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

Key characteristics


EZUXLRE
YTD Return6.34%10.50%
1Y Return18.72%27.41%
3Y Return (Ann)1.64%-0.26%
5Y Return (Ann)6.52%6.00%
Sharpe Ratio1.361.80
Sortino Ratio1.942.60
Omega Ratio1.241.33
Calmar Ratio1.591.00
Martin Ratio6.337.37
Ulcer Index3.15%4.13%
Daily Std Dev14.63%16.82%
Max Drawdown-66.37%-38.83%
Current Drawdown-6.36%-8.43%

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.

Performance

EZU vs. XLRE - Performance Comparison

In the year-to-date period, EZU achieves a 6.34% return, which is significantly lower than XLRE's 10.50% 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%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-0.28%
18.73%
EZU
XLRE

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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%

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.


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 market1.001.502.002.503.003.501.24
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
XLRE
Sharpe ratio
The chart of Sharpe ratio for XLRE, currently valued at 1.80, compared to the broader market0.002.004.001.80
Sortino ratio
The chart of Sortino ratio for XLRE, currently valued at 2.60, compared to the broader market0.005.0010.002.60
Omega ratio
The chart of Omega ratio for XLRE, currently valued at 1.33, compared to the broader market1.001.502.002.503.003.501.33
Calmar ratio
The chart of Calmar ratio for XLRE, currently valued at 1.00, compared to the broader market0.005.0010.0015.0020.001.00
Martin ratio
The chart of Martin ratio for XLRE, currently valued at 7.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.37

EZU vs. XLRE - Sharpe Ratio Comparison

The current EZU Sharpe Ratio is 1.36, which is comparable to the XLRE Sharpe Ratio of 1.80. 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.36
1.80
EZU
XLRE

Dividends

EZU vs. XLRE - Dividend Comparison

EZU's dividend yield for the trailing twelve months is around 2.82%, less than XLRE's 3.20% 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%
XLRE
Real Estate Select Sector SPDR Fund
3.20%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
-6.36%
-8.43%
EZU
XLRE

Volatility

EZU vs. XLRE - Volatility Comparison

The current volatility for iShares MSCI Eurozone ETF (EZU) is 3.46%, while Real Estate Select Sector SPDR Fund (XLRE) has a volatility of 4.44%. 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.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.46%
4.44%
EZU
XLRE