HLMIX vs. IEFA

Last updated Jun 4, 2026

HLMIX (Harding Loevner International Equity Portfolio) and IEFA (iShares Core MSCI EAFE ETF) are both Foreign Large Cap Equities funds. Over the past 10 years, HLMIX returned 9.78%/yr vs 9.22%/yr for IEFA. Their correlation of 0.92 suggests significant overlap in exposure. HLMIX charges 0.79%/yr vs 0.07%/yr for IEFA.

Performance

HLMIX vs. IEFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Harding Loevner International Equity Portfolio (HLMIX) and iShares Core MSCI EAFE ETF (IEFA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HLMIX achieves a 15.68% return, which is significantly higher than IEFA's 8.85% return. Over the past 10 years, HLMIX has outperformed IEFA with an annualized return of 9.78%, while IEFA has yielded a comparatively lower 9.22% annualized return.

HLMIX

• 1D: 0.80%
• 1M: 6.15%
• YTD: 15.68%
• 6M: 17.57%
• 1Y: 30.22%
• 3Y*: 16.30%
• 5Y*: 6.99%
• 10Y*: 9.78%

IEFA

• 1D: -0.78%
• 1M: 3.43%
• YTD: 8.85%
• 6M: 11.45%
• 1Y: 22.00%
• 3Y*: 16.72%
• 5Y*: 8.07%
• 10Y*: 9.22%

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

HLMIX vs. IEFA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HLMIX Harding Loevner International Equity Portfolio	15.68%	27.63%	1.18%	15.10%	-20.21%	8.49%	20.33%	25.22%	-13.96%	29.91%
IEFA iShares Core MSCI EAFE ETF	8.85%	32.08%	3.26%	17.95%	-15.24%	11.63%	8.18%	22.64%	-14.14%	26.57%

Correlation

The correlation between HLMIX and IEFA is 0.90, 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	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.92
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.92
Correlation (All Time) Calculated using the full available price history since Oct 25, 2012	0.92

The correlation between HLMIX and IEFA has been stable across timeframes, ranging from 0.90 to 0.93 - a consistent structural relationship.

Return for Risk

HLMIX vs. IEFA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

HLMIX

HLMIX Risk / Return Rank: 50
HLMIX Sharpe Ratio Rank: 49
HLMIX Sortino Ratio Rank: 46
HLMIX Omega Ratio Rank: 45
HLMIX Calmar Ratio Rank: 55
HLMIX Martin Ratio Rank: 53

IEFA

IEFA Risk / Return Rank: 41
IEFA Sharpe Ratio Rank: 41
IEFA Sortino Ratio Rank: 41
IEFA Omega Ratio Rank: 41
IEFA Calmar Ratio Rank: 38
IEFA Martin Ratio Rank: 44

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.

HLMIX vs. IEFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Harding Loevner International Equity Portfolio (HLMIX) and iShares Core MSCI EAFE ETF (IEFA). 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.

	HLMIX	IEFA	Difference
Sharpe ratio Return per unit of total volatility	2.05	1.48	+0.57
Sortino ratio Return per unit of downside risk	2.85	2.14	+0.71
Omega ratio Gain probability vs. loss probability	1.36	1.27	+0.09
Calmar ratio Return relative to maximum drawdown	2.84	1.92	+0.92
Martin ratio Return relative to average drawdown	10.86	7.34	+3.53
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HLMIX vs. IEFA - Sharpe Ratio Comparison

The current HLMIX Sharpe Ratio is 2.05, which is higher than the IEFA Sharpe Ratio of 1.48. The chart below compares the historical Sharpe Ratios of HLMIX and IEFA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	HLMIX	IEFA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.05	1.48	+0.57
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.44	0.49	-0.05
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.60	0.53	+0.06
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	0.51	-0.13

Drawdowns

HLMIX vs. IEFA - Drawdown Comparison

The maximum HLMIX drawdown since its inception was -58.03%, which is greater than IEFA's maximum drawdown of -34.78%. Use the drawdown chart below to compare losses from any high point for HLMIX and IEFA.

Drawdown Indicators

	HLMIX	IEFA	Difference
Max Drawdown Largest peak-to-trough decline	-58.03%	-34.78%	-23.25%
Max Drawdown (1Y) Largest decline over 1 year	-10.44%	-11.50%	+1.06%
Max Drawdown (3Y) Largest decline over 3 years	-13.98%	-13.76%	-0.22%
Max Drawdown (5Y) Largest decline over 5 years	-32.76%	-30.41%	-2.35%
Max Drawdown (10Y) Largest decline over 10 years	-32.76%	-34.78%	+2.02%
Current Drawdown Current decline from peak	0.00%	-1.20%	+1.20%
Average Drawdown Average peak-to-trough decline	-12.70%	-6.69%	-6.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.73%	3.01%	-0.28%

Volatility

HLMIX vs. IEFA - Volatility Comparison

Harding Loevner International Equity Portfolio (HLMIX) has a higher volatility of 5.18% compared to iShares Core MSCI EAFE ETF (IEFA) at 4.86%. This indicates that HLMIX's price experiences larger fluctuations and is considered to be riskier than IEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HLMIX	IEFA	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.18%	4.86%	+0.32%
Volatility (6M) Calculated over the trailing 6-month period	12.04%	12.42%	-0.38%
Volatility (1Y) Calculated over the trailing 1-year period	14.48%	14.96%	-0.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.94%	16.51%	-0.57%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.49%	17.30%	-0.81%

HLMIX vs. IEFA - Expense Ratio Comparison

HLMIX has a 0.79% expense ratio, which is higher than IEFA's 0.07% expense ratio.

Dividends

HLMIX vs. IEFA - Dividend Comparison

HLMIX's dividend yield for the trailing twelve months is around 12.91%, more than IEFA's 3.26% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HLMIX Harding Loevner International Equity Portfolio	12.91%	14.94%	7.14%	3.79%	2.51%	2.48%	0.75%	1.59%	1.50%	1.64%	0.98%	1.02%
IEFA iShares Core MSCI EAFE ETF	3.26%	3.55%	3.47%	3.20%	2.70%	3.32%	1.90%	3.18%	3.46%	2.57%	2.96%	2.63%

Frequently Asked Questions

Can I hold both HLMIX and IEFA in my portfolio?

With a correlation of 0.90, HLMIX and IEFA move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, HLMIX or IEFA?

HLMIX has higher volatility (5.18%) compared to IEFA (4.86%). In terms of maximum drawdown, HLMIX dropped -58.03% vs IEFA's -34.78%.

Which has better risk-adjusted returns?

HLMIX currently has the higher Sharpe Ratio (2.05 vs 1.48), 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.