EFAX vs. VSGX
Compare and contrast key facts about SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Vanguard ESG International Stock ETF (VSGX).
EFAX and VSGX 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. VSGX is a passively managed fund by Vanguard that tracks the performance of the FTSE Global All Cap ex US Choice Index.. It was launched on Sep 18, 2018. Both EFAX and VSGX 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 VSGX.
Key characteristics
| EFAX | VSGX | |
|---|---|---|
| YTD Return | 5.58% | 6.86% |
| 1Y Return | 13.57% | 14.52% |
| 3Y Return (Ann) | 0.69% | -0.76% |
| 5Y Return (Ann) | 5.31% | 4.84% |
| Sharpe Ratio | 1.26 | 1.30 |
| Sortino Ratio | 1.81 | 1.89 |
| Omega Ratio | 1.22 | 1.23 |
| Calmar Ratio | 1.47 | 1.10 |
| Martin Ratio | 6.50 | 7.69 |
| Ulcer Index | 2.55% | 2.28% |
| Daily Std Dev | 13.13% | 13.47% |
| Max Drawdown | -32.53% | -33.10% |
| Current Drawdown | -8.34% | -7.13% |
Correlation
The correlation between EFAX and VSGX is 0.94, 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. VSGX - Performance Comparison
In the year-to-date period, EFAX achieves a 5.58% return, which is significantly lower than VSGX's 6.86% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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EFAX vs. VSGX - Expense Ratio Comparison
EFAX has a 0.20% expense ratio, which is higher than VSGX's 0.12% 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. VSGX - 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 ESG International Stock ETF (VSGX). 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. VSGX - Dividend Comparison
EFAX's dividend yield for the trailing twelve months is around 2.50%, less than VSGX's 3.13% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 2.50% | 2.71% | 2.81% | 2.58% | 1.69% | 2.71% | 3.05% | 2.89% | 0.26% |
VSGX Vanguard ESG International Stock ETF | 3.13% | 2.77% | 2.61% | 2.50% | 1.67% | 2.28% | 0.38% | 0.00% | 0.00% |
Drawdowns
EFAX vs. VSGX - Drawdown Comparison
The maximum EFAX drawdown since its inception was -32.53%, roughly equal to the maximum VSGX drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for EFAX and VSGX. For additional features, visit the drawdowns tool.
Volatility
EFAX vs. VSGX - Volatility Comparison
SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Vanguard ESG International Stock ETF (VSGX) have volatilities of 4.04% and 4.01%, 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.