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HEFA vs. HEWJ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

HEFA vs. HEWJ - Performance Comparison

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

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Key characteristics

Sharpe Ratio

HEFA:

0.50

HEWJ:

0.03

Sortino Ratio

HEFA:

0.87

HEWJ:

0.28

Omega Ratio

HEFA:

1.12

HEWJ:

1.04

Calmar Ratio

HEFA:

0.66

HEWJ:

0.10

Martin Ratio

HEFA:

2.86

HEWJ:

0.25

Ulcer Index

HEFA:

3.29%

HEWJ:

8.01%

Daily Std Dev

HEFA:

16.95%

HEWJ:

26.09%

Max Drawdown

HEFA:

-32.39%

HEWJ:

-31.53%

Current Drawdown

HEFA:

-0.80%

HEWJ:

-2.44%

Returns By Period

In the year-to-date period, HEFA achieves a 9.08% return, which is significantly higher than HEWJ's 3.58% return. Over the past 10 years, HEFA has underperformed HEWJ with an annualized return of 8.66%, while HEWJ has yielded a comparatively higher 9.34% annualized return.


HEFA

YTD
9.08%
1M
-0.71%
6M
8.05%
1Y
8.32%
3Y*
15.85%
5Y*
13.57%
10Y*
8.66%

HEWJ

YTD
3.58%
1M
0.54%
6M
2.91%
1Y
0.85%
3Y*
20.37%
5Y*
17.57%
10Y*
9.34%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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HEFA vs. HEWJ - Expense Ratio Comparison

HEFA has a 0.35% expense ratio, which is lower than HEWJ's 0.49% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

HEFA vs. HEWJ — 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 4747
Overall Rank
The Sharpe Ratio Rank of HEFA is 4040
Sharpe Ratio Rank
The Sortino Ratio Rank of HEFA is 4040
Sortino Ratio Rank
The Omega Ratio Rank of HEFA is 4242
Omega Ratio Rank
The Calmar Ratio Rank of HEFA is 5454
Calmar Ratio Rank
The Martin Ratio Rank of HEFA is 5959
Martin Ratio Rank

HEWJ
The Risk-Adjusted Performance Rank of HEWJ is 1717
Overall Rank
The Sharpe Ratio Rank of HEWJ is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of HEWJ is 1717
Sortino Ratio Rank
The Omega Ratio Rank of HEWJ is 1717
Omega Ratio Rank
The Calmar Ratio Rank of HEWJ is 1818
Calmar Ratio Rank
The Martin Ratio Rank of HEWJ is 1717
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. HEWJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) and iShares Currency Hedged MSCI Japan ETF (HEWJ). 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 current HEFA Sharpe Ratio is 0.50, which is higher than the HEWJ Sharpe Ratio of 0.03. The chart below compares the historical Sharpe Ratios of HEFA and HEWJ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Correlation

The correlation between HEFA and HEWJ is 0.67, 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.


Dividends

HEFA vs. HEWJ - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 2.98%, more than HEWJ's 2.46% yield.


TTM20242023202220212020201920182017201620152014
HEFA
iShares Currency Hedged MSCI EAFE ETF
2.98%3.09%3.01%25.14%3.06%2.10%5.37%4.58%2.55%3.17%3.54%3.39%
HEWJ
iShares Currency Hedged MSCI Japan ETF
2.46%2.20%2.03%47.67%2.03%1.20%2.78%1.37%1.21%1.88%3.25%2.15%

Drawdowns

HEFA vs. HEWJ - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, roughly equal to the maximum HEWJ drawdown of -31.53%. Use the drawdown chart below to compare losses from any high point for HEFA and HEWJ.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

HEFA vs. HEWJ - Volatility Comparison

The current volatility for iShares Currency Hedged MSCI EAFE ETF (HEFA) is 2.90%, while iShares Currency Hedged MSCI Japan ETF (HEWJ) has a volatility of 4.65%. This indicates that HEFA experiences smaller price fluctuations and is considered to be less risky than HEWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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