PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
HEFA vs. HEZU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

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.


-0.50.00.51.00.9

Performance

HEFA vs. HEZU - 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 Eurozone ETF (HEZU). The values are adjusted to include any dividend payments, if applicable.

120.00%125.00%130.00%135.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
135.13%
136.96%
HEFA
HEZU

Key characteristics

Sharpe Ratio

HEFA:

1.27

HEZU:

0.87

Sortino Ratio

HEFA:

1.72

HEZU:

1.26

Omega Ratio

HEFA:

1.23

HEZU:

1.15

Calmar Ratio

HEFA:

1.44

HEZU:

1.12

Martin Ratio

HEFA:

6.54

HEZU:

3.70

Ulcer Index

HEFA:

2.15%

HEZU:

2.91%

Daily Std Dev

HEFA:

11.09%

HEZU:

12.31%

Max Drawdown

HEFA:

-32.39%

HEZU:

-38.80%

Current Drawdown

HEFA:

-2.81%

HEZU:

-2.86%

Returns By Period

In the year-to-date period, HEFA achieves a 12.70% return, which is significantly higher than HEZU's 10.46% return. Both investments have delivered pretty close results over the past 10 years, with HEFA having a 8.65% annualized return and HEZU not far ahead at 8.72%.


HEFA

YTD

12.70%

1M

0.32%

6M

0.63%

1Y

13.37%

5Y*

9.38%

10Y*

8.65%

HEZU

YTD

10.46%

1M

1.94%

6M

0.69%

1Y

10.27%

5Y*

8.75%

10Y*

8.72%

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. 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
Expense ratio chart for HEZU: current value at 0.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.52%
Expense ratio chart for HEFA: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.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.


Sharpe ratio
The chart of Sharpe ratio for HEFA, currently valued at 1.27, compared to the broader market0.002.004.001.270.87
The chart of Sortino ratio for HEFA, currently valued at 1.72, compared to the broader market-2.000.002.004.006.008.0010.001.721.26
The chart of Omega ratio for HEFA, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.231.15
The chart of Calmar ratio for HEFA, currently valued at 1.44, compared to the broader market0.005.0010.0015.001.441.12
The chart of Martin ratio for HEFA, currently valued at 6.54, compared to the broader market0.0020.0040.0060.0080.00100.006.543.70
HEFA
HEZU

The current HEFA Sharpe Ratio is 1.27, which is higher than the HEZU Sharpe Ratio of 0.87. The chart below compares the historical Sharpe Ratios of HEFA and HEZU, 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 Ratio1.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.27
0.87
HEFA
HEZU

Dividends

HEFA vs. HEZU - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 2.86%, more than HEZU's 2.79% yield.


TTM2023202220212020201920182017201620152014
HEFA
iShares Currency Hedged MSCI EAFE ETF
2.86%3.01%25.14%3.06%2.10%5.37%4.58%2.55%3.17%3.54%3.39%
HEZU
iShares Currency Hedged MSCI Eurozone ETF
2.79%2.52%23.25%2.25%2.32%5.40%3.47%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%. Use the drawdown chart below to compare losses from any high point for HEFA and HEZU. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.81%
-2.86%
HEFA
HEZU

Volatility

HEFA vs. HEZU - Volatility Comparison

iShares Currency Hedged MSCI EAFE ETF (HEFA) has a higher volatility of 2.76% compared to iShares Currency Hedged MSCI Eurozone ETF (HEZU) at 2.57%. This indicates that HEFA's price experiences larger fluctuations and is considered to be riskier than HEZU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.76%
2.57%
HEFA
HEZU
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab