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

Performance

EUFN vs. SPAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Europe Financials ETF (EUFN) and Robinson Alternative Yield Pre-merger SPAC ETF (SPAX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
1.39%
2.18%
EUFN
SPAX

Returns By Period

In the year-to-date period, EUFN achieves a 16.64% return, which is significantly higher than SPAX's 3.69% return.


EUFN

YTD

16.64%

1M

-4.21%

6M

1.40%

1Y

24.56%

5Y (annualized)

9.29%

10Y (annualized)

4.41%

SPAX

YTD

3.69%

1M

0.12%

6M

2.18%

1Y

4.62%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


EUFNSPAX
Sharpe Ratio1.650.87
Sortino Ratio2.191.35
Omega Ratio1.281.18
Calmar Ratio3.052.18
Martin Ratio9.299.62
Ulcer Index2.68%0.48%
Daily Std Dev15.08%5.27%
Max Drawdown-53.25%-8.88%
Current Drawdown-5.44%-0.64%

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EUFN vs. SPAX - Expense Ratio Comparison

EUFN has a 0.48% expense ratio, which is lower than SPAX's 0.85% expense ratio.


SPAX
Robinson Alternative Yield Pre-merger SPAC ETF
Expense ratio chart for SPAX: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
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%

Correlation

-0.50.00.51.00.1

The correlation between EUFN and SPAX is 0.07, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

EUFN vs. SPAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe Financials ETF (EUFN) and Robinson Alternative Yield Pre-merger SPAC ETF (SPAX). 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.


Sharpe ratio
The chart of Sharpe ratio for EUFN, currently valued at 1.65, compared to the broader market0.002.004.006.001.650.87
The chart of Sortino ratio for EUFN, currently valued at 2.19, compared to the broader market-2.000.002.004.006.008.0010.0012.002.191.35
The chart of Omega ratio for EUFN, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.18
The chart of Calmar ratio for EUFN, currently valued at 3.05, compared to the broader market0.005.0010.0015.003.052.18
The chart of Martin ratio for EUFN, currently valued at 9.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.299.62
EUFN
SPAX

The current EUFN Sharpe Ratio is 1.65, which is higher than the SPAX Sharpe Ratio of 0.87. The chart below compares the historical Sharpe Ratios of EUFN and SPAX, 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
1.65
0.87
EUFN
SPAX

Dividends

EUFN vs. SPAX - Dividend Comparison

EUFN's dividend yield for the trailing twelve months is around 4.62%, less than SPAX's 10.23% yield.


TTM20232022202120202019201820172016201520142013
EUFN
iShares MSCI Europe Financials ETF
4.62%5.00%4.23%4.15%1.38%4.55%6.48%3.04%4.03%3.65%3.35%1.59%
SPAX
Robinson Alternative Yield Pre-merger SPAC ETF
10.23%7.54%0.97%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

EUFN vs. SPAX - Drawdown Comparison

The maximum EUFN drawdown since its inception was -53.25%, which is greater than SPAX's maximum drawdown of -8.88%. Use the drawdown chart below to compare losses from any high point for EUFN and SPAX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.44%
-0.64%
EUFN
SPAX

Volatility

EUFN vs. SPAX - Volatility Comparison

iShares MSCI Europe Financials ETF (EUFN) has a higher volatility of 4.75% compared to Robinson Alternative Yield Pre-merger SPAC ETF (SPAX) at 1.57%. This indicates that EUFN's price experiences larger fluctuations and is considered to be riskier than SPAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.75%
1.57%
EUFN
SPAX