HEFA vs. FIVLX
HEFA (iShares Currency Hedged MSCI EAFE ETF) and FIVLX (Fidelity International Value Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, HEFA returned 12.60%/yr vs 9.41%/yr for FIVLX. Their correlation of 0.81 suggests significant overlap in exposure. HEFA charges 0.35%/yr vs 1.01%/yr for FIVLX.
Performance
HEFA vs. FIVLX - Performance Comparison
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Returns By Period
In the year-to-date period, HEFA achieves a 10.24% return, which is significantly higher than FIVLX's 7.08% return. Over the past 10 years, HEFA has outperformed FIVLX with an annualized return of 12.60%, while FIVLX has yielded a comparatively lower 9.41% annualized return.
HEFA
- 1D
- -0.45%
- 1M
- 4.65%
- YTD
- 10.24%
- 6M
- 12.49%
- 1Y
- 25.95%
- 3Y*
- 18.32%
- 5Y*
- 13.52%
- 10Y*
- 12.60%
FIVLX
- 1D
- 0.33%
- 1M
- 2.86%
- YTD
- 7.08%
- 6M
- 11.18%
- 1Y
- 23.52%
- 3Y*
- 21.69%
- 5Y*
- 12.30%
- 10Y*
- 9.41%
HEFA vs. FIVLX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
HEFA iShares Currency Hedged MSCI EAFE ETF | 10.24% | 24.58% | 13.71% | 20.33% | -4.86% | 19.59% | 2.09% | 27.63% | -9.33% | 16.67% |
FIVLX Fidelity International Value Fund | 7.08% | 43.67% | 5.33% | 19.27% | -7.99% | 14.89% | 3.36% | 18.92% | -17.17% | 17.85% |
Correlation
The correlation between HEFA and FIVLX is 0.82, 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 | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.82 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.83 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Feb 18, 2014 | 0.81 |
The correlation between HEFA and FIVLX has been stable across timeframes, ranging from 0.81 to 0.83 - a consistent structural relationship.
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Return for Risk
HEFA vs. FIVLX — Risk / Return Rank
HEFA
FIVLX
HEFA vs. FIVLX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) and Fidelity International Value Fund (FIVLX). 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.
| HEFA | FIVLX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.52 | ||
| Sortino ratioReturn per unit of downside risk | +0.69 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.28 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 2.74 | 2.17 | +0.57 |
| Martin ratioReturn relative to average drawdown | 11.43 | 8.03 | +3.41 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| HEFA | FIVLX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.07 | 1.55 | +0.52 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.99 | 0.75 | +0.24 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.80 | 0.53 | +0.27 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.66 | 0.22 | +0.44 |
Drawdowns
HEFA vs. FIVLX - Drawdown Comparison
The maximum HEFA drawdown since its inception was -32.39%, smaller than the maximum FIVLX drawdown of -65.21%. Use the drawdown chart below to compare losses from any high point for HEFA and FIVLX.
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Drawdown Indicators
| HEFA | FIVLX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.39% | -65.21% | +32.82% |
Max Drawdown (1Y)Largest decline over 1 year | -9.52% | -10.44% | +0.92% |
Max Drawdown (3Y)Largest decline over 3 years | -14.28% | -14.48% | +0.20% |
Max Drawdown (5Y)Largest decline over 5 years | -14.79% | -27.49% | +12.70% |
Max Drawdown (10Y)Largest decline over 10 years | -32.39% | -43.43% | +11.04% |
Current DrawdownCurrent decline from peak | -0.45% | -1.37% | +0.92% |
Average DrawdownAverage peak-to-trough decline | -4.17% | -17.07% | +12.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.28% | 2.82% | -0.54% |
Volatility
HEFA vs. FIVLX - Volatility Comparison
The current volatility for iShares Currency Hedged MSCI EAFE ETF (HEFA) is 4.05%, while Fidelity International Value Fund (FIVLX) has a volatility of 4.73%. This indicates that HEFA experiences smaller price fluctuations and is considered to be less risky than FIVLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| HEFA | FIVLX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 4.73% | -0.68% |
Volatility (6M)Calculated over the trailing 6-month period | 10.13% | 11.82% | -1.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.59% | 14.65% | -2.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.76% | 16.55% | -2.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.86% | 17.92% | -2.06% |
HEFA vs. FIVLX - Expense Ratio Comparison
HEFA has a 0.35% expense ratio, which is lower than FIVLX's 1.01% expense ratio.
Dividends
HEFA vs. FIVLX - Dividend Comparison
HEFA's dividend yield for the trailing twelve months is around 3.99%, more than FIVLX's 2.17% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FIVLX Fidelity International Value Fund | 2.17% | 2.32% | 2.90% | 2.06% | 1.85% | 4.35% | 1.74% | 3.54% | 3.33% | 0.15% | 2.71% | 1.44% |
HEFA iShares Currency Hedged MSCI EAFE ETF | 3.99% | 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
HEFA and FIVLX have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FIVLX has higher volatility (4.73%) compared to HEFA (4.05%). In terms of maximum drawdown, HEFA dropped -32.39% vs FIVLX's -65.21%.
HEFA currently has the higher Sharpe Ratio (2.07 vs 1.55), 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.
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