HEFA vs. ESGN

Last updated Jun 24, 2026

HEFA (iShares Currency Hedged MSCI EAFE ETF) and ESGN (Columbia Sustainable International Equity Income ETF) are both Foreign Large Cap Equities funds - HEFA tracks the MSCI EAFE 100% Hedged to USD Index while ESGN tracks the MSCI Beta ADV Sust Intl Equity Income 100. Both are passively managed. Over the past 10 years, HEFA returned 13.44%/yr vs 9.59%/yr for ESGN. A 0.72 correlation means they provide meaningful diversification when combined. HEFA charges 0.35%/yr vs 0.45%/yr for ESGN.

Performance

HEFA vs. ESGN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Currency Hedged MSCI EAFE ETF (HEFA) and Columbia Sustainable International Equity Income ETF (ESGN). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HEFA achieves a 12.09% return, which is significantly higher than ESGN's 5.17% return. Over the past 10 years, HEFA has outperformed ESGN with an annualized return of 13.44%, while ESGN has yielded a comparatively lower 9.59% annualized return.

HEFA

• 1D: -1.61%
• 1M: 2.31%
• YTD: 12.09%
• 6M: 12.33%
• 1Y: 29.40%
• 3Y*: 19.37%
• 5Y*: 13.74%
• 10Y*: 13.44%

ESGN

• 1D: -0.95%
• 1M: -2.95%
• YTD: 5.17%
• 6M: 5.43%
• 1Y: 23.37%
• 3Y*: 19.18%
• 5Y*: 11.66%
• 10Y*: 9.59%

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

HEFA vs. ESGN - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HEFA iShares Currency Hedged MSCI EAFE ETF	12.09%	24.58%	13.71%	20.33%	-4.86%	19.59%	2.09%	27.63%	-9.33%	16.67%
ESGN Columbia Sustainable International Equity Income ETF	5.17%	39.85%	6.02%	20.88%	-5.95%	10.18%	-0.52%	15.83%	-18.30%	24.88%

Correlation

The correlation between HEFA and ESGN is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (10Y) Calculated over the trailing 10-year period	0.72
Correlation (All Time) Calculated using the full available price history since Jun 13, 2016	0.72

The correlation between HEFA and ESGN has been stable across timeframes, ranging from 0.72 to 0.80 - a consistent structural relationship.

HEFA vs. ESGN - Sectors Allocation Comparison

Sectors	HEFA	ESGN
Financial Services	24.3%	15.4%
Industrials	18.0%	15.8%
Technology	12.5%	7.0%
Healthcare	9.5%	3.9%
Consumer Cyclical	7.1%	6.6%
Consumer Defensive	6.5%	3.5%
Basic Materials	6.0%	1.9%
Communication Services	4.3%	1.2%
Utilities	3.4%	9.3%
Energy	3.3%	13.0%
Real Estate	1.4%	0.2%

Return for Risk

HEFA vs. ESGN — Risk / Return Rank

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

HEFA

HEFA Risk / Return Rank: 72
HEFA Sharpe Ratio Rank: 74
HEFA Sortino Ratio Rank: 74
HEFA Omega Ratio Rank: 75
HEFA Calmar Ratio Rank: 65
HEFA Martin Ratio Rank: 73

ESGN

ESGN Risk / Return Rank: 54
ESGN Sharpe Ratio Rank: 54
ESGN Sortino Ratio Rank: 54
ESGN Omega Ratio Rank: 53
ESGN Calmar Ratio Rank: 54
ESGN Martin Ratio Rank: 53

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.

HEFA vs. ESGN - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) and Columbia Sustainable International Equity Income ETF (ESGN). 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.

