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QEFA vs. ACWX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QEFA and ACWX is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

QEFA vs. ACWX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares MSCI ACWI ex U.S. ETF (ACWX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

QEFA:

0.88

ACWX:

0.77

Sortino Ratio

QEFA:

1.20

ACWX:

1.05

Omega Ratio

QEFA:

1.16

ACWX:

1.14

Calmar Ratio

QEFA:

0.99

ACWX:

0.82

Martin Ratio

QEFA:

2.65

ACWX:

2.62

Ulcer Index

QEFA:

4.57%

ACWX:

4.35%

Daily Std Dev

QEFA:

15.74%

ACWX:

16.95%

Max Drawdown

QEFA:

-31.71%

ACWX:

-60.39%

Current Drawdown

QEFA:

-0.31%

ACWX:

-0.30%

Returns By Period

In the year-to-date period, QEFA achieves a 16.83% return, which is significantly higher than ACWX's 13.98% return. Over the past 10 years, QEFA has outperformed ACWX with an annualized return of 6.25%, while ACWX has yielded a comparatively lower 5.23% annualized return.


QEFA

YTD

16.83%

1M

4.16%

6M

14.39%

1Y

13.10%

3Y*

10.99%

5Y*

11.38%

10Y*

6.25%

ACWX

YTD

13.98%

1M

5.15%

6M

11.75%

1Y

12.16%

3Y*

10.19%

5Y*

11.04%

10Y*

5.23%

*Annualized

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iShares MSCI ACWI ex U.S. ETF

QEFA vs. ACWX - Expense Ratio Comparison

QEFA has a 0.30% expense ratio, which is lower than ACWX's 0.32% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

QEFA vs. ACWX — Risk-Adjusted Performance Rank

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

QEFA
The Risk-Adjusted Performance Rank of QEFA is 7676
Overall Rank
The Sharpe Ratio Rank of QEFA is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of QEFA is 7575
Sortino Ratio Rank
The Omega Ratio Rank of QEFA is 7373
Omega Ratio Rank
The Calmar Ratio Rank of QEFA is 8383
Calmar Ratio Rank
The Martin Ratio Rank of QEFA is 7171
Martin Ratio Rank

ACWX
The Risk-Adjusted Performance Rank of ACWX is 7272
Overall Rank
The Sharpe Ratio Rank of ACWX is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of ACWX is 7070
Sortino Ratio Rank
The Omega Ratio Rank of ACWX is 6868
Omega Ratio Rank
The Calmar Ratio Rank of ACWX is 7878
Calmar Ratio Rank
The Martin Ratio Rank of ACWX is 7171
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current QEFA Sharpe Ratio is 0.88, which is comparable to the ACWX Sharpe Ratio of 0.77. The chart below compares the historical Sharpe Ratios of QEFA and ACWX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

QEFA vs. ACWX - Dividend Comparison

QEFA's dividend yield for the trailing twelve months is around 2.71%, more than ACWX's 2.61% yield.


TTM20242023202220212020201920182017201620152014
QEFA
SPDR MSCI EAFE StrategicFactors ETF
2.71%3.17%2.79%3.02%2.37%1.82%2.95%3.22%2.34%2.01%2.94%1.14%
ACWX
iShares MSCI ACWI ex U.S. ETF
2.61%2.97%2.96%2.68%2.73%1.88%3.22%2.65%2.40%2.77%2.51%3.18%

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.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

QEFA vs. ACWX - Volatility Comparison

SPDR MSCI EAFE StrategicFactors ETF (QEFA) has a higher volatility of 3.01% compared to iShares MSCI ACWI ex U.S. ETF (ACWX) at 2.67%. This indicates that QEFA's price experiences larger fluctuations and is considered to be riskier than ACWX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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