QEFA vs. ITOT
Compare and contrast key facts about SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares Core S&P Total U.S. Stock Market ETF (ITOT).
QEFA and ITOT 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. ITOT is a passively managed fund by iShares that tracks the performance of the S&P Composite 1500 Index. It was launched on Jan 20, 2004. Both QEFA and ITOT 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 ITOT.
Key characteristics
| QEFA | ITOT | |
|---|---|---|
| YTD Return | 4.39% | 26.18% |
| 1Y Return | 14.32% | 38.45% |
| 3Y Return (Ann) | 1.48% | 8.73% |
| 5Y Return (Ann) | 5.53% | 15.29% |
| 10Y Return (Ann) | 6.12% | 12.97% |
| Sharpe Ratio | 1.24 | 3.04 |
| Sortino Ratio | 1.77 | 4.05 |
| Omega Ratio | 1.22 | 1.57 |
| Calmar Ratio | 1.50 | 4.52 |
| Martin Ratio | 6.59 | 19.70 |
| Ulcer Index | 2.23% | 1.95% |
| Daily Std Dev | 11.88% | 12.63% |
| Max Drawdown | -31.71% | -55.21% |
| Current Drawdown | -7.83% | -0.45% |
Correlation
The correlation between QEFA and ITOT is 0.68, 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. ITOT - Performance Comparison
In the year-to-date period, QEFA achieves a 4.39% return, which is significantly lower than ITOT's 26.18% return. Over the past 10 years, QEFA has underperformed ITOT with an annualized return of 6.12%, while ITOT has yielded a comparatively higher 12.97% 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. ITOT - Expense Ratio Comparison
QEFA has a 0.30% expense ratio, which is higher than ITOT's 0.03% expense ratio.
Risk-Adjusted Performance
QEFA vs. ITOT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares Core S&P Total U.S. Stock Market ETF (ITOT). 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. ITOT - Dividend Comparison
QEFA's dividend yield for the trailing twelve months is around 2.90%, more than ITOT's 1.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QEFA SPDR MSCI EAFE StrategicFactors ETF | 2.90% | 2.79% | 3.02% | 2.37% | 1.82% | 2.95% | 3.22% | 2.34% | 2.01% | 2.94% | 1.14% | 0.00% |
ITOT iShares Core S&P Total U.S. Stock Market ETF | 1.20% | 1.47% | 1.66% | 1.18% | 1.41% | 1.88% | 2.14% | 1.69% | 1.83% | 2.01% | 2.20% | 2.06% |
Drawdowns
QEFA vs. ITOT - Drawdown Comparison
The maximum QEFA drawdown since its inception was -31.71%, smaller than the maximum ITOT drawdown of -55.21%. Use the drawdown chart below to compare losses from any high point for QEFA and ITOT. For additional features, visit the drawdowns tool.
Volatility
QEFA vs. ITOT - Volatility Comparison
SPDR MSCI EAFE StrategicFactors ETF (QEFA) and iShares Core S&P Total U.S. Stock Market ETF (ITOT) have volatilities of 4.13% and 4.03%, 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.