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

Key characteristics


EUFNXLF
YTD Return19.60%24.49%
1Y Return35.32%39.25%
3Y Return (Ann)10.04%6.96%
5Y Return (Ann)9.46%11.55%
10Y Return (Ann)4.87%13.56%
Sharpe Ratio2.483.32
Sortino Ratio3.224.34
Omega Ratio1.411.57
Calmar Ratio4.512.54
Martin Ratio14.9421.37
Ulcer Index2.47%1.92%
Daily Std Dev14.89%12.36%
Max Drawdown-53.25%-82.43%
Current Drawdown-3.04%-2.81%

Correlation

-0.50.00.51.00.7

The correlation between EUFN and XLF is 0.72, 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. XLF - Performance Comparison

In the year-to-date period, EUFN achieves a 19.60% return, which is significantly lower than XLF's 24.49% return. Over the past 10 years, EUFN has underperformed XLF with an annualized return of 4.87%, while XLF has yielded a comparatively higher 13.56% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
9.04%
13.54%
EUFN
XLF

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. XLF - Expense Ratio Comparison

EUFN has a 0.48% expense ratio, which is higher than XLF's 0.13% 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 XLF: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

EUFN vs. XLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Europe Financials ETF (EUFN) and Financial Select Sector SPDR Fund (XLF). 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 market1.001.502.002.503.001.41
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
XLF
Sharpe ratio
The chart of Sharpe ratio for XLF, currently valued at 3.32, compared to the broader market0.002.004.006.003.32
Sortino ratio
The chart of Sortino ratio for XLF, currently valued at 4.34, compared to the broader market0.005.0010.004.34
Omega ratio
The chart of Omega ratio for XLF, currently valued at 1.57, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for XLF, currently valued at 2.54, compared to the broader market0.005.0010.0015.0020.002.54
Martin ratio
The chart of Martin ratio for XLF, currently valued at 21.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.37

EUFN vs. XLF - Sharpe Ratio Comparison

The current EUFN Sharpe Ratio is 2.48, which is comparable to the XLF Sharpe Ratio of 3.32. The chart below compares the historical Sharpe Ratios of EUFN and XLF, 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 Ratio1.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.48
3.32
EUFN
XLF

Dividends

EUFN vs. XLF - Dividend Comparison

EUFN's dividend yield for the trailing twelve months is around 4.51%, more than XLF's 1.44% 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%
XLF
Financial Select Sector SPDR Fund
1.44%1.71%2.04%1.63%2.03%1.87%2.08%1.48%1.63%2.40%1.98%1.81%

Drawdowns

EUFN vs. XLF - Drawdown Comparison

The maximum EUFN drawdown since its inception was -53.25%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for EUFN and XLF. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.04%
-2.81%
EUFN
XLF

Volatility

EUFN vs. XLF - Volatility Comparison

The current volatility for iShares MSCI Europe Financials ETF (EUFN) is 3.08%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 3.98%. This indicates that EUFN experiences smaller price fluctuations and is considered to be less risky than XLF 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
3.08%
3.98%
EUFN
XLF