QEFA vs. GSIE
Compare and contrast key facts about SPDR MSCI EAFE StrategicFactors ETF (QEFA) and Goldman Sachs ActiveBeta International Equity ETF (GSIE).
QEFA and GSIE 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. GSIE is a passively managed fund by Goldman Sachs that tracks the performance of the Goldman Sachs ActiveBeta International Equity Index. It was launched on Nov 6, 2015. Both QEFA and GSIE 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 GSIE.
Key characteristics
| QEFA | GSIE | |
|---|---|---|
| YTD Return | 6.32% | 8.48% |
| 1Y Return | 16.80% | 19.08% |
| 3Y Return (Ann) | 2.11% | 1.79% |
| 5Y Return (Ann) | 5.88% | 6.04% |
| Sharpe Ratio | 1.48 | 1.59 |
| Sortino Ratio | 2.12 | 2.27 |
| Omega Ratio | 1.26 | 1.28 |
| Calmar Ratio | 1.73 | 1.60 |
| Martin Ratio | 8.02 | 8.93 |
| Ulcer Index | 2.17% | 2.19% |
| Daily Std Dev | 11.75% | 12.36% |
| Max Drawdown | -31.71% | -34.63% |
| Current Drawdown | -6.13% | -5.08% |
Correlation
The correlation between QEFA and GSIE is 0.91, 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. GSIE - Performance Comparison
In the year-to-date period, QEFA achieves a 6.32% return, which is significantly lower than GSIE's 8.48% 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. GSIE - Expense Ratio Comparison
QEFA has a 0.30% expense ratio, which is higher than GSIE's 0.25% expense ratio.
Risk-Adjusted Performance
QEFA vs. GSIE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE StrategicFactors ETF (QEFA) and Goldman Sachs ActiveBeta International Equity ETF (GSIE). 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. GSIE - Dividend Comparison
QEFA's dividend yield for the trailing twelve months is around 2.84%, more than GSIE's 2.78% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
QEFA SPDR MSCI EAFE StrategicFactors ETF | 2.84% | 2.79% | 3.02% | 2.37% | 1.82% | 2.95% | 3.22% | 2.34% | 2.01% | 2.94% | 1.14% |
GSIE Goldman Sachs ActiveBeta International Equity ETF | 2.78% | 2.87% | 3.01% | 2.40% | 1.24% | 2.80% | 2.68% | 2.31% | 2.15% | 0.13% | 0.00% |
Drawdowns
QEFA vs. GSIE - Drawdown Comparison
The maximum QEFA drawdown since its inception was -31.71%, smaller than the maximum GSIE drawdown of -34.63%. Use the drawdown chart below to compare losses from any high point for QEFA and GSIE. For additional features, visit the drawdowns tool.
Volatility
QEFA vs. GSIE - Volatility Comparison
SPDR MSCI EAFE StrategicFactors ETF (QEFA) has a higher volatility of 3.85% compared to Goldman Sachs ActiveBeta International Equity ETF (GSIE) at 3.59%. This indicates that QEFA's price experiences larger fluctuations and is considered to be riskier than GSIE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.