HEDJ vs. EFA

Last updated Jun 3, 2026

HEDJ (WisdomTree Europe Hedged Equity Fund) and EFA (iShares MSCI EAFE ETF) are both exchange-traded funds - HEDJ is a Europe Equities fund tracking the WisdomTree Europe Hedged Equity Index, while EFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Both are passively managed. Over the past 10 years, HEDJ returned 10.77%/yr vs 9.21%/yr for EFA. Their correlation of 0.80 suggests significant overlap in exposure. HEDJ charges 0.58%/yr vs 0.32%/yr for EFA.

Performance

HEDJ vs. EFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Europe Hedged Equity Fund (HEDJ) and iShares MSCI EAFE ETF (EFA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HEDJ achieves a 7.31% return, which is significantly lower than EFA's 9.36% return. Over the past 10 years, HEDJ has outperformed EFA with an annualized return of 10.77%, while EFA has yielded a comparatively lower 9.21% annualized return.

HEDJ

• 1D: 0.62%
• 1M: 4.52%
• YTD: 7.31%
• 6M: 9.08%
• 1Y: 16.42%
• 3Y*: 14.75%
• 5Y*: 11.26%
• 10Y*: 10.77%

EFA

• 1D: 0.56%
• 1M: 2.86%
• YTD: 9.36%
• 6M: 12.50%
• 1Y: 21.18%
• 3Y*: 16.77%
• 5Y*: 8.66%
• 10Y*: 9.21%

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

HEDJ vs. EFA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HEDJ WisdomTree Europe Hedged Equity Fund	7.31%	23.55%	5.28%	26.89%	-10.09%	23.54%	-3.35%	27.50%	-9.27%	13.51%
EFA iShares MSCI EAFE ETF	9.36%	31.55%	3.49%	18.36%	-14.39%	11.45%	7.60%	22.04%	-13.82%	25.07%

Correlation

The correlation between HEDJ and EFA is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.81
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.84
Correlation (All Time) Calculated using the full available price history since Jan 4, 2010	0.80

The correlation between HEDJ and EFA has been stable across timeframes, ranging from 0.80 to 0.84 - a consistent structural relationship.

HEDJ vs. EFA - Sectors Allocation Comparison

Sectors	HEDJ	EFA
Industrials	22.9%	19.9%
Financial Services	15.0%	24.6%
Consumer Cyclical	13.4%	7.6%
Consumer Defensive	12.7%	6.7%
Technology	11.0%	10.4%
Healthcare	8.4%	10.6%
Basic Materials	7.0%	5.9%
Communication Services	5.5%	4.5%
Energy	4.0%	4.0%
Real Estate	-	1.9%
Utilities	-	4.0%

Return for Risk

HEDJ vs. EFA — Risk / Return Rank

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

HEDJ

HEDJ Risk / Return Rank: 31
HEDJ Sharpe Ratio Rank: 30
HEDJ Sortino Ratio Rank: 30
HEDJ Omega Ratio Rank: 29
HEDJ Calmar Ratio Rank: 29
HEDJ Martin Ratio Rank: 37

EFA

EFA Risk / Return Rank: 41
EFA Sharpe Ratio Rank: 39
EFA Sortino Ratio Rank: 40
EFA Omega Ratio Rank: 40
EFA Calmar Ratio Rank: 39
EFA Martin Ratio Rank: 45

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.

HEDJ vs. EFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Europe Hedged Equity Fund (HEDJ) 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.

	HEDJ	EFA	Difference
Sharpe ratio Return per unit of total volatility	1.07	1.42	-0.35
Sortino ratio Return per unit of downside risk	1.61	2.05	-0.44
Omega ratio Gain probability vs. loss probability	1.20	1.26	-0.06
Calmar ratio Return relative to maximum drawdown	1.43	1.97	-0.53
Martin ratio Return relative to average drawdown	5.72	7.39	-1.67
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HEDJ vs. EFA - Sharpe Ratio Comparison

The current HEDJ Sharpe Ratio is 1.07, which is comparable to the EFA Sharpe Ratio of 1.42. The chart below compares the historical Sharpe Ratios of HEDJ 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.

