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

Correlation

The correlation between EURL and EUFN is 0.87, 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.


-0.50.00.51.00.9

Performance

EURL vs. EUFN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily FTSE Europe Bull 3x Shares (EURL) and iShares MSCI Europe Financials ETF (EUFN). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-19.37%
4.89%
EURL
EUFN

Key characteristics

Sharpe Ratio

EURL:

-0.23

EUFN:

1.14

Sortino Ratio

EURL:

-0.05

EUFN:

1.57

Omega Ratio

EURL:

0.99

EUFN:

1.20

Calmar Ratio

EURL:

-0.17

EUFN:

2.14

Martin Ratio

EURL:

-0.72

EUFN:

5.79

Ulcer Index

EURL:

12.32%

EUFN:

3.02%

Daily Std Dev

EURL:

39.41%

EUFN:

15.36%

Max Drawdown

EURL:

-84.65%

EUFN:

-53.26%

Current Drawdown

EURL:

-50.12%

EUFN:

-5.59%

Returns By Period

In the year-to-date period, EURL achieves a -10.40% return, which is significantly lower than EUFN's 16.44% return. Over the past 10 years, EURL has underperformed EUFN with an annualized return of -2.91%, while EUFN has yielded a comparatively higher 4.50% annualized return.


EURL

YTD

-10.40%

1M

-3.44%

6M

-20.62%

1Y

-9.10%

5Y*

-7.51%

10Y*

-2.91%

EUFN

YTD

16.44%

1M

0.73%

6M

4.06%

1Y

16.89%

5Y*

8.08%

10Y*

4.50%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EURL vs. EUFN - Expense Ratio Comparison

EURL has a 1.07% expense ratio, which is higher than EUFN's 0.48% expense ratio.


EURL
Direxion Daily FTSE Europe Bull 3x Shares
Expense ratio chart for EURL: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
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

EURL vs. EUFN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily FTSE Europe Bull 3x Shares (EURL) and iShares MSCI Europe Financials ETF (EUFN). 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 EURL, currently valued at -0.23, compared to the broader market0.002.004.00-0.231.14
The chart of Sortino ratio for EURL, currently valued at -0.05, compared to the broader market-2.000.002.004.006.008.0010.00-0.051.57
The chart of Omega ratio for EURL, currently valued at 0.99, compared to the broader market0.501.001.502.002.503.000.991.20
The chart of Calmar ratio for EURL, currently valued at -0.17, compared to the broader market0.005.0010.0015.00-0.172.14
The chart of Martin ratio for EURL, currently valued at -0.72, compared to the broader market0.0020.0040.0060.0080.00100.00-0.725.79
EURL
EUFN

The current EURL Sharpe Ratio is -0.23, which is lower than the EUFN Sharpe Ratio of 1.14. The chart below compares the historical Sharpe Ratios of EURL and EUFN, 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 Ratio-0.500.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
-0.23
1.14
EURL
EUFN

Dividends

EURL vs. EUFN - Dividend Comparison

EURL's dividend yield for the trailing twelve months is around 3.47%, less than EUFN's 5.39% yield.


TTM20232022202120202019201820172016201520142013
EURL
Direxion Daily FTSE Europe Bull 3x Shares
3.47%2.50%1.80%0.33%0.41%1.17%3.07%0.38%0.00%0.00%0.79%0.00%
EUFN
iShares MSCI Europe Financials ETF
5.39%5.00%4.23%4.15%1.38%4.55%6.48%3.04%4.03%3.65%3.35%1.59%

Drawdowns

EURL vs. EUFN - Drawdown Comparison

The maximum EURL drawdown since its inception was -84.65%, which is greater than EUFN's maximum drawdown of -53.26%. Use the drawdown chart below to compare losses from any high point for EURL and EUFN. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-50.12%
-5.59%
EURL
EUFN

Volatility

EURL vs. EUFN - Volatility Comparison

Direxion Daily FTSE Europe Bull 3x Shares (EURL) has a higher volatility of 10.35% compared to iShares MSCI Europe Financials ETF (EUFN) at 4.50%. This indicates that EURL's price experiences larger fluctuations and is considered to be riskier than EUFN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
10.35%
4.50%
EURL
EUFN
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab