HEFA vs. IDHQ
HEFA (iShares Currency Hedged MSCI EAFE ETF) and IDHQ (Invesco S&P International Developed High Quality ETF) are both Foreign Large Cap Equities funds - HEFA tracks the MSCI EAFE 100% Hedged to USD Index while IDHQ tracks the IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. Both are passively managed. Over the past 10 years, HEFA returned 12.68%/yr vs 10.56%/yr for IDHQ. A 0.74 correlation means they provide meaningful diversification when combined. HEFA charges 0.35%/yr vs 0.29%/yr for IDHQ.
Performance
HEFA vs. IDHQ - Performance Comparison
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Returns By Period
In the year-to-date period, HEFA achieves a 12.61% return, which is significantly lower than IDHQ's 24.14% return. Over the past 10 years, HEFA has outperformed IDHQ with an annualized return of 12.68%, while IDHQ has yielded a comparatively lower 10.56% annualized return.
HEFA
- 1D
- -0.47%
- 1M
- 0.20%
- 6M
- 7.81%
- YTD
- 12.61%
- 1Y
- 26.92%
- 3Y*
- 18.90%
- 5Y*
- 14.10%
- 10Y*
- 12.68%
IDHQ
- 1D
- -0.25%
- 1M
- 1.40%
- 6M
- 17.71%
- YTD
- 24.14%
- 1Y
- 35.93%
- 3Y*
- 18.62%
- 5Y*
- 9.52%
- 10Y*
- 10.56%
HEFA vs. IDHQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
HEFA iShares Currency Hedged MSCI EAFE ETF | 12.61% | 24.58% | 13.71% | 20.33% | -4.86% | 19.59% | 2.09% | 27.63% | -9.33% | 16.67% |
IDHQ Invesco S&P International Developed High Quality ETF | 24.14% | 27.46% | 1.33% | 18.80% | -20.23% | 11.38% | 16.09% | 29.58% | -13.38% | 28.16% |
Correlation
The correlation between HEFA and IDHQ is 0.83, 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 | 0.83 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.81 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Feb 14, 2014 | 0.74 |
The correlation between HEFA and IDHQ has been stable across timeframes, ranging from 0.74 to 0.84 - a consistent structural relationship.
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Return for Risk
HEFA vs. IDHQ — Risk / Return Rank
HEFA
IDHQ
HEFA vs. IDHQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) and Invesco S&P International Developed High Quality ETF (IDHQ). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| HEFA | IDHQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.32 | ||
| Sortino ratioReturn per unit of downside risk | +0.38 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.32 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 2.84 | 2.69 | +0.16 |
| Martin ratioReturn relative to average drawdown | 11.80 | 10.55 | +1.25 |
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Drawdowns
HEFA vs. IDHQ - Drawdown Comparison
The maximum HEFA drawdown since its inception was -32.39%, smaller than the maximum IDHQ drawdown of -73.84%. Use the drawdown chart below to compare losses from any high point for HEFA and IDHQ.
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Drawdown Indicators
| HEFA | IDHQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.39% | -73.84% | +41.45% |
Max Drawdown (1Y)Largest decline over 1 year | -9.52% | -13.44% | +3.92% |
Max Drawdown (3Y)Largest decline over 3 years | -14.28% | -14.07% | -0.21% |
Max Drawdown (5Y)Largest decline over 5 years | -14.79% | -33.54% | +18.75% |
Max Drawdown (10Y)Largest decline over 10 years | -32.39% | -33.54% | +1.15% |
Current DrawdownCurrent decline from peak | -1.96% | -2.44% | +0.48% |
Average DrawdownAverage peak-to-trough decline | -4.14% | -21.07% | +16.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.29% | 3.41% | -1.12% |
Volatility
HEFA vs. IDHQ - Volatility Comparison
The current volatility for iShares Currency Hedged MSCI EAFE ETF (HEFA) is 3.23%, while Invesco S&P International Developed High Quality ETF (IDHQ) has a volatility of 5.73%. This indicates that HEFA experiences smaller price fluctuations and is considered to be less risky than IDHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| HEFA | IDHQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.23% | 5.73% | -2.50% |
Volatility (6M)Calculated over the trailing 6-month period | 10.84% | 18.90% | -8.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.14% | 20.74% | -7.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.84% | 17.83% | -3.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.65% | 17.96% | -2.31% |
HEFA vs. IDHQ - Expense Ratio Comparison
HEFA has a 0.35% expense ratio, which is higher than IDHQ's 0.29% expense ratio.
Dividends
HEFA vs. IDHQ - Dividend Comparison
HEFA's dividend yield for the trailing twelve months is around 4.08%, more than IDHQ's 2.04% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HEFA iShares Currency Hedged MSCI EAFE ETF | 4.08% | 4.40% | 3.09% | 3.02% | 25.14% | 3.06% | 2.10% | 7.56% | 4.58% | 2.55% | 3.17% | 3.54% |
IDHQ Invesco S&P International Developed High Quality ETF | 2.04% | 2.46% | 2.41% | 2.52% | 3.33% | 2.10% | 1.60% | 2.10% | 2.67% | 1.68% | 2.36% | 1.71% |
Frequently Asked Questions
HEFA and IDHQ have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IDHQ has higher volatility (5.73%) compared to HEFA (3.23%). In terms of maximum drawdown, HEFA dropped -32.39% vs IDHQ's -73.84%.
On 10-year performance, HEFA leads with 12.68% vs 10.56% for IDHQ. On fees, IDHQ is cheaper at 0.29% per year. On volatility, HEFA has been the lower-risk option at 3.23%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, HEFA has performed better with a 12.68% return vs 10.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IDHQ is cheaper with a 0.29% expense ratio, compared with 0.35% for HEFA.
HEFA has the higher dividend yield at 4.08%, compared with 2.04% for IDHQ.
HEFA tracks MSCI EAFE 100% Hedged to USD Index, while IDHQ tracks IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.35% for HEFA and 0.29% for IDHQ.
HEFA currently has the higher Sharpe Ratio (2.06 vs 1.74), 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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