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

Key characteristics


EZUIEV
YTD Return6.34%6.91%
1Y Return18.72%18.79%
3Y Return (Ann)1.64%2.96%
5Y Return (Ann)6.52%6.92%
10Y Return (Ann)5.75%5.32%
Sharpe Ratio1.361.55
Sortino Ratio1.942.19
Omega Ratio1.241.26
Calmar Ratio1.592.17
Martin Ratio6.338.31
Ulcer Index3.15%2.36%
Daily Std Dev14.63%12.69%
Max Drawdown-66.37%-63.27%
Current Drawdown-6.36%-5.92%

Correlation

-0.50.00.51.00.9

The correlation between EZU and IEV is 0.94, 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. IEV - Performance Comparison

In the year-to-date period, EZU achieves a 6.34% return, which is significantly lower than IEV's 6.91% return. Over the past 10 years, EZU has outperformed IEV with an annualized return of 5.75%, while IEV has yielded a comparatively lower 5.32% 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%8.00%JuneJulyAugustSeptemberOctoberNovember
-0.96%
0.88%
EZU
IEV

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EZU vs. IEV - Expense Ratio Comparison

EZU has a 0.51% expense ratio, which is lower than IEV's 0.59% expense ratio.


IEV
iShares Europe ETF
Expense ratio chart for IEV: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
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. IEV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Eurozone ETF (EZU) and iShares Europe ETF (IEV). 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
IEV
Sharpe ratio
The chart of Sharpe ratio for IEV, currently valued at 1.55, compared to the broader market0.002.004.001.55
Sortino ratio
The chart of Sortino ratio for IEV, currently valued at 2.19, compared to the broader market0.005.0010.002.19
Omega ratio
The chart of Omega ratio for IEV, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for IEV, currently valued at 2.17, compared to the broader market0.005.0010.0015.0020.002.17
Martin ratio
The chart of Martin ratio for IEV, currently valued at 8.31, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.31

EZU vs. IEV - Sharpe Ratio Comparison

The current EZU Sharpe Ratio is 1.36, which is comparable to the IEV Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of EZU and IEV, 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
1.55
EZU
IEV

Dividends

EZU vs. IEV - Dividend Comparison

EZU's dividend yield for the trailing twelve months is around 2.82%, less than IEV's 2.88% 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%
IEV
iShares Europe ETF
2.88%2.77%3.06%2.81%1.76%3.06%3.43%2.39%3.08%2.81%3.79%2.33%

Drawdowns

EZU vs. IEV - Drawdown Comparison

The maximum EZU drawdown since its inception was -66.37%, roughly equal to the maximum IEV drawdown of -63.27%. Use the drawdown chart below to compare losses from any high point for EZU and IEV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.36%
-5.92%
EZU
IEV

Volatility

EZU vs. IEV - Volatility Comparison

iShares MSCI Eurozone ETF (EZU) has a higher volatility of 3.46% compared to iShares Europe ETF (IEV) at 3.09%. This indicates that EZU's price experiences larger fluctuations and is considered to be riskier than IEV 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
3.46%
3.09%
EZU
IEV