SPDR® MSCI EAFE Fossil Fuel Reserves Free ETF

10-Year Study

EFAX.US · · US · ETF

Executive Summary: SPDR® MSCI EAFE Fossil Fuel Reserves Free ETF has compounded at 9.0% annually over the last 10 years, with a maximum drawdown of 29.7% and an annualized volatility of 14.9%.

1Y CAGR
+18.7%
3Y CAGR
+17.1%
5Y CAGR
+7.5%
10Y CAGR
+9.0%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
29.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.37
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.57
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +31.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -16.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.24.0-9.06.8————————5.3%
20255.32.6-0.14.74.62.4-2.54.42.21.00.32.931.3%
20240.33.13.0-3.85.0-1.32.93.60.7-5.3-0.1-2.94.8%
20238.9-2.92.92.8-3.64.62.5-4.0-4.2-3.18.85.218.0%
2022-4.6-3.8-0.1-6.71.3-8.35.3-6.9-8.95.313.2-1.6-16.7%
2021-1.32.02.33.13.7-1.41.11.6-3.73.2-4.64.410.5%
2020-2.6-7.6-14.27.05.43.81.65.5-1.7-3.914.14.89.6%
20196.52.30.83.3-4.85.9-1.7-1.83.53.51.32.923.5%
20185.0-4.3-1.41.3-2.6-1.43.0-1.80.5-8.20.6-5.8-14.8%
20172.22.33.33.63.5-0.82.4-0.02.01.31.01.023.9%
2016——————————-3.34.30.9%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 14.9%. The dominant macroeconomic risk driver is VEA.US, accounting for 95.7% of variance. Idiosyncratic stock-specific factors contribute 0.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-10-0110000
2016-11-019670.722336065573
2016-12-0110086.364412568308
2017-01-0110311.00580601093
2017-02-0110552.296789617489
2017-03-0110896.388319672133
2017-04-0111284.15300546448
2017-05-0111679.559426229509
2017-06-0111584.699453551912
2017-07-0111862.363387978143
2017-08-0111860.655737704918
2017-09-0112099.470628415302
2017-10-0112256.745218579235
2017-11-0112378.884904371585
2017-12-0112500.085382513662
2018-01-0113126.238046448088
2018-02-0112567.025273224044
2018-03-0112388.618510928964
2018-04-0112548.155737704918
2018-05-0112220.500341530054
2018-06-0112049.009562841531
2018-07-0112408.21379781421
2018-08-0112183.017418032789
2018-09-0112245.68818306011
2018-10-0111242.315573770491
2018-11-0111310.28005464481
2018-12-0110653.133538251366
2019-01-0111350.665983606557
2019-02-0111616.717896174863
2019-03-0111711.108265027322
2019-04-0112099.171789617487
2019-05-0111515.539617486338
2019-06-0112196.67862021858
2019-07-0111990.266393442624
2019-08-0111777.792008196722
2019-09-0112194.885587431694
2019-10-0112620.987021857924
2019-11-0112783.29918032787
2019-12-0113158.598019125684
2020-01-0112822.831284153006
2020-02-0111850.922131147541
2020-03-0110168.630464480875
2020-04-0110878.457991803278
2020-05-0111467.2131147541
2020-06-0111904.542349726777
2020-07-0112098.531420765028
2020-08-0112763.405054644807
2020-09-0112548.454576502732
2020-10-0112056.181693989072
2020-11-0113754.012978142076
2020-12-0114417.990095628416
2021-01-0114232.838114754099
2021-02-0114515.923838797813
2021-03-0114854.294740437157
2021-04-0115315.274931693988
2021-05-0115881.574453551912
2021-06-0115660.476434426231
2021-07-0115836.70594262295
2021-08-0116083.376024590163
2021-09-0115496.200478142075
2021-10-0115997.95081967213
2021-11-0115258.879781420766
2021-12-0115933.74316939891
2022-01-0115199.496243169398
2022-02-0114629.012978142078
2022-03-0114608.56386612022
2022-04-0113632.12943989071
2022-05-0113803.022540983608
2022-06-0112655.054644808743
2022-07-0113332.052595628415
