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

Key characteristics


EZUSPY
YTD Return6.39%21.39%
1Y Return18.77%33.27%
3Y Return (Ann)1.79%8.59%
5Y Return (Ann)6.53%15.03%
10Y Return (Ann)5.70%12.90%
Sharpe Ratio1.542.87
Sortino Ratio2.193.80
Omega Ratio1.271.54
Calmar Ratio1.824.10
Martin Ratio7.3318.62
Ulcer Index3.12%1.85%
Daily Std Dev14.82%12.01%
Max Drawdown-66.37%-55.19%
Current Drawdown-6.33%-2.23%

Correlation

-0.50.00.51.00.8

The correlation between EZU and SPY is 0.76, 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. SPY - Performance Comparison

In the year-to-date period, EZU achieves a 6.39% return, which is significantly lower than SPY's 21.39% return. Over the past 10 years, EZU has underperformed SPY with an annualized return of 5.70%, while SPY has yielded a comparatively higher 12.90% 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%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.24%
11.34%
EZU
SPY

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EZU vs. SPY - Expense Ratio Comparison

EZU has a 0.51% expense ratio, which is higher than SPY'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 SPY: 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%

Risk-Adjusted Performance

EZU vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Eurozone ETF (EZU) and SPDR S&P 500 ETF (SPY). 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 market-2.000.002.004.006.001.36
Sortino ratio
The chart of Sortino ratio for EZU, currently valued at 1.95, compared to the broader market0.005.0010.001.95
Omega ratio
The chart of Omega ratio for EZU, currently valued at 1.24, compared to the broader market1.001.502.002.503.003.501.24
Calmar ratio
The chart of Calmar ratio for EZU, currently valued at 1.60, compared to the broader market0.005.0010.0015.0020.001.60
Martin ratio
The chart of Martin ratio for EZU, currently valued at 6.34, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.34
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.87, compared to the broader market-2.000.002.004.006.002.87
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.80, compared to the broader market0.005.0010.003.80
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.54, compared to the broader market1.001.502.002.503.003.501.54
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.10, compared to the broader market0.005.0010.0015.0020.004.10
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.62

EZU vs. SPY - Sharpe Ratio Comparison

The current EZU Sharpe Ratio is 1.54, which is lower than the SPY Sharpe Ratio of 2.87. The chart below compares the historical Sharpe Ratios of EZU and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.36
2.87
EZU
SPY

Dividends

EZU vs. SPY - Dividend Comparison

EZU's dividend yield for the trailing twelve months is around 2.82%, more than SPY's 1.23% 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%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

EZU vs. SPY - Drawdown Comparison

The maximum EZU drawdown since its inception was -66.37%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EZU and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.33%
-2.23%
EZU
SPY

Volatility

EZU vs. SPY - Volatility Comparison

iShares MSCI Eurozone ETF (EZU) has a higher volatility of 3.46% compared to SPDR S&P 500 ETF (SPY) at 3.14%. This indicates that EZU's price experiences larger fluctuations and is considered to be riskier than SPY 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
3.46%
3.14%
EZU
SPY