Annualized

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. VGK - Expense Ratio Comparison

EFAX has a 0.20% expense ratio, which is higher than VGK's 0.08% 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 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 VGK: current value is 0.08%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VGK: 0.08%

Risk-Adjusted Performance

EFAX vs. VGK — 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 4848
Overall Rank
The Sharpe Ratio Rank of EFAX is 4747
Sharpe Ratio Rank
The Sortino Ratio Rank of EFAX is 4747
Sortino Ratio Rank
The Omega Ratio Rank of EFAX is 4444
Omega Ratio Rank
The Calmar Ratio Rank of EFAX is 5959
Calmar Ratio Rank
The Martin Ratio Rank of EFAX is 4444
Martin Ratio Rank

VGK
The Risk-Adjusted Performance Rank of VGK is 5555
Overall Rank
The Sharpe Ratio Rank of VGK is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of VGK is 5757
Sortino Ratio Rank
The Omega Ratio Rank of VGK is 5353
Omega Ratio Rank
The Calmar Ratio Rank of VGK is 6464
Calmar Ratio Rank
The Martin Ratio Rank of VGK is 4848
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. VGK - 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 Europe ETF (VGK). 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 0.45, compared to the broader market-1.000.001.002.003.004.005.00
EFAX: 0.45
VGK: 0.57
The chart of Sortino ratio for EFAX, currently valued at 0.71, compared to the broader market-2.000.002.004.006.008.0010.00
EFAX: 0.71
VGK: 0.88
The chart of Omega ratio for EFAX, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.00
EFAX: 1.08
VGK: 1.10
The chart of Calmar ratio for EFAX, currently valued at 0.63, compared to the broader market0.005.0010.0015.00
EFAX: 0.63
VGK: 0.73
The chart of Martin ratio for EFAX, currently valued at 1.46, compared to the broader market0.0020.0040.0060.0080.00100.00
EFAX: 1.46
VGK: 1.69

The current EFAX Sharpe Ratio is 0.45, which is comparable to the VGK Sharpe Ratio of 0.57. The chart below compares the historical Sharpe Ratios of EFAX and VGK, 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 Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.45
0.57
EFAX
VGK

Dividends

EFAX vs. VGK - Dividend Comparison

EFAX's dividend yield for the trailing twelve months is around 2.54%, less than VGK's 3.15% yield.


TTM20242023202220212020201920182017201620152014
EFAX
SPDR MSCI EAFE Fossil Fuel Free ETF
2.54%2.74%2.71%2.81%2.58%1.69%2.71%3.05%2.89%0.26%0.00%0.00%
VGK
Vanguard FTSE Europe ETF
3.15%3.61%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%

Drawdowns

EFAX vs. VGK - Drawdown Comparison

The maximum EFAX drawdown since its inception was -32.53%, smaller than the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for EFAX and VGK. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-3.59%
-3.84%
EFAX
VGK

Volatility

EFAX vs. VGK - Volatility Comparison

The current volatility for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) is 5.02%, while Vanguard FTSE Europe ETF (VGK) has a volatility of 5.44%. This indicates that EFAX experiences smaller price fluctuations and is considered to be less risky than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%NovemberDecember2025FebruaryMarchApril
5.02%
5.44%
EFAX
VGK
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab