PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
FICMX vs. EFA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FICMX vs. EFA

Last updated Jun 5, 2026

FICMX (Federated Hermes Government Income Fund) and EFA (iShares MSCI EAFE ETF) are both funds - FICMX is a Government Bonds fund managed by Federated, while EFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Over the past 10 years, FICMX returned 0.84%/yr vs 9.14%/yr for EFA. At a correlation of -0.04, they often move in opposite directions. FICMX charges 0.63%/yr vs 0.32%/yr for EFA.

Performance

FICMX vs. EFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Federated Hermes Government Income Fund (FICMX) and iShares MSCI EAFE ETF (EFA). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, FICMX achieves a 0.22% return, which is significantly lower than EFA's 9.29% return. Over the past 10 years, FICMX has underperformed EFA with an annualized return of 0.84%, while EFA has yielded a comparatively higher 9.14% annualized return.

FICMX

1D
-0.22%
1M
0.09%
YTD
0.22%
6M
0.55%
1Y
6.87%
3Y*
3.51%
5Y*
-0.36%
10Y*
0.84%

EFA

1D
0.80%
1M
2.85%
YTD
9.29%
6M
11.52%
1Y
21.48%
3Y*
16.97%
5Y*
8.46%
10Y*
9.14%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FICMX vs. EFA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FICMX
Federated Hermes Government Income Fund		0.22%8.81%-0.16%3.08%-11.94%-1.58%4.26%5.77%0.58%1.91%
EFA
iShares MSCI EAFE ETF		9.29%31.55%3.49%18.36%-14.39%11.45%7.60%22.04%-13.82%25.07%

Correlation

The correlation between FICMX and EFA is 0.29, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.29

Correlation (3Y)
Calculated over the trailing 3-year period

0.28

Correlation (5Y)
Calculated over the trailing 5-year period

0.23

Correlation (10Y)
Calculated over the trailing 10-year period

0.10

Correlation (All Time)
Calculated using the full available price history since Aug 20, 2001

-0.04

The correlation between FICMX and EFA shifts across timeframes, from -0.04 (all time) to 0.29 (1 year), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Federated Hermes Government Income Fund

iShares MSCI EAFE ETF

Often compared with FICMX:
FICMX vs. DFFGXFICMX vs. FUAMXFICMX vs. FBLTXFICMX vs. FEUGXFICMX vs. PRGMXFICMX vs. SVAIXFICMX vs. ISCAX
Often compared with EFA:
EFA vs. IEFAEFA vs. VEAEFA vs. EFGEFA vs. XEF.TOEFA vs. EFAVEFA vs. IEUREFA vs. EFO

Return for Risk

FICMX vs. EFA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FICMX
FICMX Risk / Return Rank: 3535
Overall Rank
FICMX Sharpe Ratio Rank: 3131
Sharpe Ratio Rank
FICMX Sortino Ratio Rank: 3434
Sortino Ratio Rank
FICMX Omega Ratio Rank: 3737
Omega Ratio Rank
FICMX Calmar Ratio Rank: 3636
Calmar Ratio Rank
FICMX Martin Ratio Rank: 3535
Martin Ratio Rank
EFA
EFA Risk / Return Rank: 4242
Overall Rank
EFA Sharpe Ratio Rank: 4242
Sharpe Ratio Rank
EFA Sortino Ratio Rank: 4242
Sortino Ratio Rank
EFA Omega Ratio Rank: 4141
Omega Ratio Rank
EFA Calmar Ratio Rank: 4040
Calmar Ratio Rank
EFA Martin Ratio Rank: 4444
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FICMX vs. EFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Federated Hermes Government Income Fund (FICMX) and iShares MSCI EAFE ETF (EFA). 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.

FICMXEFADifference
Sharpe ratioReturn per unit of total volatility
1.54
1.43

+0.11

Sortino ratioReturn per unit of downside risk
2.34
2.07

+0.27

Omega ratioGain probability vs. loss probability

1.31

1.26

+0.05

Calmar ratioReturn relative to maximum drawdown

2.18

1.89

+0.29

Martin ratioReturn relative to average drawdown

7.51

7.08

+0.43

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FICMX vs. EFA - Sharpe Ratio Comparison

The current FICMX Sharpe Ratio is 1.54, which is comparable to the EFA Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of FICMX and EFA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

FICMXEFADifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.54

1.43

+0.11

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

-0.05

0.52

-0.57

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.16

0.53

-0.37

Sharpe Ratio (All Time)

Calculated using the full available price history

0.82

0.31

+0.50

Drawdowns

FICMX vs. EFA - Drawdown Comparison

The maximum FICMX drawdown since its inception was -19.81%, smaller than the maximum EFA drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for FICMX and EFA.

Loading charts...

Drawdown Indicators

FICMXEFADifference

Max Drawdown

Largest peak-to-trough decline

-19.81%

-61.04%

+41.23%

Max Drawdown (1Y)

Largest decline over 1 year

-3.15%

-11.42%

+8.27%

Max Drawdown (3Y)

Largest decline over 3 years

-8.90%

-14.05%

+5.15%

Max Drawdown (5Y)

Largest decline over 5 years

-19.23%

-29.53%

+10.30%

Max Drawdown (10Y)

Largest decline over 10 years

-19.81%

-34.19%

+14.38%

Current Drawdown

Current decline from peak

-3.01%

-0.67%

-2.34%

Average Drawdown

Average peak-to-trough decline

-2.49%

-11.93%

+9.44%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.91%

3.04%

-2.13%

Volatility

FICMX vs. EFA - Volatility Comparison

The current volatility for Federated Hermes Government Income Fund (FICMX) is 1.54%, while iShares MSCI EAFE ETF (EFA) has a volatility of 4.88%. This indicates that FICMX experiences smaller price fluctuations and is considered to be less risky than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

FICMXEFADifference

Volatility (1M)

Calculated over the trailing 1-month period

1.54%

4.88%

-3.34%

Volatility (6M)

Calculated over the trailing 6-month period

2.99%

12.53%

-9.54%

Volatility (1Y)

Calculated over the trailing 1-year period

4.45%

15.05%

-10.60%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

6.84%

16.48%

-9.64%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

5.14%

17.26%

-12.12%

FICMX vs. EFA - Expense Ratio Comparison

FICMX has a 0.63% expense ratio, which is higher than EFA's 0.32% expense ratio.

Dividends

FICMX vs. EFA - Dividend Comparison

FICMX's dividend yield for the trailing twelve months is around 3.74%, more than EFA's 3.09% yield.

PositionTTM20252024202320222021202020192018201720162015
EFA
iShares MSCI EAFE ETF		3.09%3.38%3.24%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%
FICMX
Federated Hermes Government Income Fund		3.74%3.67%2.90%2.22%1.39%0.72%1.37%2.21%2.46%2.39%2.09%2.39%

Frequently Asked Questions

FICMX and EFA have a correlation of 0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EFA has higher volatility (4.88%) compared to FICMX (1.54%). In terms of maximum drawdown, FICMX dropped -19.81% vs EFA's -61.04%.

FICMX currently has the higher Sharpe Ratio (1.54 vs 1.43), 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.

Portfolio Optimizer

Find the right allocation for FICMX and EFA

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer