PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
HEFA vs. SPEM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

HEFA vs. SPEM

Last updated Jun 14, 2026

HEFA (iShares Currency Hedged MSCI EAFE ETF) and SPEM (SPDR Portfolio Emerging Markets ETF) are both exchange-traded funds - HEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE 100% Hedged to USD Index, while SPEM is a Emerging Markets Equities fund tracking the S&P Emerging Markets BMI. Both are passively managed. Over the past 10 years, HEFA returned 13.27%/yr vs 9.63%/yr for SPEM. A 0.67 correlation means they provide meaningful diversification when combined. HEFA charges 0.35%/yr vs 0.11%/yr for SPEM.

Performance

HEFA vs. SPEM - Performance Comparison

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

Loading charts...

Returns By Period

The year-to-date returns for both stocks are quite close, with HEFA having a 11.36% return and SPEM slightly lower at 11.32%. Over the past 10 years, HEFA has outperformed SPEM with an annualized return of 13.27%, while SPEM has yielded a comparatively lower 9.63% annualized return.

HEFA

1D
0.33%
1M
3.88%
YTD
11.36%
6M
12.73%
1Y
28.01%
3Y*
18.32%
5Y*
13.57%
10Y*
13.27%

SPEM

1D
0.87%
1M
2.50%
YTD
11.32%
6M
13.11%
1Y
27.73%
3Y*
17.37%
5Y*
5.60%
10Y*
9.63%
*Multi-year figures are annualized to reflect compound growth (CAGR)

HEFA vs. SPEM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
HEFA
iShares Currency Hedged MSCI EAFE ETF		11.36%24.58%13.71%20.33%-4.86%19.59%2.09%27.63%-9.33%16.67%
SPEM
SPDR Portfolio Emerging Markets ETF		11.32%25.63%11.40%10.51%-17.90%1.51%14.55%19.69%-13.26%34.82%

Correlation

The correlation between HEFA and SPEM is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.71

Correlation (3Y)
Calculated over the trailing 3-year period

0.64

Correlation (5Y)
Calculated over the trailing 5-year period

0.67

Correlation (10Y)
Calculated over the trailing 10-year period

0.68

Correlation (All Time)
Calculated using the full available price history since Feb 14, 2014

0.67

The correlation between HEFA and SPEM has been stable across timeframes, ranging from 0.64 to 0.71 - a consistent structural relationship.

HEFA vs. SPEM - Sectors Allocation Comparison

Sectors
HEFA
SPEM

Financial Services

24.9%
19.2%

Industrials

18.4%
8.3%

Technology

12.7%
32.1%

Healthcare

10.2%
3.7%

Consumer Cyclical

6.8%
9.6%

Consumer Defensive

6.4%
3.6%

Basic Materials

6.2%
8.0%

Communication Services

4.5%
6.7%

Energy

3.9%
4.2%

Utilities

3.4%
2.8%

Real Estate

1.2%
1.8%

Financial Services

HEFA
24.9%
SPEM
19.2%

Industrials

HEFA
18.4%
SPEM
8.3%

Technology

HEFA
12.7%
SPEM
32.1%

Healthcare

HEFA
10.2%
SPEM
3.7%

Consumer Cyclical

HEFA
6.8%
SPEM
9.6%

Consumer Defensive

HEFA
6.4%
SPEM
3.6%

Basic Materials

HEFA
6.2%
SPEM
8.0%

Communication Services

HEFA
4.5%
SPEM
6.7%

Energy

HEFA
3.9%
SPEM
4.2%

Utilities

HEFA
3.4%
SPEM
2.8%

Real Estate

HEFA
1.2%
SPEM
1.8%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

iShares Currency Hedged MSCI EAFE ETF

SPDR Portfolio Emerging Markets ETF

Often compared with HEFA:
HEFA vs. DBEFHEFA vs. HAWXHEFA vs. FNDFHEFA vs. IDMOHEFA vs. HSCZHEFA vs. HEWJHEFA vs. HEZU
Often compared with SPEM:
SPEM vs. VWOSPEM vs. EEMSPEM vs. EMXCSPEM vs. ESGESPEM vs. EMGFSPEM vs. EMCRSPEM vs. BKEM

Return for Risk

HEFA vs. SPEM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
HEFA
HEFA Risk / Return Rank: 7272
Overall Rank
HEFA Sharpe Ratio Rank: 7474
Sharpe Ratio Rank
HEFA Sortino Ratio Rank: 7474
Sortino Ratio Rank
HEFA Omega Ratio Rank: 7575
Omega Ratio Rank
HEFA Calmar Ratio Rank: 6464
Calmar Ratio Rank
HEFA Martin Ratio Rank: 7373
Martin Ratio Rank
SPEM
SPEM Risk / Return Rank: 5252
Overall Rank
SPEM Sharpe Ratio Rank: 5252
Sharpe Ratio Rank
SPEM Sortino Ratio Rank: 4949
Sortino Ratio Rank
SPEM Omega Ratio Rank: 5353
Omega Ratio Rank
SPEM Calmar Ratio Rank: 5252
Calmar Ratio Rank
SPEM Martin Ratio Rank: 5454
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

HEFA vs. SPEM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) and SPDR Portfolio Emerging Markets ETF (SPEM). 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.

HEFASPEMDifference
Sharpe ratioReturn per unit of total volatility
2.05
1.55

+0.49

Sortino ratioReturn per unit of downside risk
2.87
2.16

+0.72

Omega ratioGain probability vs. loss probability

1.38

1.29

+0.09

Calmar ratioReturn relative to maximum drawdown

2.81

2.28

+0.54

Martin ratioReturn relative to average drawdown

11.78

8.16

+3.62

HEFA vs. SPEM - Sharpe Ratio Comparison

The current HEFA Sharpe Ratio is 2.05, which is higher than the SPEM Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of HEFA and SPEM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

HEFA vs. SPEM - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, smaller than the maximum SPEM drawdown of -64.41%. Use the drawdown chart below to compare losses from any high point for HEFA and SPEM.

Loading charts...

Drawdown Indicators

HEFASPEMDifference

Max Drawdown

Largest peak-to-trough decline

-32.39%

-64.41%

+32.02%

Max Drawdown (1Y)

Largest decline over 1 year

-9.52%

-11.36%

+1.84%

Max Drawdown (3Y)

Largest decline over 3 years

-14.28%

-17.62%

+3.34%

Max Drawdown (5Y)

Largest decline over 5 years

-14.79%

-31.75%

+16.96%

Max Drawdown (10Y)

Largest decline over 10 years

-32.39%

-36.06%

+3.67%

Current Drawdown

Current decline from peak

0.00%

-2.40%

+2.40%

Average Drawdown

Average peak-to-trough decline

-4.16%

-14.73%

+10.57%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.28%

3.17%

-0.89%

Volatility

HEFA vs. SPEM - Volatility Comparison

The current volatility for iShares Currency Hedged MSCI EAFE ETF (HEFA) is 4.55%, while SPDR Portfolio Emerging Markets ETF (SPEM) has a volatility of 6.87%. This indicates that HEFA experiences smaller price fluctuations and is considered to be less risky than SPEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

HEFASPEMDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.55%

6.87%

-2.32%

Volatility (6M)

Calculated over the trailing 6-month period

10.68%

14.21%

-3.53%

Volatility (1Y)

Calculated over the trailing 1-year period

13.08%

16.67%

-3.59%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.85%

17.26%

-3.41%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.86%

18.83%

-2.97%

HEFA vs. SPEM - Expense Ratio Comparison

HEFA has a 0.35% expense ratio, which is higher than SPEM's 0.11% expense ratio.

Dividends

HEFA vs. SPEM - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 3.95%, more than SPEM's 2.49% yield.

PositionTTM20252024202320222021202020192018201720162015
HEFA
iShares Currency Hedged MSCI EAFE ETF		3.95%4.40%3.09%3.02%25.14%3.06%2.10%7.56%4.58%2.55%3.17%3.54%
SPEM
SPDR Portfolio Emerging Markets ETF		2.49%2.77%2.78%2.80%3.38%3.14%1.92%2.94%2.34%1.12%1.51%2.40%

Frequently Asked Questions

HEFA and SPEM have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SPEM has higher volatility (6.87%) compared to HEFA (4.55%). In terms of maximum drawdown, HEFA dropped -32.39% vs SPEM's -64.41%.

On 10-year performance, HEFA leads with 13.27% vs 9.63% for SPEM. On fees, SPEM is cheaper at 0.11% per year. On volatility, HEFA has been the lower-risk option at 4.55%. 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 13.27% return vs 9.63%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SPEM is cheaper with a 0.11% expense ratio, compared with 0.35% for HEFA.

HEFA has the higher dividend yield at 3.95%, compared with 2.49% for SPEM.

HEFA is categorized as Foreign Large Cap Equities, while SPEM is Emerging Markets Equities. HEFA tracks MSCI EAFE 100% Hedged to USD Index, while SPEM tracks S&P Emerging Markets BMI. They also come from different issuers: iShares and State Street. Their fees differ too: 0.35% for HEFA and 0.11% for SPEM.

HEFA currently has the higher Sharpe Ratio (2.05 vs 1.55), 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.

Portfolio Optimizer

Find the right allocation for HEFA and SPEM

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer