PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
QEFA vs. EFA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QEFA vs. EFA

Last updated Aug 2, 2026
Documentation

QEFA (SPDR MSCI EAFE StrategicFactors ETF) and EFA (iShares MSCI EAFE ETF) are both Foreign Large Cap Equities funds - QEFA tracks the MSCI EAFE Factor Mix A-Series (USD) while EFA tracks the MSCI EAFE Index (Net). Both are passively managed. Over the past 10 years, QEFA returned 9.02%/yr vs 9.47%/yr for EFA. Their correlation of 0.86 means they have usually moved in the same direction. QEFA charges 0.30%/yr vs 0.32%/yr for EFA.

Performance

QEFA vs. EFA - Performance Comparison

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

Loading charts...

Returns By Period

The year-to-date returns for both investments are quite close, with QEFA having a 11.29% return and EFA slightly higher at 11.69%. Both investments have delivered pretty close results over the past 10 years, with QEFA having a 9.02% annualized return and EFA not far ahead at 9.47%.

QEFA

1D
-0.88%
1M
2.16%
6M
6.04%
YTD
11.29%
1Y
22.96%
3Y*
15.29%
5Y*
8.45%
10Y*
9.02%
ALL TIME*
7.05%

EFA

1D
-0.62%
1M
1.16%
6M
6.46%
YTD
11.69%
1Y
25.09%
3Y*
16.41%
5Y*
9.23%
10Y*
9.47%
ALL TIME*
6.58%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

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

EFA

iShares MSCI EAFE ETF
$1.24B$1.12B$1.39B

QEFA

SPDR MSCI EAFE StrategicFactors ETF
$2.29M$1.96M$3.73M

QEFA vs. EFA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
QEFA
SPDR MSCI EAFE StrategicFactors ETF		11.29%29.25%2.27%17.40%-14.03%12.50%6.76%21.91%-10.39%24.03%
EFA
iShares MSCI EAFE ETF		11.69%31.55%3.49%18.36%-14.39%11.45%7.60%22.04%-13.82%25.07%

Correlation

The correlation between QEFA and EFA is 0.94, meaning they have usually moved in the same direction, including during past declines.

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

0.94

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

0.96

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

0.97

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

0.95

Correlation (All Time)
Calculated using the full available price history since Jun 5, 2014

0.86

The correlation between QEFA and EFA shifts across timeframes, from 0.86 (all time) to 0.97 (5 years), reflecting how their relationship changes across market environments.

QEFA vs. EFA - Sectors Allocation Comparison

Sectors
QEFA
EFA

Financial Services

15.0%
26.4%

Healthcare

11.1%
10.4%

Technology

10.1%
11.7%

Industrials

9.6%
18.9%

Consumer Cyclical

6.0%
7.0%

Basic Materials

4.5%
5.9%

Energy

4.5%
3.7%

Consumer Defensive

4.2%
6.6%

Communication Services

2.9%
3.4%

Utilities

2.4%
3.6%

Real Estate

1.8%
1.7%

Financial Services

QEFA
15.0%
EFA
26.4%

Healthcare

QEFA
11.1%
EFA
10.4%

Technology

QEFA
10.1%
EFA
11.7%

Industrials

QEFA
9.6%
EFA
18.9%

Consumer Cyclical

QEFA
6.0%
EFA
7.0%

Basic Materials

QEFA
4.5%
EFA
5.9%

Energy

QEFA
4.5%
EFA
3.7%

Consumer Defensive

QEFA
4.2%
EFA
6.6%

Communication Services

QEFA
2.9%
EFA
3.4%

Utilities

QEFA
2.4%
EFA
3.6%

Real Estate

QEFA
1.8%
EFA
1.7%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

SPDR MSCI EAFE StrategicFactors ETF

iShares MSCI EAFE ETF

Often compared with QEFA:
QEFA vs. IQLTQEFA vs. IEFAQEFA vs. GSIEQEFA vs. ACWIQEFA vs. FICSQEFA vs. ACWXQEFA vs. SCHF
Often compared with EFA:
EFA vs. IEFAEFA vs. VEAEFA vs. EFGEFA vs. XEF.TOEFA vs. EFAVEFA vs. EFOEFA vs. IEUR

Return for Risk

QEFA vs. EFA — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
QEFA
QEFA Risk / Return Rank: 7676
Overall Rank
QEFA Sharpe Ratio Rank: 8080
Sharpe Ratio Rank
QEFA Sortino Ratio Rank: 8080
Sortino Ratio Rank
QEFA Omega Ratio Rank: 7979
Omega Ratio Rank
QEFA Calmar Ratio Rank: 7171
Calmar Ratio Rank
QEFA Martin Ratio Rank: 7272
Martin Ratio Rank
EFA
EFA Risk / Return Rank: 6868
Overall Rank
EFA Sharpe Ratio Rank: 7070
Sharpe Ratio Rank
EFA Sortino Ratio Rank: 7070
Sortino Ratio Rank
EFA Omega Ratio Rank: 6868
Omega Ratio Rank
EFA Calmar Ratio Rank: 6363
Calmar Ratio Rank
EFA Martin Ratio Rank: 6868
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

QEFA vs. EFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares MSCI EAFE ETF (EFA). 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.

