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

Key characteristics


EZUFEZ
YTD Return6.34%7.93%
1Y Return18.72%20.84%
3Y Return (Ann)1.64%4.36%
5Y Return (Ann)6.52%7.91%
10Y Return (Ann)5.75%6.07%
Sharpe Ratio1.361.40
Sortino Ratio1.941.99
Omega Ratio1.241.24
Calmar Ratio1.592.18
Martin Ratio6.336.86
Ulcer Index3.15%3.17%
Daily Std Dev14.63%15.51%
Max Drawdown-66.37%-64.21%
Current Drawdown-6.36%-6.45%

Correlation

-0.50.00.51.01.0

The correlation between EZU and FEZ is 0.96, 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

EZU vs. FEZ - Performance Comparison

In the year-to-date period, EZU achieves a 6.34% return, which is significantly lower than FEZ's 7.93% return. Over the past 10 years, EZU has underperformed FEZ with an annualized return of 5.75%, while FEZ has yielded a comparatively higher 6.07% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
-0.96%
-1.14%
EZU
FEZ

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EZU vs. FEZ - Expense Ratio Comparison

EZU has a 0.51% expense ratio, which is higher than FEZ's 0.29% expense ratio.


EZU
iShares MSCI Eurozone ETF
Expense ratio chart for EZU: current value at 0.51% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.51%
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

EZU vs. FEZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Eurozone ETF (EZU) 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.


EZU
Sharpe ratio
The chart of Sharpe ratio for EZU, currently valued at 1.36, compared to the broader market0.002.004.001.36
Sortino ratio
The chart of Sortino ratio for EZU, currently valued at 1.94, compared to the broader market0.005.0010.001.94
Omega ratio
The chart of Omega ratio for EZU, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for EZU, currently valued at 1.59, compared to the broader market0.005.0010.0015.0020.001.59
Martin ratio
The chart of Martin ratio for EZU, currently valued at 6.33, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.33
FEZ
Sharpe ratio
The chart of Sharpe ratio for FEZ, currently valued at 1.40, compared to the broader market0.002.004.001.40
Sortino ratio
The chart of Sortino ratio for FEZ, currently valued at 1.99, compared to the broader market0.005.0010.001.99
Omega ratio
The chart of Omega ratio for FEZ, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for FEZ, currently valued at 2.18, compared to the broader market0.005.0010.0015.0020.002.18
Martin ratio
The chart of Martin ratio for FEZ, currently valued at 6.86, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.86

EZU vs. FEZ - Sharpe Ratio Comparison

The current EZU Sharpe Ratio is 1.36, which is comparable to the FEZ Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of EZU 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
1.36
1.40
EZU
FEZ

Dividends

EZU vs. FEZ - Dividend Comparison

EZU's dividend yield for the trailing twelve months is around 2.82%, more than FEZ's 2.73% yield.


TTM20232022202120202019201820172016201520142013
EZU
iShares MSCI Eurozone ETF
2.82%2.56%2.79%2.46%2.13%2.84%3.47%1.91%3.07%2.18%2.97%2.23%
FEZ
SPDR EURO STOXX 50 ETF
2.73%2.75%3.06%2.61%2.13%2.61%3.45%2.44%3.35%3.03%3.78%2.72%

Drawdowns

EZU vs. FEZ - Drawdown Comparison

The maximum EZU drawdown since its inception was -66.37%, roughly equal to the maximum FEZ drawdown of -64.21%. Use the drawdown chart below to compare losses from any high point for EZU and FEZ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.36%
-6.45%
EZU
FEZ

Volatility

EZU vs. FEZ - Volatility Comparison

The current volatility for iShares MSCI Eurozone ETF (EZU) is 3.46%, while SPDR EURO STOXX 50 ETF (FEZ) has a volatility of 4.02%. This indicates that EZU 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.


3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.46%
4.02%
EZU
FEZ