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EUFN vs. IEUR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EUFNIEUR
YTD Return19.10%6.75%
1Y Return34.77%19.05%
3Y Return (Ann)10.15%2.03%
5Y Return (Ann)9.38%6.72%
10Y Return (Ann)4.78%5.68%
Sharpe Ratio2.561.73
Sortino Ratio3.322.46
Omega Ratio1.431.30
Calmar Ratio4.611.88
Martin Ratio15.549.73
Ulcer Index2.46%2.33%
Daily Std Dev14.95%13.14%
Max Drawdown-53.25%-36.96%
Current Drawdown-3.44%-6.42%

Correlation

-0.50.00.51.00.9

The correlation between EUFN and IEUR is 0.87, 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. IEUR - Performance Comparison

In the year-to-date period, EUFN achieves a 19.10% return, which is significantly higher than IEUR's 6.75% return. Over the past 10 years, EUFN has underperformed IEUR with an annualized return of 4.78%, while IEUR has yielded a comparatively higher 5.68% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


30.00%40.00%50.00%60.00%70.00%JuneJulyAugustSeptemberOctoberNovember
42.28%
54.57%
EUFN
IEUR

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EUFN vs. IEUR - Expense Ratio Comparison

EUFN has a 0.48% expense ratio, which is higher than IEUR's 0.09% expense ratio.


EUFN
iShares MSCI Europe Financials ETF
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%
Expense ratio chart for IEUR: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

EUFN vs. IEUR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe Financials ETF (EUFN) and iShares Core MSCI Europe ETF (IEUR). 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 2.56, compared to the broader market-2.000.002.004.006.002.56
Sortino ratio
The chart of Sortino ratio for EUFN, currently valued at 3.32, compared to the broader market0.005.0010.003.32
Omega ratio
The chart of Omega ratio for EUFN, currently valued at 1.43, compared to the broader market1.001.502.002.503.003.501.43
Calmar ratio
The chart of Calmar ratio for EUFN, currently valued at 4.61, compared to the broader market0.005.0010.0015.0020.004.61
Martin ratio
The chart of Martin ratio for EUFN, currently valued at 15.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.54
IEUR
Sharpe ratio
The chart of Sharpe ratio for IEUR, currently valued at 1.73, compared to the broader market-2.000.002.004.006.001.73
Sortino ratio
The chart of Sortino ratio for IEUR, currently valued at 2.46, compared to the broader market0.005.0010.002.46
Omega ratio
The chart of Omega ratio for IEUR, currently valued at 1.30, compared to the broader market1.001.502.002.503.003.501.30
Calmar ratio
The chart of Calmar ratio for IEUR, currently valued at 1.88, compared to the broader market0.005.0010.0015.0020.001.88
Martin ratio
The chart of Martin ratio for IEUR, currently valued at 9.73, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.73

EUFN vs. IEUR - Sharpe Ratio Comparison

The current EUFN Sharpe Ratio is 2.56, which is higher than the IEUR Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of EUFN and IEUR, 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.56
1.73
EUFN
IEUR

Dividends

EUFN vs. IEUR - Dividend Comparison

EUFN's dividend yield for the trailing twelve months is around 4.53%, more than IEUR's 3.06% yield.


TTM20232022202120202019201820172016201520142013
EUFN
iShares MSCI Europe Financials ETF
4.53%5.00%4.24%4.15%1.38%4.55%6.48%3.04%4.03%3.65%3.35%1.59%
IEUR
iShares Core MSCI Europe ETF
3.06%3.17%3.05%2.88%2.13%3.26%3.76%2.64%3.19%2.79%0.64%0.00%

Drawdowns

EUFN vs. IEUR - Drawdown Comparison

The maximum EUFN drawdown since its inception was -53.25%, which is greater than IEUR's maximum drawdown of -36.96%. Use the drawdown chart below to compare losses from any high point for EUFN and IEUR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.44%
-6.42%
EUFN
IEUR

Volatility

EUFN vs. IEUR - Volatility Comparison

iShares MSCI Europe Financials ETF (EUFN) has a higher volatility of 3.32% compared to iShares Core MSCI Europe ETF (IEUR) at 3.13%. This indicates that EUFN's price experiences larger fluctuations and is considered to be riskier than IEUR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.32%
3.13%
EUFN
IEUR