PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EUFN vs. FDD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EUFNFDD
YTD Return19.60%4.52%
1Y Return35.32%18.28%
3Y Return (Ann)10.04%-0.01%
5Y Return (Ann)9.46%3.12%
10Y Return (Ann)4.87%3.97%
Sharpe Ratio2.481.35
Sortino Ratio3.221.88
Omega Ratio1.411.23
Calmar Ratio4.510.63
Martin Ratio14.945.04
Ulcer Index2.47%3.74%
Daily Std Dev14.89%13.96%
Max Drawdown-53.25%-74.76%
Current Drawdown-3.04%-15.29%

Correlation

-0.50.00.51.00.8

The correlation between EUFN and FDD is 0.81, 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

EUFN vs. FDD - Performance Comparison

In the year-to-date period, EUFN achieves a 19.60% return, which is significantly higher than FDD's 4.52% return. Over the past 10 years, EUFN has outperformed FDD with an annualized return of 4.87%, while FDD has yielded a comparatively lower 3.97% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.04%
2.61%
EUFN
FDD

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EUFN vs. FDD - Expense Ratio Comparison

EUFN has a 0.48% expense ratio, which is lower than FDD's 0.58% expense ratio.


FDD
First Trust STOXX European Select Dividend Index Fund
Expense ratio chart for FDD: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for EUFN: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%

Risk-Adjusted Performance

EUFN vs. FDD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe Financials ETF (EUFN) and First Trust STOXX European Select Dividend Index Fund (FDD). 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.


EUFN
Sharpe ratio
The chart of Sharpe ratio for EUFN, currently valued at 2.48, compared to the broader market0.002.004.006.002.48
Sortino ratio
The chart of Sortino ratio for EUFN, currently valued at 3.22, compared to the broader market0.005.0010.003.22
Omega ratio
The chart of Omega ratio for EUFN, currently valued at 1.41, compared to the broader market1.001.502.002.503.003.501.41
Calmar ratio
The chart of Calmar ratio for EUFN, currently valued at 4.51, compared to the broader market0.005.0010.0015.0020.004.51
Martin ratio
The chart of Martin ratio for EUFN, currently valued at 14.94, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.94
FDD
Sharpe ratio
The chart of Sharpe ratio for FDD, currently valued at 1.35, compared to the broader market0.002.004.006.001.35
Sortino ratio
The chart of Sortino ratio for FDD, currently valued at 1.88, compared to the broader market0.005.0010.001.88
Omega ratio
The chart of Omega ratio for FDD, currently valued at 1.23, compared to the broader market1.001.502.002.503.003.501.23
Calmar ratio
The chart of Calmar ratio for FDD, currently valued at 0.93, compared to the broader market0.005.0010.0015.0020.000.93
Martin ratio
The chart of Martin ratio for FDD, currently valued at 5.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.04

EUFN vs. FDD - Sharpe Ratio Comparison

The current EUFN Sharpe Ratio is 2.48, which is higher than the FDD Sharpe Ratio of 1.35. The chart below compares the historical Sharpe Ratios of EUFN and FDD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.48
1.35
EUFN
FDD

Dividends

EUFN vs. FDD - Dividend Comparison

EUFN's dividend yield for the trailing twelve months is around 4.51%, less than FDD's 6.26% yield.


TTM20232022202120202019201820172016201520142013
EUFN
iShares MSCI Europe Financials ETF
4.51%5.00%4.24%4.15%1.38%4.55%6.48%3.04%4.03%3.65%3.35%1.59%
FDD
First Trust STOXX European Select Dividend Index Fund
6.26%6.85%6.07%3.44%4.01%4.69%5.05%2.78%4.88%4.35%4.30%3.62%

Drawdowns

EUFN vs. FDD - Drawdown Comparison

The maximum EUFN drawdown since its inception was -53.25%, smaller than the maximum FDD drawdown of -74.76%. Use the drawdown chart below to compare losses from any high point for EUFN and FDD. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.04%
-4.15%
EUFN
FDD

Volatility

EUFN vs. FDD - Volatility Comparison

iShares MSCI Europe Financials ETF (EUFN) and First Trust STOXX European Select Dividend Index Fund (FDD) have volatilities of 3.08% and 3.11%, 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.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.08%
3.11%
EUFN
FDD