EPHE vs. FAAR
EPHE (iShares MSCI Philippines ETF) and FAAR (First Trust Alternative Absolute Return Strategy ETF) are both exchange-traded funds - EPHE is a Asia Pacific Equities fund tracking the MSCI Philippines Investable Market Index, while FAAR is a Commodities fund actively managed by First Trust. EPHE is passively managed, while FAAR is actively managed. Over the past 10 years, EPHE returned -2.80%/yr vs 4.69%/yr for FAAR. At a 0.02 correlation, their price movements are largely independent. EPHE charges 0.59%/yr vs 0.95%/yr for FAAR.
Performance
EPHE vs. FAAR - Performance Comparison
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Returns By Period
In the year-to-date period, EPHE achieves a 1.87% return, which is significantly lower than FAAR's 19.14% return. Over the past 10 years, EPHE has underperformed FAAR with an annualized return of -2.80%, while FAAR has yielded a comparatively higher 4.69% annualized return.
EPHE
- 1D
- 0.69%
- 1M
- 2.70%
- YTD
- 1.87%
- 6M
- 1.83%
- 1Y
- -1.42%
- 3Y*
- 1.74%
- 5Y*
- -2.44%
- 10Y*
- -2.80%
FAAR
- 1D
- -0.91%
- 1M
- -5.21%
- YTD
- 19.14%
- 6M
- 18.06%
- 1Y
- 28.33%
- 3Y*
- 10.57%
- 5Y*
- 7.72%
- 10Y*
- 4.69%
EPHE vs. FAAR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EPHE iShares MSCI Philippines ETF | 1.87% | 1.56% | -1.41% | 1.27% | -15.87% | -2.23% | -3.95% | 8.50% | -17.50% | 20.20% |
FAAR First Trust Alternative Absolute Return Strategy ETF | 19.14% | 8.07% | 5.97% | -5.63% | 10.15% | 12.34% | 8.60% | -1.28% | -9.17% | 5.00% |
Correlation
The correlation between EPHE and FAAR is -0.22, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.02 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since May 23, 2016 | 0.02 |
The correlation between EPHE and FAAR shifts across timeframes, from -0.22 (1 year) to 0.02 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
EPHE vs. FAAR — Risk / Return Rank
EPHE
FAAR
EPHE vs. FAAR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Philippines ETF (EPHE) and First Trust Alternative Absolute Return Strategy ETF (FAAR). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EPHE | FAAR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.22 | ||
| Sortino ratioReturn per unit of downside risk | -3.05 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.37 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | -0.09 | 4.52 | -4.61 |
| Martin ratioReturn relative to average drawdown | -0.16 | 15.18 | -15.34 |
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Drawdowns
EPHE vs. FAAR - Drawdown Comparison
The maximum EPHE drawdown since its inception was -53.82%, which is greater than FAAR's maximum drawdown of -18.03%. Use the drawdown chart below to compare losses from any high point for EPHE and FAAR.
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Drawdown Indicators
| EPHE | FAAR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.82% | -18.03% | -35.79% |
Max Drawdown (1Y)Largest decline over 1 year | -15.90% | -6.29% | -9.61% |
Max Drawdown (3Y)Largest decline over 3 years | -21.42% | -11.54% | -9.88% |
Max Drawdown (5Y)Largest decline over 5 years | -32.96% | -18.03% | -14.93% |
Max Drawdown (10Y)Largest decline over 10 years | -51.62% | -18.03% | -33.59% |
Current DrawdownCurrent decline from peak | -32.64% | -6.29% | -26.35% |
Average DrawdownAverage peak-to-trough decline | -21.02% | -7.82% | -13.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.76% | 1.87% | +6.89% |
Volatility
EPHE vs. FAAR - Volatility Comparison
iShares MSCI Philippines ETF (EPHE) has a higher volatility of 9.46% compared to First Trust Alternative Absolute Return Strategy ETF (FAAR) at 2.55%. This indicates that EPHE's price experiences larger fluctuations and is considered to be riskier than FAAR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EPHE | FAAR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.46% | 2.55% | +6.91% |
Volatility (6M)Calculated over the trailing 6-month period | 15.63% | 9.68% | +5.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.50% | 13.38% | +7.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.42% | 12.96% | +5.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.29% | 11.54% | +10.75% |
EPHE vs. FAAR - Expense Ratio Comparison
EPHE has a 0.59% expense ratio, which is lower than FAAR's 0.95% expense ratio.
Dividends
EPHE vs. FAAR - Dividend Comparison
EPHE's dividend yield for the trailing twelve months is around 2.73%, less than FAAR's 9.66% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EPHE iShares MSCI Philippines ETF | 2.73% | 2.11% | 2.32% | 2.01% | 1.73% | 1.05% | 0.72% | 0.78% | 0.45% | 0.36% | 0.71% | 1.03% |
FAAR First Trust Alternative Absolute Return Strategy ETF | 9.66% | 11.63% | 3.45% | 3.20% | 5.82% | 6.49% | 3.05% | 1.02% | 0.58% | 2.83% | 0.00% | 0.00% |
Frequently Asked Questions
EPHE and FAAR have a correlation of -0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EPHE has higher volatility (9.46%) compared to FAAR (2.55%). In terms of maximum drawdown, EPHE dropped -53.82% vs FAAR's -18.03%.
On 10-year performance, FAAR leads with 4.69% vs -2.80% for EPHE. On fees, EPHE is cheaper at 0.59% per year. On volatility, FAAR has been the lower-risk option at 2.55%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, FAAR has performed better with a 4.69% return vs -2.80%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EPHE is cheaper with a 0.59% expense ratio, compared with 0.95% for FAAR.
FAAR has the higher dividend yield at 9.66%, compared with 2.73% for EPHE.
EPHE is categorized as Asia Pacific Equities, while FAAR is Commodities. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.59% for EPHE and 0.95% for FAAR.
FAAR currently has the higher Sharpe Ratio (2.15 vs -0.07), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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