2022-08-0112409.579918032787
2022-09-0111307.974726775956
2022-10-0111907.957650273223
2022-11-0113485.356898907105
2022-12-0113269.082991803278
2023-01-0114454.576502732241
2023-02-0114042.264344262296
2023-03-0114452.228483606557
2023-04-0114861.637636612022
2023-05-0114324.923155737702
2023-06-0114981.301229508197
2023-07-0115349.42793715847
2023-08-0114738.51605191257
2023-09-0114114.924863387978
2023-10-0113681.35245901639
2023-11-0114879.866803278688
2023-12-0115660.903346994537
2024-01-0115713.370901639346
2024-02-0116204.40573770492
2024-03-0116695.568647540982
2024-04-0116062.115778688523
2024-05-0116866.845969945356
2024-06-0116639.89924863388
2024-07-0117118.55362021858
2024-08-0117727.544398907106
2024-09-0117843.835382513662
2024-10-0116906.33538251366
2024-11-0116897.54098360656
2024-12-0116408.896857923497
2025-01-0117282.70150273224
2025-02-0117732.36851092896
2025-03-0117707.35143442623
2025-04-0118535.60450819672
2025-05-0119380.379098360656
2025-06-0119844.091530054644
2025-07-0119354.166666666668
2025-08-0120211.108265027324
2025-09-0120662.99521857924
2025-10-0120866.2056010929
2025-11-0120934.938524590165
2025-12-0121544.569672131147
2026-01-0122444.501366120217
2026-02-0123342.725409836068
2026-03-0121245.73087431694
2026-04-0122683.572404371585
Annual Return Matrix
YearAnnual Return
20170.2393053503934175
2018-0.14775513828457454
20190.23518568239834248
20200.09570868223744178
20210.10512929081773148
2022-0.16723378488446872
20230.18025513569164953
20240.047761836872105334
20250.3129809918774489
20260.05286727697855986
Total Factor Risk
0.14881942087770086
VTI.US Exposure
0.012014608176973715
VEA.US Exposure
0.9572386403462296
VWO.US Exposure
0.017403834600958044
QQQ.US Exposure
-0.012009256310173152
VTV.US Exposure
-0.035637961519783684
IJR.US Exposure
-0.011522058953284987
QUAL.US Exposure
0.04311843367284485
SHV.US Exposure
0.013826058747201766
TLT.US Exposure
-0.018169826002542258
LQD.US Exposure
0.02041959798236549
HYG.US Exposure
0.0013205705552676388
GLD.US Exposure
-0.014368178146918285
USO.US Exposure
0.01700660532671181
VNQ.US Exposure
-0.01375812610609461
BTC-USD.CC Exposure
-0.0016900066096819742
CPER.US Exposure
-0.007978668585410359
VIX.INDX Exposure
0.0009224516392608526
UUP.US Exposure
0.02302736167468981
TIP.US Exposure
0.00020542472262216995
Idiosyncratic Exposure
0.008630494788763628
Value Score
44
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
36.5
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.9%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →15.1x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.04%
Market Cap$63.8B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.1%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+7.3%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
3.1% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.02
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is SPDR® MSCI EAFE Fossil Fuel Reserves Free ETF a high-risk investment?

SPDR® MSCI EAFE Fossil Fuel Reserves Free ETF (EFAX.US) has an annualized volatility of 14.9% and experienced a maximum drawdown of 29.7% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of EFAX.US?

Over the past 10 years, EFAX.US has generated a Compound Annual Growth Rate (CAGR) of 9.0%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

Run a Full Backtest on SPDR® MSCI EAFE Fossil Fuel Reserves Free ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest