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

Performance

EZU vs. IEUR - Performance Comparison

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

45.00%50.00%55.00%60.00%65.00%JuneJulyAugustSeptemberOctoberNovember
43.89%
48.72%
EZU
IEUR

Returns By Period

In the year-to-date period, EZU achieves a 2.04% return, which is significantly lower than IEUR's 2.71% return. Both investments have delivered pretty close results over the past 10 years, with EZU having a 5.09% annualized return and IEUR not far ahead at 5.12%.


EZU

YTD

2.04%

1M

-6.78%

6M

-7.78%

1Y

7.89%

5Y (annualized)

5.62%

10Y (annualized)

5.09%

IEUR

YTD

2.71%

1M

-6.97%

6M

-6.10%

1Y

9.55%

5Y (annualized)

5.86%

10Y (annualized)

5.12%

Key characteristics


EZUIEUR
Sharpe Ratio0.620.84
Sortino Ratio0.941.22
Omega Ratio1.111.15
Calmar Ratio0.871.09
Martin Ratio2.603.78
Ulcer Index3.55%2.93%
Daily Std Dev14.88%13.14%
Max Drawdown-66.37%-36.96%
Current Drawdown-10.15%-9.97%

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. IEUR - Expense Ratio Comparison

EZU has a 0.51% expense ratio, which is higher than IEUR's 0.09% 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 IEUR: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.01.0

The correlation between EZU and IEUR 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.

Risk-Adjusted Performance

EZU vs. IEUR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Eurozone ETF (EZU) and iShares Core MSCI Europe ETF (IEUR). 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 0.63, compared to the broader market0.002.004.000.630.84
The chart of Sortino ratio for EZU, currently valued at 0.94, compared to the broader market-2.000.002.004.006.008.0010.000.941.22
The chart of Omega ratio for EZU, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.15
The chart of Calmar ratio for EZU, currently valued at 0.87, compared to the broader market0.005.0010.0015.000.871.09
The chart of Martin ratio for EZU, currently valued at 2.58, compared to the broader market0.0020.0040.0060.0080.00100.002.583.78
EZU
IEUR

The current EZU Sharpe Ratio is 0.62, which is comparable to the IEUR Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of EZU and IEUR, 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
0.63
0.84
EZU
IEUR

Dividends

EZU vs. IEUR - Dividend Comparison

EZU's dividend yield for the trailing twelve months is around 2.94%, less than IEUR's 3.18% yield.


TTM20232022202120202019201820172016201520142013
EZU
iShares MSCI Eurozone ETF
2.94%2.56%2.79%2.46%2.13%2.84%3.47%1.91%3.07%2.18%2.97%2.23%
IEUR
iShares Core MSCI Europe ETF
3.18%3.17%3.05%2.87%2.13%3.26%3.76%2.64%3.19%2.79%0.64%0.00%

Drawdowns

EZU vs. IEUR - Drawdown Comparison

The maximum EZU drawdown since its inception was -66.37%, which is greater than IEUR's maximum drawdown of -36.96%. Use the drawdown chart below to compare losses from any high point for EZU and IEUR. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.15%
-9.97%
EZU
IEUR

Volatility

EZU vs. IEUR - Volatility Comparison

iShares MSCI Eurozone ETF (EZU) has a higher volatility of 4.93% compared to iShares Core MSCI Europe ETF (IEUR) at 4.36%. This indicates that EZU's price experiences larger fluctuations and is considered to be riskier than IEUR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%3.50%4.00%4.50%5.00%5.50%JuneJulyAugustSeptemberOctoberNovember
4.93%
4.36%
EZU
IEUR