Sharpe Ratios by Period

	HEDJ	EFA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.07	1.42	-0.35
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.68	0.53	+0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.59	0.54	+0.05
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	0.31	+0.17

Drawdowns

HEDJ vs. EFA - Drawdown Comparison

The maximum HEDJ drawdown since its inception was -38.18%, smaller than the maximum EFA drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for HEDJ and EFA.

Drawdown Indicators

	HEDJ	EFA	Difference
Max Drawdown Largest peak-to-trough decline	-38.18%	-61.04%	+22.86%
Max Drawdown (1Y) Largest decline over 1 year	-11.90%	-11.42%	-0.48%
Max Drawdown (3Y) Largest decline over 3 years	-15.93%	-14.05%	-1.88%
Max Drawdown (5Y) Largest decline over 5 years	-22.17%	-29.53%	+7.36%
Max Drawdown (10Y) Largest decline over 10 years	-38.18%	-34.19%	-3.99%
Current Drawdown Current decline from peak	-0.33%	-0.61%	+0.28%
Average Drawdown Average peak-to-trough decline	-5.92%	-11.94%	+6.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.98%	3.04%	-0.06%

Volatility

HEDJ vs. EFA - Volatility Comparison

WisdomTree Europe Hedged Equity Fund (HEDJ) has a higher volatility of 5.89% compared to iShares MSCI EAFE ETF (EFA) at 5.12%. This indicates that HEDJ's price experiences larger fluctuations and is considered to be riskier than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HEDJ	EFA	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.89%	5.12%	+0.77%
Volatility (6M) Calculated over the trailing 6-month period	12.49%	12.49%	0.00%
Volatility (1Y) Calculated over the trailing 1-year period	15.41%	15.06%	+0.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.75%	16.48%	+0.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.41%	17.26%	+1.15%

HEDJ vs. EFA - Expense Ratio Comparison

HEDJ has a 0.58% expense ratio, which is higher than EFA's 0.32% expense ratio.

Dividends

HEDJ vs. EFA - Dividend Comparison

HEDJ's dividend yield for the trailing twelve months is around 1.52%, less than EFA's 3.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
HEDJ WisdomTree Europe Hedged Equity Fund	1.52%	1.63%	3.28%	3.31%	2.83%	2.08%	2.65%	1.82%	2.73%	2.27%	2.74%	9.43%

Frequently Asked Questions

Can I hold both HEDJ and EFA in my portfolio?

HEDJ and EFA have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HEDJ or EFA?

HEDJ has higher volatility (5.89%) compared to EFA (5.12%). In terms of maximum drawdown, HEDJ dropped -38.18% vs EFA's -61.04%.

Which ETF is better, HEDJ or EFA?

On 10-year performance, HEDJ leads with 10.77% vs 9.21% for EFA. On fees, EFA is cheaper at 0.32% per year. On volatility, EFA has been the lower-risk option at 5.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, HEDJ or EFA?

Over the 10-year period, HEDJ has performed better with a 10.77% return vs 9.21%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, HEDJ or EFA?

EFA is cheaper with a 0.32% expense ratio, compared with 0.58% for HEDJ.

Which ETF pays a higher dividend yield, HEDJ or EFA?

EFA has the higher dividend yield at 3.09%, compared with 1.52% for HEDJ.

What is the main difference between HEDJ and EFA?

HEDJ is categorized as Europe Equities, while EFA is Foreign Large Cap Equities. HEDJ tracks WisdomTree Europe Hedged Equity Index, while EFA tracks MSCI EAFE Index (Net). They also come from different issuers: WisdomTree and iShares. Their fees differ too: 0.58% for HEDJ and 0.32% for EFA.

Which has better risk-adjusted returns?

EFA currently has the higher Sharpe Ratio (1.42 vs 1.07), 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.