XEN.TO vs. XEF.TO
XEN.TO (iShares Jantzi Social Index ETF) and XEF.TO (iShares Core MSCI EAFE IMI Index ETF) are both exchange-traded funds - XEN.TO is a Canada Equities fund tracking the Morningstar Canada GR CAD, while XEF.TO is a Foreign Large Cap Equities fund tracking the MSCI EAFE Investable Market Index (CAD). Both are passively managed. Over the past 10 years, XEN.TO returned 12.35%/yr vs 9.90%/yr for XEF.TO. A 0.54 correlation means they provide meaningful diversification when combined. XEN.TO charges 0.55%/yr vs 0.23%/yr for XEF.TO.
Performance
XEN.TO vs. XEF.TO - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with XEN.TO having a 10.45% return and XEF.TO slightly higher at 10.86%. Over the past 10 years, XEN.TO has outperformed XEF.TO with an annualized return of 12.35%, while XEF.TO has yielded a comparatively lower 9.90% annualized return.
XEN.TO
- 1D
- 0.70%
- 1M
- 4.07%
- YTD
- 10.45%
- 6M
- 10.76%
- 1Y
- 35.69%
- 3Y*
- 23.12%
- 5Y*
- 15.45%
- 10Y*
- 12.35%
XEF.TO
- 1D
- 0.82%
- 1M
- 4.86%
- YTD
- 10.86%
- 6M
- 11.37%
- 1Y
- 23.85%
- 3Y*
- 18.31%
- 5Y*
- 11.07%
- 10Y*
- 9.90%
XEN.TO vs. XEF.TO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
XEN.TO iShares Jantzi Social Index ETF | 10.45% | 34.17% | 16.91% | 12.18% | -3.37% | 28.00% | -0.30% | 17.34% | -7.93% | 10.65% |
XEF.TO iShares Core MSCI EAFE IMI Index ETF | 10.86% | 25.69% | 12.04% | 15.21% | -9.53% | 10.36% | 6.13% | 15.86% | -6.65% | 18.19% |
Correlation
The correlation between XEN.TO and XEF.TO is 0.63, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.63 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.62 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.61 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.61 |
Correlation (All Time) Calculated using the full available price history since Apr 16, 2013 | 0.54 |
The correlation between XEN.TO and XEF.TO has been stable across timeframes, ranging from 0.54 to 0.63 - a consistent structural relationship.
XEN.TO vs. XEF.TO - Sectors Allocation Comparison
Sectors
XEN.TO
XEF.TO
Financial Services
Energy
Basic Materials
Industrials
Technology
Consumer Cyclical
Consumer Defensive
Utilities
Communication Services
Real Estate
Healthcare
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Financial Services
XEN.TO
XEF.TO
Energy
XEN.TO
XEF.TO
Basic Materials
XEN.TO
XEF.TO
Industrials
XEN.TO
XEF.TO
Technology
XEN.TO
XEF.TO
Consumer Cyclical
XEN.TO
XEF.TO
Consumer Defensive
XEN.TO
XEF.TO
Utilities
XEN.TO
XEF.TO
Communication Services
XEN.TO
XEF.TO
Real Estate
XEN.TO
XEF.TO
Healthcare
XEN.TO
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XEF.TO
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Return for Risk
XEN.TO vs. XEF.TO — Risk / Return Rank
XEN.TO
XEF.TO
XEN.TO vs. XEF.TO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Jantzi Social Index ETF (XEN.TO) and iShares Core MSCI EAFE IMI Index ETF (XEF.TO). 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.
| XEN.TO | XEF.TO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.19 | ||
| Sortino ratioReturn per unit of downside risk | +1.39 | ||
| Omega ratioGain probability vs. loss probability | 1.54 | 1.32 | +0.22 |
| Calmar ratioReturn relative to maximum drawdown | 4.19 | 2.13 | +2.07 |
| Martin ratioReturn relative to average drawdown | 18.92 | 8.48 | +10.44 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| XEN.TO | XEF.TO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.91 | 1.73 | +1.19 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.12 | 0.82 | +0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.82 | 0.67 | +0.15 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.71 | -0.27 |
Drawdowns
XEN.TO vs. XEF.TO - Drawdown Comparison
The maximum XEN.TO drawdown since its inception was -49.69%, which is greater than XEF.TO's maximum drawdown of -28.51%. Use the drawdown chart below to compare losses from any high point for XEN.TO and XEF.TO.
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Drawdown Indicators
| XEN.TO | XEF.TO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.69% | -28.51% | -21.18% |
Max Drawdown (1Y)Largest decline over 1 year | -8.55% | -11.27% | +2.72% |
Max Drawdown (3Y)Largest decline over 3 years | -13.31% | -14.32% | +1.01% |
Max Drawdown (5Y)Largest decline over 5 years | -17.79% | -24.58% | +6.79% |
Max Drawdown (10Y)Largest decline over 10 years | -36.24% | -28.51% | -7.73% |
Current DrawdownCurrent decline from peak | 0.00% | -0.27% | +0.27% |
Average DrawdownAverage peak-to-trough decline | -7.65% | -4.61% | -3.04% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.89% | 2.82% | -0.93% |
Volatility
XEN.TO vs. XEF.TO - Volatility Comparison
The current volatility for iShares Jantzi Social Index ETF (XEN.TO) is 2.53%, while iShares Core MSCI EAFE IMI Index ETF (XEF.TO) has a volatility of 4.67%. This indicates that XEN.TO experiences smaller price fluctuations and is considered to be less risky than XEF.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| XEN.TO | XEF.TO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.53% | 4.67% | -2.14% |
Volatility (6M)Calculated over the trailing 6-month period | 9.88% | 11.59% | -1.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.31% | 13.85% | -1.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.91% | 13.58% | +0.33% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.07% | 14.85% | +0.22% |
XEN.TO vs. XEF.TO - Expense Ratio Comparison
XEN.TO has a 0.55% expense ratio, which is higher than XEF.TO's 0.23% expense ratio.
Dividends
XEN.TO vs. XEF.TO - Dividend Comparison
XEN.TO's dividend yield for the trailing twelve months is around 1.67%, less than XEF.TO's 2.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
XEF.TO iShares Core MSCI EAFE IMI Index ETF | 2.19% | 2.43% | 2.76% | 2.75% | 2.93% | 2.42% | 1.93% | 2.72% | 2.76% | 2.10% | 2.42% | 2.42% |
XEN.TO iShares Jantzi Social Index ETF | 1.67% | 1.83% | 2.29% | 2.46% | 2.60% | 1.73% | 3.72% | 2.13% | 2.31% | 1.75% | 2.07% | 2.57% |
Frequently Asked Questions
XEN.TO and XEF.TO have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, XEF.TO is cheaper at 0.23% per year. The better choice depends on whether you care most about return, fees, risk, or income.
XEF.TO is cheaper with a 0.23% expense ratio, compared with 0.55% for XEN.TO.
XEN.TO is categorized as Canada Equities, while XEF.TO is Foreign Large Cap Equities. XEN.TO tracks Morningstar Canada GR CAD, while XEF.TO tracks MSCI EAFE Investable Market Index (CAD). Their fees differ too: 0.55% for XEN.TO and 0.23% for XEF.TO.
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