QEFA vs. ACWX
Compare and contrast key facts about SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares MSCI ACWI ex U.S. ETF (ACWX).
QEFA and ACWX are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QEFA is a passively managed fund by State Street that tracks the performance of the MSCI EAFE Factor Mix A-Series (USD). It was launched on Jun 4, 2014. ACWX is a passively managed fund by iShares that tracks the performance of the MSCI All Country World ex-U.S. Index. It was launched on Mar 26, 2008. Both QEFA and ACWX are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QEFA or ACWX.
Key characteristics
| QEFA | ACWX | |
|---|---|---|
| YTD Return | 6.19% | 8.90% |
| 1Y Return | 17.28% | 19.84% |
| 3Y Return (Ann) | 1.99% | 1.13% |
| 5Y Return (Ann) | 5.75% | 5.33% |
| 10Y Return (Ann) | 6.24% | 4.69% |
| Sharpe Ratio | 1.48 | 1.51 |
| Sortino Ratio | 2.11 | 2.14 |
| Omega Ratio | 1.26 | 1.27 |
| Calmar Ratio | 1.64 | 1.29 |
| Martin Ratio | 8.11 | 8.64 |
| Ulcer Index | 2.14% | 2.25% |
| Daily Std Dev | 11.74% | 12.89% |
| Max Drawdown | -31.71% | -60.39% |
| Current Drawdown | -6.24% | -5.24% |
Correlation
The correlation between QEFA and ACWX is 0.82, 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.
Performance
QEFA vs. ACWX - Performance Comparison
In the year-to-date period, QEFA achieves a 6.19% return, which is significantly lower than ACWX's 8.90% return. Over the past 10 years, QEFA has outperformed ACWX with an annualized return of 6.24%, while ACWX has yielded a comparatively lower 4.69% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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QEFA vs. ACWX - Expense Ratio Comparison
QEFA has a 0.30% expense ratio, which is lower than ACWX's 0.32% expense ratio.
Risk-Adjusted Performance
QEFA vs. ACWX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares MSCI ACWI ex U.S. ETF (ACWX). 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.
Dividends
QEFA vs. ACWX - Dividend Comparison
QEFA's dividend yield for the trailing twelve months is around 2.85%, more than ACWX's 2.73% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QEFA SPDR MSCI EAFE StrategicFactors ETF | 2.85% | 2.79% | 3.02% | 2.37% | 1.82% | 2.95% | 3.22% | 2.34% | 2.01% | 2.94% | 1.14% | 0.00% |
ACWX iShares MSCI ACWI ex U.S. ETF | 2.73% | 2.96% | 2.68% | 2.73% | 1.88% | 3.22% | 2.65% | 2.40% | 2.77% | 2.51% | 3.18% | 2.69% |
Drawdowns
QEFA vs. ACWX - Drawdown Comparison
The maximum QEFA drawdown since its inception was -31.71%, smaller than the maximum ACWX drawdown of -60.39%. Use the drawdown chart below to compare losses from any high point for QEFA and ACWX. For additional features, visit the drawdowns tool.
Volatility
QEFA vs. ACWX - Volatility Comparison
SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares MSCI ACWI ex U.S. ETF (ACWX) have volatilities of 3.88% and 4.08%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.