QEFAEFADifference
Sharpe ratioReturn per unit of total volatility
1.83
1.58

+0.25

Sortino ratioReturn per unit of downside risk
2.57
2.26

+0.31

Omega ratioGain probability vs. loss probability

1.33

1.28

+0.04

Calmar ratioReturn relative to maximum drawdown

2.46

2.18

+0.28

Martin ratioReturn relative to average drawdown

8.81

8.23

+0.58

QEFA vs. EFA - Sharpe Ratio Comparison

The current QEFA Sharpe Ratio is 1.83, which is comparable to the EFA Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of QEFA and EFA, 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

QEFA vs. EFA - Drawdown Comparison

The maximum QEFA drawdown since its inception was -31.71%, smaller than the maximum EFA drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for QEFA and EFA.

Loading charts...

Drawdown Indicators

QEFAEFADifference

Max Drawdown

Largest peak-to-trough decline

-31.71%

-61.04%

+29.33%

Max Drawdown (1Y)

Largest decline over 1 year

-9.58%

-11.42%

+1.84%

Max Drawdown (3Y)

Largest decline over 3 years

-12.23%

-14.05%

+1.82%

Max Drawdown (5Y)

Largest decline over 5 years

-28.09%

-29.53%

+1.44%

Max Drawdown (10Y)

Largest decline over 10 years

-31.71%

-34.19%

+2.48%

Current Drawdown

Current decline from peak

-0.88%

-0.62%

-0.26%

Average Drawdown

Average peak-to-trough decline

-6.02%

-11.86%

+5.84%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.67%

3.02%

-0.35%

Volatility

QEFA vs. EFA - Volatility Comparison

The current volatility for SPDR MSCI EAFE StrategicFactors ETF (QEFA) is 3.62%, while iShares MSCI EAFE ETF (EFA) has a volatility of 4.69%. This indicates that QEFA experiences smaller price fluctuations and is considered to be less risky than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

QEFAEFADifference

Volatility (1M)

Calculated over the trailing 1-month period

3.62%

4.69%

-1.07%

Volatility (6M)

Calculated over the trailing 6-month period

10.80%

13.71%

-2.91%

Volatility (1Y)

Calculated over the trailing 1-year period

12.93%

15.79%

-2.86%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.82%

16.62%

-1.80%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.80%

17.00%

-1.20%

QEFA vs. EFA - Expense Ratio Comparison

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

Dividends

QEFA vs. EFA - Dividend Comparison

QEFA's dividend yield for the trailing twelve months is around 2.76%, less than EFA's 3.19% yield.

PositionTTM20252024202320222021202020192018201720162015
EFA
iShares MSCI EAFE ETF		3.19%3.38%3.24%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%
QEFA
SPDR MSCI EAFE StrategicFactors ETF		2.76%3.13%3.17%2.79%3.02%2.37%1.82%2.95%3.22%2.33%2.01%2.94%

Frequently Asked Questions

With a correlation of 0.94, QEFA and EFA 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.

EFA has higher volatility (4.69%) compared to QEFA (3.62%). In terms of maximum drawdown, QEFA dropped -31.71% vs EFA's -61.04%.

On 10-year performance, EFA leads with 9.47% vs 9.02% for QEFA. On fees, QEFA is cheaper at 0.30% per year. On volatility, QEFA has been the lower-risk option at 3.62%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, EFA has performed better with a 9.47% return vs 9.02%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QEFA is cheaper with a 0.30% expense ratio, compared with 0.32% for EFA.

EFA has the higher dividend yield at 3.19%, compared with 2.76% for QEFA.

QEFA tracks MSCI EAFE Factor Mix A-Series (USD), while EFA tracks MSCI EAFE Index (Net). They also come from different issuers: State Street and iShares. Their fees differ too: 0.30% for QEFA and 0.32% for EFA.

QEFA currently has the higher Sharpe Ratio (1.83 vs 1.58), 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 QEFA and EFA

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