HDEF vs. MCSE

Last updated Aug 2, 2026

HDEF (Xtrackers MSCI EAFE High Dividend Yield Equity ETF) and MCSE (Franklin Sustainable International Equity ETF) are both Foreign Large Cap Equities funds. HDEF is passively managed, while MCSE is actively managed. Over the past 3 years, HDEF returned 17.68%/yr vs -0.12%/yr for MCSE. Their 0.60 correlation means they have sometimes moved together and sometimes differently. HDEF charges 0.20%/yr vs 0.59%/yr for MCSE.

Performance

HDEF vs. MCSE - 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 Franklin Sustainable International Equity ETF (MCSE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HDEF achieves a 12.33% return, which is significantly higher than MCSE's 1.12% return.

HDEF

• 1D: -0.95%
• 1M: 3.70%
• 6M: 8.55%
• YTD: 12.33%
• 1Y: 23.62%
• 3Y*: 17.68%
• 5Y*: 11.81%
• 10Y*: 9.09%
• ALL TIME*: 8.10%

MCSE

• 1D: 0.00%
• 1M: 0.00%
• 6M: 0.00%
• YTD: 1.12%
• 1Y: 4.30%
• 3Y*: -0.12%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.07%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
HDEF Xtrackers MSCI EAFE High Dividend Yield Equity ETF	$3.46M	$3.74M	$5.68M
MCSE Franklin Sustainable International Equity ETF	$0.00	$0.00	$0.00

HDEF vs. MCSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
HDEF Xtrackers MSCI EAFE High Dividend Yield Equity ETF	12.33%	33.01%	2.85%	18.53%	13.14%
MCSE Franklin Sustainable International Equity ETF	1.12%	7.79%	-9.46%	14.86%	10.04%

Correlation

The correlation between HDEF and MCSE is 0.34, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.34
Correlation (3Y) Balances recent behavior with more history.	0.56
Correlation (All Time) Calculated using the full available price history since Oct 31, 2022	0.60

Over the past year, the correlation between HDEF and MCSE has dropped to 0.34 - well below their long-term average of 0.60, suggesting their price drivers have been diverging.

HDEF vs. MCSE - Sectors Allocation Comparison

Sectors	HDEF	MCSE
Financial Services	27.2%	2.1%
Consumer Defensive	20.0%	5.0%
Healthcare	17.2%	20.1%
Energy	10.4%	-
Utilities	8.1%	-
Industrials	7.6%	18.1%
Consumer Cyclical	3.8%	13.8%
Communication Services	3.7%	4.7%
Real Estate	0.8%	-
Technology	0.6%	31.1%
Basic Materials	0.6%	5.1%

Return for Risk

HDEF vs. MCSE — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

HDEF

HDEF Risk / Return Rank: 83
HDEF Sharpe Ratio Rank: 87
HDEF Sortino Ratio Rank: 87
HDEF Omega Ratio Rank: 87
HDEF Calmar Ratio Rank: 82
HDEF Martin Ratio Rank: 71

MCSE

MCSE Risk / Return Rank: 19
MCSE Sharpe Ratio Rank: 20
MCSE Sortino Ratio Rank: 18
MCSE Omega Ratio Rank: 22
MCSE Calmar Ratio Rank: 17
MCSE Martin Ratio Rank: 17

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

HDEF vs. MCSE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) and Franklin Sustainable International Equity ETF (MCSE). 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.

	HDEF	MCSE	Difference
Sharpe ratio: Return per unit of total volatility	2.09	0.37	+1.71
Sortino ratio: Return per unit of downside risk	2.91	0.58	+2.34
Omega ratio: Gain probability vs. loss probability	1.39	1.10	+0.29
Calmar ratio: Return relative to maximum drawdown	3.02	0.37	+2.65
Martin ratio: Return relative to average drawdown	8.62	0.92	+7.71

HDEF vs. MCSE - Sharpe Ratio Comparison

The current HDEF Sharpe Ratio is 2.09, which is higher than the MCSE Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of HDEF and MCSE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

HDEF vs. MCSE - Drawdown Comparison

The maximum HDEF drawdown since its inception was -36.43%, which is greater than MCSE's maximum drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for HDEF and MCSE.

Drawdown Indicators

	HDEF	MCSE	Difference
Max Drawdown Largest peak-to-trough decline	-36.43%	-26.36%	-10.07%
Max Drawdown (1Y) Largest decline over 1 year	-8.03%	-10.42%	+2.39%
Max Drawdown (3Y) Largest decline over 3 years	-11.15%	-26.36%	+15.21%
Max Drawdown (5Y) Largest decline over 5 years	-23.63%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-36.43%	—	—
Current Drawdown Current decline from peak	-0.95%	-10.51%	+9.56%
Average Drawdown Average peak-to-trough decline	-5.02%	-8.79%	+3.77%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.80%	4.36%	-1.56%

Volatility

HDEF vs. MCSE - Volatility Comparison

Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) has a higher volatility of 3.31% compared to Franklin Sustainable International Equity ETF (MCSE) at 0.00%. This indicates that HDEF's price experiences larger fluctuations and is considered to be riskier than MCSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HDEF	MCSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.31%	0.00%	+3.31%
Volatility (6M) Calculated over the trailing 6-month period	9.46%	1.91%	+7.55%
Volatility (1Y) Calculated over the trailing 1-year period	11.67%	10.71%	+0.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.14%	19.08%	-4.94%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.13%	19.08%	-2.95%

HDEF vs. MCSE - Expense Ratio Comparison

HDEF has a 0.20% expense ratio, which is lower than MCSE's 0.59% expense ratio.

Dividends

HDEF vs. MCSE - Dividend Comparison

HDEF's dividend yield for the trailing twelve months is around 3.70%, less than MCSE's 3.74% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HDEF Xtrackers MSCI EAFE High Dividend Yield Equity ETF	3.70%	3.88%	4.53%	4.38%	5.41%	4.76%	3.93%	4.20%	3.55%	3.38%	9.53%	1.87%
MCSE Franklin Sustainable International Equity ETF	3.74%	3.78%	0.63%	0.57%	0.48%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both HDEF and MCSE in my portfolio?

HDEF and MCSE have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HDEF or MCSE?

HDEF has higher volatility (3.31%) compared to MCSE (0.00%). In terms of maximum drawdown, HDEF dropped -36.43% vs MCSE's -26.36%.

Which ETF is better, HDEF or MCSE?

On 3-year performance, HDEF leads with 17.68% vs -0.12% for MCSE. On fees, HDEF is cheaper at 0.20% per year. On volatility, MCSE has been the lower-risk option at 0.00%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, HDEF or MCSE?

Over the 3-year period, HDEF has performed better with a 17.68% return vs -0.12%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, HDEF or MCSE?

HDEF is cheaper with a 0.20% expense ratio, compared with 0.59% for MCSE.

Which ETF pays a higher dividend yield, HDEF or MCSE?

MCSE has the higher dividend yield at 3.74%, compared with 3.70% for HDEF.

What is the main difference between HDEF and MCSE?

They also come from different issuers: Deutsche Bank and Franklin. Their fees differ too: 0.20% for HDEF and 0.59% for MCSE.

Which has better risk-adjusted returns?

HDEF currently has the higher Sharpe Ratio (2.09 vs 0.37), 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.