ERO.L vs. FRXD.L
ERO.L (SPDR MSCI Europe UCITS ETF) and FRXD.L (Franklin European Quality Dividend UCITS ETF EUR (Dist)) are both Europe Equities funds - ERO.L tracks the MSCI Europe NR EUR while FRXD.L tracks the LibertyQ European Dividend Index-NR. Both are passively managed. Over the past 5 years, ERO.L returned 10.17%/yr vs 12.37%/yr for FRXD.L. A 0.74 correlation means they provide meaningful diversification when combined. Both charge a 0.25% expense ratio.
Performance
ERO.L vs. FRXD.L - Performance Comparison
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Different Trading Currencies
ERO.L is traded in GBP, while FRXD.L is traded in EUR. To make them comparable, the FRXD.L values have been converted to GBP using the latest available exchange rates.
Returns By Period
In the year-to-date period, ERO.L achieves a 7.98% return, which is significantly lower than FRXD.L's 10.07% return.
ERO.L
- 1D
- -0.06%
- 1M
- -1.37%
- 6M
- 4.82%
- YTD
- 7.98%
- 1Y
- 18.23%
- 3Y*
- 14.22%
- 5Y*
- 10.17%
- 10Y*
- 9.64%
FRXD.L
- 1D
- 0.92%
- 1M
- -1.48%
- 6M
- 9.59%
- YTD
- 10.07%
- 1Y
- 18.37%
- 3Y*
- 18.84%
- 5Y*
- 12.37%
- 10Y*
- —
ERO.L vs. FRXD.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ERO.L SPDR MSCI Europe UCITS ETF | 7.98% | 25.68% | 3.93% | 13.00% | -3.77% | 16.91% | 2.21% | 19.36% | -9.30% | 0.79% |
FRXD.L Franklin European Quality Dividend UCITS ETF EUR (Dist) | 10.07% | 30.65% | 7.63% | 8.12% | 5.16% | 10.32% | 1.12% | 17.41% | -8.42% | -3.16% |
Correlation
The correlation between ERO.L and FRXD.L is 0.61, 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 | 0.61 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.58 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.68 |
Correlation (All Time) Calculated using the full available price history since Sep 8, 2017 | 0.74 |
The correlation between ERO.L and FRXD.L shifts across timeframes, from 0.58 (3 years) to 0.74 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ERO.L vs. FRXD.L — Risk / Return Rank
ERO.L
FRXD.L
ERO.L vs. FRXD.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI Europe UCITS ETF (ERO.L) and Franklin European Quality Dividend UCITS ETF EUR (Dist) (FRXD.L). 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.
| ERO.L | FRXD.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.60 | ||
| Sortino ratioReturn per unit of downside risk | -0.89 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.36 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.69 | 5.09 | -3.40 |
| Martin ratioReturn relative to average drawdown | 5.97 | 11.52 | -5.56 |
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Drawdowns
ERO.L vs. FRXD.L - Drawdown Comparison
The maximum ERO.L drawdown since its inception was -28.41%, roughly equal to the maximum FRXD.L drawdown of -29.39%. Use the drawdown chart below to compare losses from any high point for ERO.L and FRXD.L.
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Drawdown Indicators
| ERO.L | FRXD.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.41% | -29.39% | +0.98% |
Max Drawdown (1Y)Largest decline over 1 year | -10.73% | -3.59% | -7.14% |
Max Drawdown (3Y)Largest decline over 3 years | -12.84% | -8.29% | -4.55% |
Max Drawdown (5Y)Largest decline over 5 years | -15.76% | -12.18% | -3.58% |
Max Drawdown (10Y)Largest decline over 10 years | -28.41% | — | — |
Current DrawdownCurrent decline from peak | -2.68% | -2.43% | -0.25% |
Average DrawdownAverage peak-to-trough decline | -4.30% | -3.52% | -0.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.05% | 1.59% | +1.46% |
Volatility
ERO.L vs. FRXD.L - Volatility Comparison
SPDR MSCI Europe UCITS ETF (ERO.L) has a higher volatility of 3.43% compared to Franklin European Quality Dividend UCITS ETF EUR (Dist) (FRXD.L) at 2.73%. This indicates that ERO.L's price experiences larger fluctuations and is considered to be riskier than FRXD.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ERO.L | FRXD.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.43% | 2.73% | +0.70% |
Volatility (6M)Calculated over the trailing 6-month period | 10.76% | 7.14% | +3.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.57% | 8.95% | +3.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.83% | 11.34% | +2.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.80% | 13.38% | +1.42% |
ERO.L vs. FRXD.L - Expense Ratio Comparison
Both ERO.L and FRXD.L have an expense ratio of 0.25%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Dividends
ERO.L vs. FRXD.L - Dividend Comparison
ERO.L has not paid dividends to shareholders, while FRXD.L's dividend yield for the trailing twelve months is around 3.91%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
ERO.L SPDR MSCI Europe UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FRXD.L Franklin European Quality Dividend UCITS ETF EUR (Dist) | 3.91% | 4.28% | 4.30% | 5.00% | 5.20% | 4.63% | 3.53% | 4.42% | 5.53% |
Frequently Asked Questions
ERO.L and FRXD.L have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
Both ETFs have the same 0.25% expense ratio. The better choice depends on whether you care most about return, fees, risk, or income.
ERO.L and FRXD.L have the same expense ratio: 0.25% per year.
ERO.L tracks MSCI Europe NR EUR, while FRXD.L tracks LibertyQ European Dividend Index-NR. They also come from different issuers: State Street and Franklin.
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