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

Key characteristics


EUFNSPY
YTD Return19.60%21.01%
1Y Return35.32%32.86%
3Y Return (Ann)10.04%8.37%
5Y Return (Ann)9.46%14.97%
10Y Return (Ann)4.87%12.86%
Sharpe Ratio2.482.83
Sortino Ratio3.223.76
Omega Ratio1.411.53
Calmar Ratio4.514.05
Martin Ratio14.9418.38
Ulcer Index2.47%1.85%
Daily Std Dev14.89%12.02%
Max Drawdown-53.25%-55.19%
Current Drawdown-3.04%-2.53%

Correlation

-0.50.00.51.00.7

The correlation between EUFN and SPY is 0.69, 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. SPY - Performance Comparison

In the year-to-date period, EUFN achieves a 19.60% return, which is significantly lower than SPY's 21.01% return. Over the past 10 years, EUFN has underperformed SPY with an annualized return of 4.87%, while SPY has yielded a comparatively higher 12.86% 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%
11.00%
EUFN
SPY

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EUFN vs. SPY - Expense Ratio Comparison

EUFN has a 0.48% expense ratio, which is higher than SPY'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 SPY: 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. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe Financials ETF (EUFN) and SPDR S&P 500 ETF (SPY). 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
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.83, compared to the broader market0.002.004.006.002.83
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.53, compared to the broader market1.001.502.002.503.003.501.53
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.38

EUFN vs. SPY - Sharpe Ratio Comparison

The current EUFN Sharpe Ratio is 2.48, which is comparable to the SPY Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of EUFN and SPY, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.48
2.83
EUFN
SPY

Dividends

EUFN vs. SPY - Dividend Comparison

EUFN's dividend yield for the trailing twelve months is around 4.51%, more than SPY's 1.23% 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%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

EUFN vs. SPY - Drawdown Comparison

The maximum EUFN drawdown since its inception was -53.25%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EUFN and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.04%
-2.53%
EUFN
SPY

Volatility

EUFN vs. SPY - Volatility Comparison

iShares MSCI Europe Financials ETF (EUFN) and SPDR S&P 500 ETF (SPY) have volatilities of 3.08% and 3.15%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.08%
3.15%
EUFN
SPY