	HEFA	ESGN	Difference
Sharpe ratio: Return per unit of total volatility	2.25	1.70	+0.55
Sortino ratio: Return per unit of downside risk	3.13	2.40	+0.73
Omega ratio: Gain probability vs. loss probability	1.42	1.31	+0.11
Calmar ratio: Return relative to maximum drawdown	3.10	2.46	+0.65
Martin ratio: Return relative to average drawdown	12.99	8.42	+4.56

HEFA vs. ESGN - Sharpe Ratio Comparison

The current HEFA Sharpe Ratio is 2.25, which is higher than the ESGN Sharpe Ratio of 1.70. The chart below compares the historical Sharpe Ratios of HEFA and ESGN, 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

HEFA vs. ESGN - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, smaller than the maximum ESGN drawdown of -41.71%. Use the drawdown chart below to compare losses from any high point for HEFA and ESGN.

Drawdown Indicators

	HEFA	ESGN	Difference
Max Drawdown Largest peak-to-trough decline	-32.39%	-41.71%	+9.32%
Max Drawdown (1Y) Largest decline over 1 year	-9.52%	-9.56%	+0.04%
Max Drawdown (3Y) Largest decline over 3 years	-14.28%	-14.38%	+0.10%
Max Drawdown (5Y) Largest decline over 5 years	-14.79%	-24.51%	+9.72%
Max Drawdown (10Y) Largest decline over 10 years	-32.39%	-41.71%	+9.32%
Current Drawdown Current decline from peak	-1.61%	-5.44%	+3.83%
Average Drawdown Average peak-to-trough decline	-4.15%	-7.04%	+2.89%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.27%	2.78%	-0.51%

Volatility

HEFA vs. ESGN - Volatility Comparison

iShares Currency Hedged MSCI EAFE ETF (HEFA) has a higher volatility of 4.50% compared to Columbia Sustainable International Equity Income ETF (ESGN) at 3.96%. This indicates that HEFA's price experiences larger fluctuations and is considered to be riskier than ESGN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HEFA	ESGN	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.50%	3.96%	+0.54%
Volatility (6M) Calculated over the trailing 6-month period	10.80%	11.06%	-0.26%
Volatility (1Y) Calculated over the trailing 1-year period	13.11%	13.77%	-0.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.86%	15.33%	-1.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.71%	16.34%	-0.63%

HEFA vs. ESGN - Expense Ratio Comparison

HEFA has a 0.35% expense ratio, which is lower than ESGN's 0.45% expense ratio.

Dividends

HEFA vs. ESGN - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 3.92%, less than ESGN's 9.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGN Columbia Sustainable International Equity Income ETF	9.38%	9.76%	3.11%	3.27%	3.57%	3.43%	2.64%	3.34%	7.25%	4.63%	2.52%	0.00%
HEFA iShares Currency Hedged MSCI EAFE ETF	3.92%	4.40%	3.09%	3.02%	25.14%	3.06%	2.10%	7.56%	4.58%	2.55%	3.17%	3.54%

Frequently Asked Questions

Can I hold both HEFA and ESGN in my portfolio?

HEFA and ESGN have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HEFA or ESGN?

HEFA has higher volatility (4.50%) compared to ESGN (3.96%). In terms of maximum drawdown, HEFA dropped -32.39% vs ESGN's -41.71%.

Which ETF is better, HEFA or ESGN?

On 10-year performance, HEFA leads with 13.44% vs 9.59% for ESGN. On fees, HEFA is cheaper at 0.35% per year. On volatility, ESGN has been the lower-risk option at 3.96%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, HEFA or ESGN?

Over the 10-year period, HEFA has performed better with a 13.44% return vs 9.59%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, HEFA or ESGN?

HEFA is cheaper with a 0.35% expense ratio, compared with 0.45% for ESGN.

Which ETF pays a higher dividend yield, HEFA or ESGN?

ESGN has the higher dividend yield at 9.38%, compared with 3.92% for HEFA.

What is the main difference between HEFA and ESGN?

HEFA tracks MSCI EAFE 100% Hedged to USD Index, while ESGN tracks MSCI Beta ADV Sust Intl Equity Income 100. They also come from different issuers: iShares and Ameriprise Financial. Their fees differ too: 0.35% for HEFA and 0.45% for ESGN.

Which has better risk-adjusted returns?

HEFA currently has the higher Sharpe Ratio (2.25 vs 1.70), 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.