PortfoliosLab logo
HDEF vs. SPDW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between HDEF and SPDW is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.6

Performance

HDEF vs. SPDW - 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 SPDR Portfolio World ex-US ETF (SPDW). The values are adjusted to include any dividend payments, if applicable.

55.00%60.00%65.00%70.00%75.00%80.00%NovemberDecember2025FebruaryMarchApril
80.73%
76.44%
HDEF
SPDW

Key characteristics

Sharpe Ratio

HDEF:

1.24

SPDW:

0.63

Sortino Ratio

HDEF:

1.71

SPDW:

1.00

Omega Ratio

HDEF:

1.24

SPDW:

1.13

Calmar Ratio

HDEF:

1.69

SPDW:

0.80

Martin Ratio

HDEF:

3.98

SPDW:

2.46

Ulcer Index

HDEF:

4.72%

SPDW:

4.40%

Daily Std Dev

HDEF:

15.20%

SPDW:

17.27%

Max Drawdown

HDEF:

-36.43%

SPDW:

-60.02%

Current Drawdown

HDEF:

-0.11%

SPDW:

-0.61%

Returns By Period

In the year-to-date period, HDEF achieves a 15.36% return, which is significantly higher than SPDW's 9.99% return.


HDEF

YTD

15.36%

1M

2.54%

6M

9.28%

1Y

18.56%

5Y*

13.36%

10Y*

N/A

SPDW

YTD

9.99%

1M

1.13%

6M

5.78%

1Y

11.60%

5Y*

11.75%

10Y*

5.22%

*Annualized

Compare stocks, funds, or ETFs

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


HDEF vs. SPDW - Expense Ratio Comparison

HDEF has a 0.20% expense ratio, which is higher than SPDW's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Expense ratio chart for HDEF: current value is 0.20%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
HDEF: 0.20%
Expense ratio chart for SPDW: current value is 0.04%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPDW: 0.04%

Risk-Adjusted Performance

HDEF vs. SPDW — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

HDEF
The Risk-Adjusted Performance Rank of HDEF is 8585
Overall Rank
The Sharpe Ratio Rank of HDEF is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of HDEF is 8484
Sortino Ratio Rank
The Omega Ratio Rank of HDEF is 8585
Omega Ratio Rank
The Calmar Ratio Rank of HDEF is 9191
Calmar Ratio Rank
The Martin Ratio Rank of HDEF is 8080
Martin Ratio Rank

SPDW
The Risk-Adjusted Performance Rank of SPDW is 6767
Overall Rank
The Sharpe Ratio Rank of SPDW is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of SPDW is 6565
Sortino Ratio Rank
The Omega Ratio Rank of SPDW is 6363
Omega Ratio Rank
The Calmar Ratio Rank of SPDW is 7777
Calmar Ratio Rank
The Martin Ratio Rank of SPDW is 6666
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

HDEF vs. SPDW - 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 SPDR Portfolio World ex-US ETF (SPDW). 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.


The chart of Sharpe ratio for HDEF, currently valued at 1.24, compared to the broader market-1.000.001.002.003.004.00
HDEF: 1.24
SPDW: 0.63
The chart of Sortino ratio for HDEF, currently valued at 1.71, compared to the broader market-2.000.002.004.006.008.00
HDEF: 1.71
SPDW: 1.00
The chart of Omega ratio for HDEF, currently valued at 1.24, compared to the broader market0.501.001.502.002.50
HDEF: 1.24
SPDW: 1.13
The chart of Calmar ratio for HDEF, currently valued at 1.69, compared to the broader market0.002.004.006.008.0010.0012.00
HDEF: 1.69
SPDW: 0.80
The chart of Martin ratio for HDEF, currently valued at 3.98, compared to the broader market0.0020.0040.0060.00
HDEF: 3.98
SPDW: 2.46

The current HDEF Sharpe Ratio is 1.24, which is higher than the SPDW Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of HDEF and SPDW, 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 Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
1.24
0.63
HDEF
SPDW

Dividends

HDEF vs. SPDW - Dividend Comparison

HDEF's dividend yield for the trailing twelve months is around 3.89%, more than SPDW's 2.90% yield.


TTM20242023202220212020201920182017201620152014
HDEF
Xtrackers MSCI EAFE High Dividend Yield Equity ETF
3.89%4.53%4.38%5.41%4.76%3.93%4.20%3.55%3.38%9.13%1.72%0.00%
SPDW
SPDR Portfolio World ex-US ETF
2.90%3.19%2.75%3.12%3.04%1.87%3.13%3.08%1.86%3.11%2.79%3.51%

Drawdowns

HDEF vs. SPDW - Drawdown Comparison

The maximum HDEF drawdown since its inception was -36.43%, smaller than the maximum SPDW drawdown of -60.02%. Use the drawdown chart below to compare losses from any high point for HDEF and SPDW. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-0.11%
-0.61%
HDEF
SPDW

Volatility

HDEF vs. SPDW - Volatility Comparison

The current volatility for Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) is 10.04%, while SPDR Portfolio World ex-US ETF (SPDW) has a volatility of 11.45%. This indicates that HDEF experiences smaller price fluctuations and is considered to be less risky than SPDW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
10.04%
11.45%
HDEF
SPDW