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

Correlation

The correlation between EZU and HEZU 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

EZU vs. HEZU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Eurozone ETF (EZU) and iShares Currency Hedged MSCI Eurozone ETF (HEZU). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
56.14%
135.54%
EZU
HEZU

Key characteristics

Sharpe Ratio

EZU:

0.27

HEZU:

0.88

Sortino Ratio

EZU:

0.46

HEZU:

1.28

Omega Ratio

EZU:

1.06

HEZU:

1.15

Calmar Ratio

EZU:

0.36

HEZU:

1.13

Martin Ratio

EZU:

0.88

HEZU:

3.70

Ulcer Index

EZU:

4.54%

HEZU:

2.92%

Daily Std Dev

EZU:

14.93%

HEZU:

12.26%

Max Drawdown

EZU:

-66.37%

HEZU:

-38.80%

Current Drawdown

EZU:

-10.12%

HEZU:

-3.43%

Returns By Period

In the year-to-date period, EZU achieves a 2.08% return, which is significantly lower than HEZU's 9.80% return. Over the past 10 years, EZU has underperformed HEZU with an annualized return of 5.07%, while HEZU has yielded a comparatively higher 8.57% annualized return.


EZU

YTD

2.08%

1M

0.57%

6M

-3.02%

1Y

2.36%

5Y*

5.19%

10Y*

5.07%

HEZU

YTD

9.80%

1M

1.64%

6M

0.31%

1Y

9.84%

5Y*

8.61%

10Y*

8.57%

Compare stocks, funds, or ETFs

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


EZU vs. HEZU - Expense Ratio Comparison

EZU has a 0.51% expense ratio, which is lower than HEZU's 0.52% expense ratio.


HEZU
iShares Currency Hedged MSCI Eurozone ETF
Expense ratio chart for HEZU: current value at 0.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.52%
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%

Risk-Adjusted Performance

EZU vs. HEZU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Eurozone ETF (EZU) and iShares Currency Hedged MSCI Eurozone ETF (HEZU). 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 EZU, currently valued at 0.27, compared to the broader market0.002.004.000.270.88
The chart of Sortino ratio for EZU, currently valued at 0.46, compared to the broader market-2.000.002.004.006.008.0010.000.461.28
The chart of Omega ratio for EZU, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.15
The chart of Calmar ratio for EZU, currently valued at 0.36, compared to the broader market0.005.0010.0015.000.361.13
The chart of Martin ratio for EZU, currently valued at 0.88, compared to the broader market0.0020.0040.0060.0080.00100.000.883.70
EZU
HEZU

The current EZU Sharpe Ratio is 0.27, which is lower than the HEZU Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of EZU and HEZU, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.27
0.88
EZU
HEZU

Dividends

EZU vs. HEZU - Dividend Comparison

EZU's dividend yield for the trailing twelve months is around 2.91%, less than HEZU's 3.51% yield.


TTM20232022202120202019201820172016201520142013
EZU
iShares MSCI Eurozone ETF
2.91%2.56%2.79%2.46%2.13%2.84%3.47%1.91%3.07%2.18%2.97%2.23%
HEZU
iShares Currency Hedged MSCI Eurozone ETF
2.79%2.52%23.25%2.25%2.32%5.40%3.47%1.92%3.11%2.68%1.15%0.00%

Drawdowns

EZU vs. HEZU - Drawdown Comparison

The maximum EZU drawdown since its inception was -66.37%, which is greater than HEZU's maximum drawdown of -38.80%. Use the drawdown chart below to compare losses from any high point for EZU and HEZU. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.12%
-3.43%
EZU
HEZU

Volatility

EZU vs. HEZU - Volatility Comparison

iShares MSCI Eurozone ETF (EZU) has a higher volatility of 3.69% compared to iShares Currency Hedged MSCI Eurozone ETF (HEZU) at 2.59%. This indicates that EZU's price experiences larger fluctuations and is considered to be riskier than HEZU 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%JulyAugustSeptemberOctoberNovemberDecember
3.69%
2.59%
EZU
HEZU
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