PortfoliosLab logo
HEFA vs. FNDF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between HEFA and FNDF is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 0.8

Performance

HEFA vs. FNDF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Currency Hedged MSCI EAFE ETF (HEFA) and Schwab Fundamental International Large Company Index ETF (FNDF). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%160.00%NovemberDecember2025FebruaryMarchApril
154.90%
81.43%
HEFA
FNDF

Key characteristics

Sharpe Ratio

HEFA:

0.43

FNDF:

0.58

Sortino Ratio

HEFA:

0.69

FNDF:

0.92

Omega Ratio

HEFA:

1.10

FNDF:

1.12

Calmar Ratio

HEFA:

0.50

FNDF:

0.72

Martin Ratio

HEFA:

2.18

FNDF:

2.11

Ulcer Index

HEFA:

3.24%

FNDF:

4.71%

Daily Std Dev

HEFA:

16.66%

FNDF:

17.20%

Max Drawdown

HEFA:

-32.39%

FNDF:

-40.14%

Current Drawdown

HEFA:

-4.40%

FNDF:

-1.20%

Returns By Period

In the year-to-date period, HEFA achieves a 3.05% return, which is significantly lower than FNDF's 11.41% return. Over the past 10 years, HEFA has outperformed FNDF with an annualized return of 7.70%, while FNDF has yielded a comparatively lower 5.86% annualized return.


HEFA

YTD

3.05%

1M

-3.27%

6M

3.21%

1Y

7.80%

5Y*

14.72%

10Y*

7.70%

FNDF

YTD

11.41%

1M

0.35%

6M

6.59%

1Y

10.59%

5Y*

15.35%

10Y*

5.86%

*Annualized

Compare stocks, funds, or ETFs

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


HEFA vs. FNDF - Expense Ratio Comparison

HEFA has a 0.35% expense ratio, which is higher than FNDF's 0.25% expense ratio.


Expense ratio chart for HEFA: current value is 0.35%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
HEFA: 0.35%
Expense ratio chart for FNDF: current value is 0.25%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FNDF: 0.25%

Risk-Adjusted Performance

HEFA vs. FNDF — Risk-Adjusted Performance Rank

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

HEFA
The Risk-Adjusted Performance Rank of HEFA is 5555
Overall Rank
The Sharpe Ratio Rank of HEFA is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of HEFA is 5050
Sortino Ratio Rank
The Omega Ratio Rank of HEFA is 5151
Omega Ratio Rank
The Calmar Ratio Rank of HEFA is 6060
Calmar Ratio Rank
The Martin Ratio Rank of HEFA is 6262
Martin Ratio Rank

FNDF
The Risk-Adjusted Performance Rank of FNDF is 6363
Overall Rank
The Sharpe Ratio Rank of FNDF is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of FNDF is 6262
Sortino Ratio Rank
The Omega Ratio Rank of FNDF is 6060
Omega Ratio Rank
The Calmar Ratio Rank of FNDF is 7474
Calmar Ratio Rank
The Martin Ratio Rank of FNDF is 6060
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.

HEFA vs. FNDF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) and Schwab Fundamental International Large Company Index ETF (FNDF). 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 HEFA, currently valued at 0.43, compared to the broader market-1.000.001.002.003.004.00
HEFA: 0.43
FNDF: 0.58
The chart of Sortino ratio for HEFA, currently valued at 0.69, compared to the broader market-2.000.002.004.006.008.00
HEFA: 0.69
FNDF: 0.92
The chart of Omega ratio for HEFA, currently valued at 1.10, compared to the broader market0.501.001.502.002.50
HEFA: 1.10
FNDF: 1.12
The chart of Calmar ratio for HEFA, currently valued at 0.50, compared to the broader market0.002.004.006.008.0010.0012.00
HEFA: 0.50
FNDF: 0.72
The chart of Martin ratio for HEFA, currently valued at 2.18, compared to the broader market0.0020.0040.0060.00
HEFA: 2.18
FNDF: 2.11

The current HEFA Sharpe Ratio is 0.43, which is comparable to the FNDF Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of HEFA and FNDF, 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 Ratio0.000.501.001.502.002.50NovemberDecember2025FebruaryMarchApril
0.43
0.58
HEFA
FNDF

Dividends

HEFA vs. FNDF - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 3.00%, less than FNDF's 3.60% yield.


TTM20242023202220212020201920182017201620152014
HEFA
iShares Currency Hedged MSCI EAFE ETF
3.00%3.09%3.01%25.14%3.06%2.10%5.37%4.58%2.55%3.17%3.54%3.39%
FNDF
Schwab Fundamental International Large Company Index ETF
3.60%4.01%3.41%3.10%3.54%2.17%3.20%3.47%2.32%2.42%2.08%1.84%

Drawdowns

HEFA vs. FNDF - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, smaller than the maximum FNDF drawdown of -40.14%. Use the drawdown chart below to compare losses from any high point for HEFA and FNDF. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-4.40%
-1.20%
HEFA
FNDF

Volatility

HEFA vs. FNDF - Volatility Comparison

iShares Currency Hedged MSCI EAFE ETF (HEFA) has a higher volatility of 12.15% compared to Schwab Fundamental International Large Company Index ETF (FNDF) at 11.43%. This indicates that HEFA's price experiences larger fluctuations and is considered to be riskier than FNDF 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
12.15%
11.43%
HEFA
FNDF