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

Performance

EZU vs. XLRE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Eurozone ETF (EZU) and Real Estate Select Sector SPDR Fund (XLRE). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
-7.20%
19.18%
EZU
XLRE

Returns By Period

In the year-to-date period, EZU achieves a 1.12% return, which is significantly lower than XLRE's 11.88% return.


EZU

YTD

1.12%

1M

-6.09%

6M

-7.20%

1Y

6.99%

5Y (annualized)

5.52%

10Y (annualized)

4.70%

XLRE

YTD

11.88%

1M

-0.30%

6M

19.18%

1Y

25.19%

5Y (annualized)

6.34%

10Y (annualized)

N/A

Key characteristics


EZUXLRE
Sharpe Ratio0.481.58
Sortino Ratio0.752.20
Omega Ratio1.091.28
Calmar Ratio0.650.99
Martin Ratio1.896.08
Ulcer Index3.79%4.20%
Daily Std Dev14.83%16.23%
Max Drawdown-66.37%-38.83%
Current Drawdown-10.97%-7.28%

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EZU vs. XLRE - Expense Ratio Comparison

EZU has a 0.51% expense ratio, which is higher than XLRE's 0.13% 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 XLRE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Correlation

-0.50.00.51.00.5

The correlation between EZU and XLRE is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

EZU vs. XLRE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Eurozone ETF (EZU) and Real Estate Select Sector SPDR Fund (XLRE). 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 0.48, compared to the broader market0.002.004.000.481.58
The chart of Sortino ratio for EZU, currently valued at 0.75, compared to the broader market-2.000.002.004.006.008.0010.0012.000.752.20
The chart of Omega ratio for EZU, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.28
The chart of Calmar ratio for EZU, currently valued at 0.65, compared to the broader market0.005.0010.0015.000.650.99
The chart of Martin ratio for EZU, currently valued at 1.89, compared to the broader market0.0020.0040.0060.0080.00100.001.896.08
EZU
XLRE

The current EZU Sharpe Ratio is 0.48, which is lower than the XLRE Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of EZU and XLRE, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.48
1.58
EZU
XLRE

Dividends

EZU vs. XLRE - Dividend Comparison

EZU's dividend yield for the trailing twelve months is around 2.97%, less than XLRE's 3.16% yield.


TTM20232022202120202019201820172016201520142013
EZU
iShares MSCI Eurozone ETF
2.97%2.56%2.79%2.46%2.13%2.84%3.47%1.91%3.07%2.18%2.97%2.23%
XLRE
Real Estate Select Sector SPDR Fund
3.16%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%0.00%0.00%

Drawdowns

EZU vs. XLRE - Drawdown Comparison

The maximum EZU drawdown since its inception was -66.37%, which is greater than XLRE's maximum drawdown of -38.83%. Use the drawdown chart below to compare losses from any high point for EZU and XLRE. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.97%
-7.28%
EZU
XLRE

Volatility

EZU vs. XLRE - Volatility Comparison

The current volatility for iShares MSCI Eurozone ETF (EZU) is 4.88%, while Real Estate Select Sector SPDR Fund (XLRE) has a volatility of 5.22%. This indicates that EZU experiences smaller price fluctuations and is considered to be less risky than XLRE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
4.88%
5.22%
EZU
XLRE