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

Performance

EUFN vs. XLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Europe Financials ETF (EUFN) and Financial Select Sector SPDR Fund (XLF). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
1.39%
18.70%
EUFN
XLF

Returns By Period

In the year-to-date period, EUFN achieves a 16.64% return, which is significantly lower than XLF's 33.66% return. Over the past 10 years, EUFN has underperformed XLF with an annualized return of 4.41%, while XLF has yielded a comparatively higher 11.87% annualized return.


EUFN

YTD

16.64%

1M

-4.21%

6M

1.40%

1Y

24.56%

5Y (annualized)

9.29%

10Y (annualized)

4.41%

XLF

YTD

33.66%

1M

4.35%

6M

18.70%

1Y

43.68%

5Y (annualized)

13.10%

10Y (annualized)

11.87%

Key characteristics


EUFNXLF
Sharpe Ratio1.653.21
Sortino Ratio2.194.54
Omega Ratio1.281.59
Calmar Ratio3.053.63
Martin Ratio9.2922.93
Ulcer Index2.68%1.93%
Daily Std Dev15.08%13.77%
Max Drawdown-53.25%-82.69%
Current Drawdown-5.44%-0.66%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for EUFN, currently valued at 1.65, compared to the broader market0.002.004.006.001.653.21
The chart of Sortino ratio for EUFN, currently valued at 2.19, compared to the broader market-2.000.002.004.006.008.0010.0012.002.194.54
The chart of Omega ratio for EUFN, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.59
The chart of Calmar ratio for EUFN, currently valued at 3.05, compared to the broader market0.005.0010.0015.003.053.63
The chart of Martin ratio for EUFN, currently valued at 9.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.2922.93
EUFN
XLF

The current EUFN Sharpe Ratio is 1.65, which is lower than the XLF Sharpe Ratio of 3.21. 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
1.65
3.21
EUFN
XLF

Dividends

EUFN vs. XLF - Dividend Comparison

EUFN's dividend yield for the trailing twelve months is around 4.62%, more than XLF's 1.34% 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%
XLF
Financial Select Sector SPDR Fund
1.34%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%1.95%1.61%1.47%

Drawdowns

EUFN vs. XLF - Drawdown Comparison

The maximum EUFN drawdown since its inception was -53.25%, smaller than the maximum XLF drawdown of -82.69%. 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
-5.44%
-0.66%
EUFN
XLF

Volatility

EUFN vs. XLF - Volatility Comparison

The current volatility for iShares MSCI Europe Financials ETF (EUFN) is 4.75%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 7.02%. 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
4.75%
7.02%
EUFN
XLF