PortfoliosLab logoPortfoliosLab logo

Documentation

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

HEFA vs. VLUE

Last updated Jul 26, 2026
Documentation

HEFA (iShares Currency Hedged MSCI EAFE ETF) and VLUE (iShares MSCI USA Value Factor ETF) are both exchange-traded funds - HEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE 100% Hedged to USD Index, while VLUE is a Large Cap Value Equities fund tracking the MSCI USA Enhanced Value Index. Both are passively managed. Over the past 10 years, HEFA returned 12.70%/yr vs 14.56%/yr for VLUE. Their 0.74 correlation means they have sometimes moved together and sometimes differently. HEFA charges 0.35%/yr vs 0.15%/yr for VLUE.

Performance

HEFA vs. VLUE - Performance Comparison

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

Loading charts...

Returns By Period

In the year-to-date period, HEFA achieves a 13.57% return, which is significantly lower than VLUE's 43.48% return. Over the past 10 years, HEFA has underperformed VLUE with an annualized return of 12.70%, while VLUE has yielded a comparatively higher 14.56% annualized return.

HEFA

1D
0.51%
1M
0.73%
6M
10.08%
YTD
13.57%
1Y
26.09%
3Y*
18.91%
5Y*
13.96%
10Y*
12.70%
ALL TIME*
10.79%

VLUE

1D
-0.49%
1M
-4.86%
6M
35.25%
YTD
43.48%
1Y
71.63%
3Y*
29.42%
5Y*
16.55%
10Y*
14.56%
ALL TIME*
13.64%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

HEFA

iShares Currency Hedged MSCI EAFE ETF
$39.23M$30.73M$26.09M

VLUE

iShares MSCI USA Value Factor ETF
$165.60M$255.80M$278.61M

HEFA vs. VLUE - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
HEFA
iShares Currency Hedged MSCI EAFE ETF		13.57%24.58%13.71%20.33%-4.86%19.59%2.09%27.63%-9.33%16.67%
VLUE
iShares MSCI USA Value Factor ETF		43.48%32.67%7.25%14.26%-14.17%28.93%-0.23%27.20%-11.13%21.95%

Correlation

The correlation between HEFA and VLUE is 0.66, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.66

Correlation (3Y)
Balances recent behavior with more history.

0.67

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.73

Correlation (10Y)
Provides a long-term view across more market conditions.

0.75

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

0.74

The correlation between HEFA and VLUE has been stable across timeframes, ranging from 0.66 to 0.75 - a consistent structural relationship.

HEFA vs. VLUE - Sectors Allocation Comparison

Sectors
HEFA
VLUE

Financial Services

25.9%
10.6%

Industrials

18.9%
7.9%

Technology

12.0%
43.1%

Healthcare

10.4%
7.8%

Consumer Cyclical

7.2%
9.9%

Consumer Defensive

6.8%
4.2%

Basic Materials

5.9%
1.2%

Energy

3.7%
2.8%

Utilities

3.7%
2.0%

Communication Services

3.5%
8.7%

Real Estate

1.7%
1.8%

Financial Services

HEFA
25.9%
VLUE
10.6%

Industrials

HEFA
18.9%
VLUE
7.9%

Technology

HEFA
12.0%
VLUE
43.1%

Healthcare

HEFA
10.4%
VLUE
7.8%

Consumer Cyclical

HEFA
7.2%
VLUE
9.9%

Consumer Defensive

HEFA
6.8%
VLUE
4.2%

Basic Materials

HEFA
5.9%
VLUE
1.2%

Energy

HEFA
3.7%
VLUE
2.8%

Utilities

HEFA
3.7%
VLUE
2.0%

Communication Services

HEFA
3.5%
VLUE
8.7%

Real Estate

HEFA
1.7%
VLUE
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

iShares MSCI USA Value Factor ETF

Often compared with HEFA:
HEFA vs. DBEFHEFA vs. HAWXHEFA vs. FNDFHEFA vs. HSCZHEFA vs. IDMOHEFA vs. HEWJHEFA vs. HEZU
Often compared with VLUE:
VLUE vs. AVLVVLUE vs. VLUVLUE vs. VOOVLUE vs. VTVVLUE vs. IUSVVLUE vs. QVALVLUE vs. SCHV

Return for Risk

HEFA vs. VLUE — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
HEFA
HEFA Risk / Return Rank: 8383
Overall Rank
HEFA Sharpe Ratio Rank: 8686
Sharpe Ratio Rank
HEFA Sortino Ratio Rank: 8686
Sortino Ratio Rank
HEFA Omega Ratio Rank: 8686
Omega Ratio Rank
HEFA Calmar Ratio Rank: 7676
Calmar Ratio Rank
HEFA Martin Ratio Rank: 8383
Martin Ratio Rank
VLUE
VLUE Risk / Return Rank: 9797
Overall Rank
VLUE Sharpe Ratio Rank: 9797
Sharpe Ratio Rank
VLUE Sortino Ratio Rank: 9797
Sortino Ratio Rank
VLUE Omega Ratio Rank: 9696
Omega Ratio Rank
VLUE Calmar Ratio Rank: 9797
Calmar Ratio Rank
VLUE Martin Ratio Rank: 9797
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. VLUE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) and iShares MSCI USA Value Factor ETF (VLUE). 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.

