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

Key characteristics


EUFNPNQI
YTD Return19.10%21.18%
1Y Return34.77%37.15%
3Y Return (Ann)10.15%-4.17%
5Y Return (Ann)9.38%10.54%
10Y Return (Ann)4.78%12.68%
Sharpe Ratio2.562.50
Sortino Ratio3.323.23
Omega Ratio1.431.43
Calmar Ratio4.611.09
Martin Ratio15.5416.07
Ulcer Index2.46%2.75%
Daily Std Dev14.95%17.63%
Max Drawdown-53.25%-59.70%
Current Drawdown-3.44%-16.66%

Correlation

-0.50.00.51.00.5

The correlation between EUFN and PNQI is 0.51, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

EUFN vs. PNQI - Performance Comparison

In the year-to-date period, EUFN achieves a 19.10% return, which is significantly lower than PNQI's 21.18% return. Over the past 10 years, EUFN has underperformed PNQI with an annualized return of 4.78%, while PNQI has yielded a comparatively higher 12.68% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.59%
8.52%
EUFN
PNQI

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EUFN vs. PNQI - Expense Ratio Comparison

EUFN has a 0.48% expense ratio, which is lower than PNQI's 0.62% expense ratio.


PNQI
Invesco NASDAQ Internet ETF
Expense ratio chart for PNQI: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
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. PNQI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe Financials ETF (EUFN) and Invesco NASDAQ Internet ETF (PNQI). 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
PNQI
Sharpe ratio
The chart of Sharpe ratio for PNQI, currently valued at 2.50, compared to the broader market-2.000.002.004.006.002.50
Sortino ratio
The chart of Sortino ratio for PNQI, currently valued at 3.23, compared to the broader market0.005.0010.003.23
Omega ratio
The chart of Omega ratio for PNQI, 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 PNQI, currently valued at 1.09, compared to the broader market0.005.0010.0015.0020.001.09
Martin ratio
The chart of Martin ratio for PNQI, currently valued at 16.07, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.07

EUFN vs. PNQI - Sharpe Ratio Comparison

The current EUFN Sharpe Ratio is 2.56, which is comparable to the PNQI Sharpe Ratio of 2.50. The chart below compares the historical Sharpe Ratios of EUFN and PNQI, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.56
2.50
EUFN
PNQI

Dividends

EUFN vs. PNQI - Dividend Comparison

EUFN's dividend yield for the trailing twelve months is around 4.53%, while PNQI has not paid dividends to shareholders.


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%
PNQI
Invesco NASDAQ Internet ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.02%0.00%0.00%0.00%0.00%

Drawdowns

EUFN vs. PNQI - Drawdown Comparison

The maximum EUFN drawdown since its inception was -53.25%, smaller than the maximum PNQI drawdown of -59.70%. Use the drawdown chart below to compare losses from any high point for EUFN and PNQI. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.44%
-16.66%
EUFN
PNQI

Volatility

EUFN vs. PNQI - Volatility Comparison

The current volatility for iShares MSCI Europe Financials ETF (EUFN) is 3.32%, while Invesco NASDAQ Internet ETF (PNQI) has a volatility of 4.23%. This indicates that EUFN experiences smaller price fluctuations and is considered to be less risky than PNQI 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%8.00%JuneJulyAugustSeptemberOctoberNovember
3.32%
4.23%
EUFN
PNQI