FYLD vs. HEFA
Compare and contrast key facts about Cambria Foreign Shareholder Yield ETF (FYLD) and iShares Currency Hedged MSCI EAFE ETF (HEFA).
FYLD and HEFA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FYLD is an actively managed fund by Cambria. It was launched on Dec 3, 2013. HEFA is a passively managed fund by iShares that tracks the performance of the MSCI EAFE 100% Hedged to USD Index. It was launched on Jan 31, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FYLD or HEFA.
Key characteristics
| FYLD | HEFA | |
|---|---|---|
| YTD Return | 5.97% | 13.96% |
| 1Y Return | 16.99% | 20.32% |
| 3Y Return (Ann) | 4.35% | 9.09% |
| 5Y Return (Ann) | 7.78% | 10.17% |
| 10Y Return (Ann) | 5.75% | 8.87% |
| Sharpe Ratio | 1.21 | 1.92 |
| Sortino Ratio | 1.70 | 2.53 |
| Omega Ratio | 1.21 | 1.35 |
| Calmar Ratio | 1.81 | 2.13 |
| Martin Ratio | 6.87 | 10.14 |
| Ulcer Index | 2.53% | 2.06% |
| Daily Std Dev | 14.40% | 10.86% |
| Max Drawdown | -44.55% | -32.39% |
| Current Drawdown | -5.99% | -1.56% |
Correlation
The correlation between FYLD and HEFA is 0.70, 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
FYLD vs. HEFA - Performance Comparison
In the year-to-date period, FYLD achieves a 5.97% return, which is significantly lower than HEFA's 13.96% return. Over the past 10 years, FYLD has underperformed HEFA with an annualized return of 5.75%, while HEFA has yielded a comparatively higher 8.87% annualized 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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FYLD vs. HEFA - Expense Ratio Comparison
FYLD has a 0.59% expense ratio, which is higher than HEFA's 0.35% expense ratio.
Risk-Adjusted Performance
FYLD vs. HEFA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Cambria Foreign Shareholder Yield ETF (FYLD) and iShares Currency Hedged MSCI EAFE ETF (HEFA). 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
FYLD vs. HEFA - Dividend Comparison
FYLD's dividend yield for the trailing twelve months is around 4.45%, more than HEFA's 2.83% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FYLD Cambria Foreign Shareholder Yield ETF | 4.45% | 6.06% | 6.13% | 4.74% | 3.94% | 3.73% | 5.17% | 2.85% | 2.72% | 3.98% | 5.13% | 0.07% |
HEFA iShares Currency Hedged MSCI EAFE ETF | 2.83% | 3.01% | 25.14% | 3.06% | 2.10% | 5.37% | 4.58% | 2.55% | 3.17% | 3.54% | 3.39% | 0.00% |
Drawdowns
FYLD vs. HEFA - Drawdown Comparison
The maximum FYLD drawdown since its inception was -44.55%, which is greater than HEFA's maximum drawdown of -32.39%. Use the drawdown chart below to compare losses from any high point for FYLD and HEFA. For additional features, visit the drawdowns tool.
Volatility
FYLD vs. HEFA - Volatility Comparison
Cambria Foreign Shareholder Yield ETF (FYLD) has a higher volatility of 4.52% compared to iShares Currency Hedged MSCI EAFE ETF (HEFA) at 3.10%. This indicates that FYLD's price experiences larger fluctuations and is considered to be riskier than HEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.