HEFA vs. MCSE

Last updated Aug 4, 2026

HEFA (iShares Currency Hedged MSCI EAFE ETF) and MCSE (Franklin Sustainable International Equity ETF) are both Foreign Large Cap Equities funds. HEFA is passively managed, while MCSE is actively managed. Over the past 3 years, HEFA returned 19.80%/yr vs 0.74%/yr for MCSE. Their 0.68 correlation means they have sometimes moved together and sometimes differently. HEFA charges 0.35%/yr vs 0.59%/yr for MCSE.

Performance

HEFA vs. MCSE - Performance Comparison

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

Returns By Period

In the year-to-date period, HEFA achieves a 14.45% return, which is significantly higher than MCSE's 1.12% return.

HEFA

• 1D: 0.40%
• 1M: 0.61%
• 6M: 9.27%
• YTD: 14.45%
• 1Y: 30.94%
• 3Y*: 19.80%
• 5Y*: 14.04%
• 10Y*: 12.79%
• ALL TIME*: 10.84%

MCSE

• 1D: 0.00%
• 1M: 0.00%
• 6M: 0.00%
• YTD: 1.12%
• 1Y: 4.30%
• 3Y*: 0.74%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.06%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
HEFA iShares Currency Hedged MSCI EAFE ETF	$19.94M	$30.84M	$25.49M
MCSE Franklin Sustainable International Equity ETF	$0.00	$0.00	$0.00

HEFA vs. MCSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
HEFA iShares Currency Hedged MSCI EAFE ETF	14.45%	24.58%	13.71%	20.33%	3.18%
MCSE Franklin Sustainable International Equity ETF	1.12%	7.79%	-9.46%	14.86%	10.04%

Correlation

The correlation between HEFA and MCSE is 0.41, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.41
Correlation (3Y) Balances recent behavior with more history.	0.65
Correlation (All Time) Calculated using the full available price history since Oct 31, 2022	0.68

Over the past year, the correlation between HEFA and MCSE has dropped to 0.41 - well below their long-term average of 0.68, suggesting their price drivers have been diverging.

HEFA vs. MCSE - Sectors Allocation Comparison

Sectors	HEFA	MCSE
Financial Services	24.7%	2.1%
Industrials	18.8%	18.1%
Technology	12.6%	31.1%
Healthcare	10.5%	20.1%
Consumer Cyclical	7.5%	13.8%
Consumer Defensive	6.8%	5.0%
Basic Materials	5.8%	5.1%
Communication Services	4.5%	4.7%
Utilities	3.8%	-
Energy	3.3%	-
Real Estate	1.7%	-

Return for Risk

HEFA vs. MCSE — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

HEFA

HEFA Risk / Return Rank: 89
HEFA Sharpe Ratio Rank: 91
HEFA Sortino Ratio Rank: 91
HEFA Omega Ratio Rank: 91
HEFA Calmar Ratio Rank: 84
HEFA Martin Ratio Rank: 88

MCSE

MCSE Risk / Return Rank: 20
MCSE Sharpe Ratio Rank: 20
MCSE Sortino Ratio Rank: 19
MCSE Omega Ratio Rank: 24
MCSE Calmar Ratio Rank: 18
MCSE Martin Ratio Rank: 18

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

HEFA vs. MCSE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) and Franklin Sustainable International Equity ETF (MCSE). 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	MCSE	Difference
Sharpe ratio: Return per unit of total volatility	2.39	0.46	+1.93
Sortino ratio: Return per unit of downside risk	3.29	0.70	+2.59
Omega ratio: Gain probability vs. loss probability	1.44	1.12	+0.32
Calmar ratio: Return relative to maximum drawdown	3.27	0.45	+2.81
Martin ratio: Return relative to average drawdown	13.64	1.13	+12.51

HEFA vs. MCSE - Sharpe Ratio Comparison

The current HEFA Sharpe Ratio is 2.39, which is higher than the MCSE Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of HEFA and MCSE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

HEFA vs. MCSE - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, which is greater than MCSE's maximum drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for HEFA and MCSE.

Drawdown Indicators

	HEFA	MCSE	Difference
Max Drawdown Largest peak-to-trough decline	-32.39%	-26.36%	-6.03%
Max Drawdown (1Y) Largest decline over 1 year	-9.52%	-10.42%	+0.90%
Max Drawdown (3Y) Largest decline over 3 years	-14.28%	-26.36%	+12.08%
Max Drawdown (5Y) Largest decline over 5 years	-14.79%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-32.39%	—	—
Current Drawdown Current decline from peak	-0.35%	-10.51%	+10.16%
Average Drawdown Average peak-to-trough decline	-4.13%	-8.80%	+4.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.27%	4.37%	-2.10%

Volatility

HEFA vs. MCSE - Volatility Comparison

iShares Currency Hedged MSCI EAFE ETF (HEFA) has a higher volatility of 3.48% compared to Franklin Sustainable International Equity ETF (MCSE) at 0.00%. This indicates that HEFA's price experiences larger fluctuations and is considered to be riskier than MCSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HEFA	MCSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.48%	0.00%	+3.48%
Volatility (6M) Calculated over the trailing 6-month period	10.86%	1.87%	+8.99%
Volatility (1Y) Calculated over the trailing 1-year period	13.02%	10.29%	+2.73%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.85%	19.07%	-5.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.67%	19.07%	-3.40%

HEFA vs. MCSE - Expense Ratio Comparison

HEFA has a 0.35% expense ratio, which is lower than MCSE's 0.59% expense ratio.

Dividends

HEFA vs. MCSE - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 4.01%, more than MCSE's 3.74% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HEFA iShares Currency Hedged MSCI EAFE ETF	4.01%	4.40%	3.09%	3.02%	25.14%	3.06%	2.10%	7.56%	4.58%	2.55%	3.17%	3.54%
MCSE Franklin Sustainable International Equity ETF	3.74%	3.78%	0.63%	0.57%	0.48%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both HEFA and MCSE in my portfolio?

HEFA and MCSE have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HEFA or MCSE?

HEFA has higher volatility (3.48%) compared to MCSE (0.00%). In terms of maximum drawdown, HEFA dropped -32.39% vs MCSE's -26.36%.

Which ETF is better, HEFA or MCSE?

On 3-year performance, HEFA leads with 19.80% vs 0.74% for MCSE. On fees, HEFA is cheaper at 0.35% per year. On volatility, MCSE has been the lower-risk option at 0.00%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, HEFA or MCSE?

Over the 3-year period, HEFA has performed better with a 19.80% return vs 0.74%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, HEFA or MCSE?

HEFA is cheaper with a 0.35% expense ratio, compared with 0.59% for MCSE.

Which ETF pays a higher dividend yield, HEFA or MCSE?

HEFA has the higher dividend yield at 4.01%, compared with 3.74% for MCSE.

What is the main difference between HEFA and MCSE?

They also come from different issuers: iShares and Franklin. Their fees differ too: 0.35% for HEFA and 0.59% for MCSE.

Which has better risk-adjusted returns?

HEFA currently has the higher Sharpe Ratio (2.39 vs 0.46), 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.