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

Key characteristics


HEFAHEZU
YTD Return8.60%7.48%
1Y Return17.77%14.82%
3Y Return (Ann)10.66%9.80%
5Y Return (Ann)10.59%10.43%
Sharpe Ratio1.931.40
Daily Std Dev9.74%11.25%
Max Drawdown-32.39%-38.80%
Current Drawdown-1.95%-3.16%

Correlation

0.93
-1.001.00

The correlation between HEFA and HEZU is 0.93, 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.

Performance

HEFA vs. HEZU - Performance Comparison

In the year-to-date period, HEFA achieves a 8.60% return, which is significantly higher than HEZU's 7.48% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
15.43%
18.78%
HEFA
HEZU

Compare stocks, funds, or ETFs


iShares Currency Hedged MSCI EAFE ETF

iShares Currency Hedged MSCI Eurozone ETF

HEFA vs. HEZU - Expense Ratio Comparison

HEFA has a 0.35% expense ratio, which is lower than HEZU's 0.52% expense ratio.

HEZU
iShares Currency Hedged MSCI Eurozone ETF
0.50%1.00%1.50%2.00%0.52%
0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

HEFA vs. HEZU - 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 Eurozone ETF (HEZU). 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
Sharpe ratio
The Sharpe ratio of HEFA compared to the broader market0.002.004.001.93
Sortino ratio
The Sortino ratio of HEFA compared to the broader market-2.000.002.004.006.008.002.72
Omega ratio
The Omega ratio of HEFA compared to the broader market1.001.502.002.501.34
Calmar ratio
The Calmar ratio of HEFA compared to the broader market0.002.004.006.008.0010.0012.002.77
Martin ratio
The Martin ratio of HEFA compared to the broader market0.0020.0040.0060.0080.009.66
HEZU
Sharpe ratio
The Sharpe ratio of HEZU compared to the broader market0.002.004.001.40
Sortino ratio
The Sortino ratio of HEZU compared to the broader market-2.000.002.004.006.008.001.98
Omega ratio
The Omega ratio of HEZU compared to the broader market1.001.502.002.501.24
Calmar ratio
The Calmar ratio of HEZU compared to the broader market0.002.004.006.008.0010.0012.001.52
Martin ratio
The Martin ratio of HEZU compared to the broader market0.0020.0040.0060.0080.004.73

HEFA vs. HEZU - Sharpe Ratio Comparison

The current HEFA Sharpe Ratio is 1.93, which is higher than the HEZU Sharpe Ratio of 1.40. The chart below compares the 12-month rolling Sharpe Ratio of HEFA and HEZU.


Rolling 12-month Sharpe Ratio1.001.502.002.50NovemberDecember2024FebruaryMarchApril
1.93
1.40
HEFA
HEZU

Dividends

HEFA vs. HEZU - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 2.78%, more than HEZU's 2.34% yield.


TTM2023202220212020201920182017201620152014
HEFA
iShares Currency Hedged MSCI EAFE ETF
2.78%3.02%25.14%3.06%2.10%5.37%4.59%2.55%3.17%3.54%3.39%
HEZU
iShares Currency Hedged MSCI Eurozone ETF
2.34%2.52%23.26%2.25%2.32%5.40%3.48%1.92%3.11%2.68%1.15%

Drawdowns

HEFA vs. HEZU - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, smaller than the maximum HEZU drawdown of -38.80%. The drawdown chart below compares losses from any high point along the way for HEFA and HEZU


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2024FebruaryMarchApril
-1.95%
-3.16%
HEFA
HEZU

Volatility

HEFA vs. HEZU - Volatility Comparison

The current volatility for iShares Currency Hedged MSCI EAFE ETF (HEFA) is 2.34%, while iShares Currency Hedged MSCI Eurozone ETF (HEZU) has a volatility of 2.70%. This indicates that HEFA experiences smaller price fluctuations and is considered to be less risky than HEZU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%NovemberDecember2024FebruaryMarchApril
2.34%
2.70%
HEFA
HEZU