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HEFA vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between HEFA and VOO is 0.79, 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.


-0.50.00.51.00.8

Performance

HEFA vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Currency Hedged MSCI EAFE ETF (HEFA) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
1.50%
13.65%
HEFA
VOO

Key characteristics

Sharpe Ratio

HEFA:

1.69

VOO:

2.78

Sortino Ratio

HEFA:

2.25

VOO:

3.69

Omega Ratio

HEFA:

1.31

VOO:

1.52

Calmar Ratio

HEFA:

1.89

VOO:

4.01

Martin Ratio

HEFA:

8.63

VOO:

18.18

Ulcer Index

HEFA:

2.14%

VOO:

1.86%

Daily Std Dev

HEFA:

10.94%

VOO:

12.20%

Max Drawdown

HEFA:

-32.39%

VOO:

-33.99%

Current Drawdown

HEFA:

-0.17%

VOO:

-0.52%

Returns By Period

In the year-to-date period, HEFA achieves a 15.57% return, which is significantly lower than VOO's 28.53% return. Over the past 10 years, HEFA has underperformed VOO with an annualized return of 9.29%, while VOO has yielded a comparatively higher 13.75% annualized return.


HEFA

YTD

15.57%

1M

2.11%

6M

1.49%

1Y

17.67%

5Y (annualized)

10.48%

10Y (annualized)

9.29%

VOO

YTD

28.53%

1M

1.08%

6M

13.65%

1Y

33.30%

5Y (annualized)

15.87%

10Y (annualized)

13.75%

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. VOO - Expense Ratio Comparison

HEFA has a 0.35% expense ratio, which is higher than VOO's 0.03% expense ratio.


HEFA
iShares Currency Hedged MSCI EAFE ETF
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%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

HEFA vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) and Vanguard S&P 500 ETF (VOO). 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 1.69, compared to the broader market0.002.004.001.692.78
The chart of Sortino ratio for HEFA, currently valued at 2.25, compared to the broader market-2.000.002.004.006.008.0010.0012.002.253.69
The chart of Omega ratio for HEFA, currently valued at 1.31, compared to the broader market0.501.001.502.002.503.001.311.52
The chart of Calmar ratio for HEFA, currently valued at 1.89, compared to the broader market0.005.0010.0015.001.894.01
The chart of Martin ratio for HEFA, currently valued at 8.63, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.6318.18
HEFA
VOO

The current HEFA Sharpe Ratio is 1.69, which is lower than the VOO Sharpe Ratio of 2.78. The chart below compares the historical Sharpe Ratios of HEFA and VOO, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.69
2.78
HEFA
VOO

Dividends

HEFA vs. VOO - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 2.79%, more than VOO's 1.22% yield.


TTM20232022202120202019201820172016201520142013
HEFA
iShares Currency Hedged MSCI EAFE ETF
2.79%3.01%25.14%3.06%2.10%5.37%4.58%2.55%3.17%3.54%3.39%0.00%
VOO
Vanguard S&P 500 ETF
1.22%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

HEFA vs. VOO - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for HEFA and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.17%
-0.52%
HEFA
VOO

Volatility

HEFA vs. VOO - Volatility Comparison

iShares Currency Hedged MSCI EAFE ETF (HEFA) has a higher volatility of 2.70% compared to Vanguard S&P 500 ETF (VOO) at 2.19%. This indicates that HEFA's price experiences larger fluctuations and is considered to be riskier than VOO 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
2.70%
2.19%
HEFA
VOO
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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.

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