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EWU vs. FEZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWUFEZ
YTD Return9.95%5.87%
1Y Return19.36%19.68%
3Y Return (Ann)6.27%3.68%
5Y Return (Ann)5.59%7.44%
10Y Return (Ann)3.32%5.86%
Sharpe Ratio1.521.22
Sortino Ratio2.121.74
Omega Ratio1.261.21
Calmar Ratio2.441.92
Martin Ratio9.395.95
Ulcer Index1.97%3.23%
Daily Std Dev12.10%15.75%
Max Drawdown-63.99%-64.21%
Current Drawdown-5.36%-8.23%

Correlation

-0.50.00.51.00.8

The correlation between EWU and FEZ is 0.82, 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

EWU vs. FEZ - Performance Comparison

In the year-to-date period, EWU achieves a 9.95% return, which is significantly higher than FEZ's 5.87% return. Over the past 10 years, EWU has underperformed FEZ with an annualized return of 3.32%, while FEZ has yielded a comparatively higher 5.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
1.62%
-3.51%
EWU
FEZ

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EWU vs. FEZ - Expense Ratio Comparison

EWU has a 0.50% expense ratio, which is higher than FEZ's 0.29% expense ratio.


EWU
iShares MSCI United Kingdom ETF
Expense ratio chart for EWU: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for FEZ: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

EWU vs. FEZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI United Kingdom ETF (EWU) and SPDR EURO STOXX 50 ETF (FEZ). 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.


EWU
Sharpe ratio
The chart of Sharpe ratio for EWU, currently valued at 1.52, compared to the broader market-2.000.002.004.006.001.52
Sortino ratio
The chart of Sortino ratio for EWU, currently valued at 2.12, compared to the broader market0.005.0010.002.12
Omega ratio
The chart of Omega ratio for EWU, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for EWU, currently valued at 2.44, compared to the broader market0.005.0010.0015.002.44
Martin ratio
The chart of Martin ratio for EWU, currently valued at 9.39, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.39
FEZ
Sharpe ratio
The chart of Sharpe ratio for FEZ, currently valued at 1.22, compared to the broader market-2.000.002.004.006.001.22
Sortino ratio
The chart of Sortino ratio for FEZ, currently valued at 1.74, compared to the broader market0.005.0010.001.74
Omega ratio
The chart of Omega ratio for FEZ, currently valued at 1.21, compared to the broader market0.501.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for FEZ, currently valued at 1.92, compared to the broader market0.005.0010.0015.001.92
Martin ratio
The chart of Martin ratio for FEZ, currently valued at 5.95, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.95

EWU vs. FEZ - Sharpe Ratio Comparison

The current EWU Sharpe Ratio is 1.52, which is comparable to the FEZ Sharpe Ratio of 1.22. The chart below compares the historical Sharpe Ratios of EWU and FEZ, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.52
1.22
EWU
FEZ

Dividends

EWU vs. FEZ - Dividend Comparison

EWU's dividend yield for the trailing twelve months is around 4.01%, more than FEZ's 2.79% yield.


TTM20232022202120202019201820172016201520142013
EWU
iShares MSCI United Kingdom ETF
4.01%4.14%3.42%4.35%2.48%4.13%4.98%3.91%3.97%4.11%7.59%2.39%
FEZ
SPDR EURO STOXX 50 ETF
2.79%2.75%3.05%2.61%2.12%2.61%3.45%2.44%3.35%3.03%3.78%2.72%

Drawdowns

EWU vs. FEZ - Drawdown Comparison

The maximum EWU drawdown since its inception was -63.99%, roughly equal to the maximum FEZ drawdown of -64.21%. Use the drawdown chart below to compare losses from any high point for EWU and FEZ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.36%
-8.23%
EWU
FEZ

Volatility

EWU vs. FEZ - Volatility Comparison

The current volatility for iShares MSCI United Kingdom ETF (EWU) is 3.19%, while SPDR EURO STOXX 50 ETF (FEZ) has a volatility of 4.96%. This indicates that EWU experiences smaller price fluctuations and is considered to be less risky than FEZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.19%
4.96%
EWU
FEZ