HEFAVLUEDifference
Sharpe ratioReturn per unit of total volatility
2.03
3.60

-1.57

Sortino ratioReturn per unit of downside risk
2.81
4.66

-1.85

Omega ratioGain probability vs. loss probability

1.37

1.61

-0.24

Calmar ratioReturn relative to maximum drawdown

2.77

7.98

-5.20

Martin ratioReturn relative to average drawdown

11.52

27.87

-16.35

HEFA vs. VLUE - Sharpe Ratio Comparison

The current HEFA Sharpe Ratio is 2.03, which is lower than the VLUE Sharpe Ratio of 3.60. The chart below compares the historical Sharpe Ratios of HEFA and VLUE, 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. VLUE - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, smaller than the maximum VLUE drawdown of -39.47%. Use the drawdown chart below to compare losses from any high point for HEFA and VLUE.

Loading charts...

Drawdown Indicators

HEFAVLUEDifference

Max Drawdown

Largest peak-to-trough decline

-32.39%

-39.47%

+7.08%

Max Drawdown (1Y)

Largest decline over 1 year

-9.52%

-9.04%

-0.48%

Max Drawdown (3Y)

Largest decline over 3 years

-14.28%

-17.89%

+3.61%

Max Drawdown (5Y)

Largest decline over 5 years

-14.79%

-27.12%

+12.33%

Max Drawdown (10Y)

Largest decline over 10 years

-32.39%

-39.47%

+7.08%

Current Drawdown

Current decline from peak

-1.12%

-4.86%

+3.74%

Average Drawdown

Average peak-to-trough decline

-4.13%

-5.99%

+1.86%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.29%

2.58%

-0.29%

Volatility

HEFA vs. VLUE - Volatility Comparison

The current volatility for iShares Currency Hedged MSCI EAFE ETF (HEFA) is 3.21%, while iShares MSCI USA Value Factor ETF (VLUE) has a volatility of 7.20%. This indicates that HEFA experiences smaller price fluctuations and is considered to be less risky than VLUE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

HEFAVLUEDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.21%

7.20%

-3.99%

Volatility (6M)

Calculated over the trailing 6-month period

10.72%

17.11%

-6.39%

Volatility (1Y)

Calculated over the trailing 1-year period

13.05%

20.08%

-7.03%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.82%

18.29%

-4.47%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.66%

20.00%

-4.34%

HEFA vs. VLUE - Expense Ratio Comparison

HEFA has a 0.35% expense ratio, which is higher than VLUE's 0.15% expense ratio.

Dividends

HEFA vs. VLUE - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 4.04%, more than VLUE's 1.44% yield.

PositionTTM20252024202320222021202020192018201720162015
HEFA
iShares Currency Hedged MSCI EAFE ETF		4.04%4.40%3.09%3.02%25.14%3.06%2.10%7.56%4.58%2.55%3.17%3.54%
VLUE
iShares MSCI USA Value Factor ETF		1.44%2.11%2.73%2.66%3.18%2.22%2.42%2.61%2.70%2.14%2.07%2.39%

Frequently Asked Questions

HEFA and VLUE have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

VLUE has higher volatility (7.20%) compared to HEFA (3.21%). In terms of maximum drawdown, HEFA dropped -32.39% vs VLUE's -39.47%.

On 10-year performance, VLUE leads with 14.56% vs 12.70% for HEFA. On fees, VLUE is cheaper at 0.15% per year. On volatility, HEFA has been the lower-risk option at 3.21%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, VLUE has performed better with a 14.56% return vs 12.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VLUE is cheaper with a 0.15% expense ratio, compared with 0.35% for HEFA.

HEFA has the higher dividend yield at 4.04%, compared with 1.44% for VLUE.

HEFA is categorized as Foreign Large Cap Equities, while VLUE is Large Cap Value Equities. HEFA tracks MSCI EAFE 100% Hedged to USD Index, while VLUE tracks MSCI USA Enhanced Value Index. Their fees differ too: 0.35% for HEFA and 0.15% for VLUE.

VLUE currently has the higher Sharpe Ratio (3.60 vs 2.03), 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 VLUE

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