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HDEF vs. EFV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

HDEF vs. EFV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) and iShares MSCI EAFE Value ETF (EFV). The values are adjusted to include any dividend payments, if applicable.

-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
-1.27%
-1.27%
HDEF
EFV

Returns By Period

In the year-to-date period, HDEF achieves a 4.57% return, which is significantly lower than EFV's 6.73% return.


HDEF

YTD

4.57%

1M

-5.46%

6M

-1.27%

1Y

11.13%

5Y (annualized)

5.81%

10Y (annualized)

N/A

EFV

YTD

6.73%

1M

-4.62%

6M

-1.26%

1Y

12.78%

5Y (annualized)

6.03%

10Y (annualized)

3.97%

Key characteristics


HDEFEFV
Sharpe Ratio1.001.07
Sortino Ratio1.411.48
Omega Ratio1.171.18
Calmar Ratio1.251.70
Martin Ratio4.225.46
Ulcer Index2.74%2.38%
Daily Std Dev11.58%12.21%
Max Drawdown-36.43%-63.94%
Current Drawdown-8.47%-6.71%

Compare stocks, funds, or ETFs

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HDEF vs. EFV - Expense Ratio Comparison

HDEF has a 0.20% expense ratio, which is lower than EFV's 0.39% expense ratio.


EFV
iShares MSCI EAFE Value ETF
Expense ratio chart for EFV: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for HDEF: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.8

The correlation between HDEF and EFV is 0.79, 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.

Risk-Adjusted Performance

HDEF vs. EFV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) and iShares MSCI EAFE Value ETF (EFV). 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 HDEF, currently valued at 1.00, compared to the broader market0.002.004.006.001.001.07
The chart of Sortino ratio for HDEF, currently valued at 1.41, compared to the broader market-2.000.002.004.006.008.0010.0012.001.411.48
The chart of Omega ratio for HDEF, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.18
The chart of Calmar ratio for HDEF, currently valued at 1.25, compared to the broader market0.005.0010.0015.001.251.70
The chart of Martin ratio for HDEF, currently valued at 4.22, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.225.46
HDEF
EFV

The current HDEF Sharpe Ratio is 1.00, which is comparable to the EFV Sharpe Ratio of 1.07. The chart below compares the historical Sharpe Ratios of HDEF and EFV, 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 Ratio1.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.00
1.07
HDEF
EFV

Dividends

HDEF vs. EFV - Dividend Comparison

HDEF's dividend yield for the trailing twelve months is around 4.32%, less than EFV's 4.61% yield.


TTM20232022202120202019201820172016201520142013
HDEF
Xtrackers MSCI EAFE High Dividend Yield Equity ETF
4.32%4.38%5.41%4.76%3.93%4.20%3.55%3.38%9.13%1.72%0.00%0.00%
EFV
iShares MSCI EAFE Value ETF
4.61%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.27%3.59%4.87%3.19%

Drawdowns

HDEF vs. EFV - Drawdown Comparison

The maximum HDEF drawdown since its inception was -36.43%, smaller than the maximum EFV drawdown of -63.94%. Use the drawdown chart below to compare losses from any high point for HDEF and EFV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.47%
-6.71%
HDEF
EFV

Volatility

HDEF vs. EFV - Volatility Comparison

Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) and iShares MSCI EAFE Value ETF (EFV) have volatilities of 4.17% and 3.98%, 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.17%
3.98%
HDEF
EFV