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FEZ vs. IEUR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FEZ and IEUR is 0.95, 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.


-0.50.00.51.01.0

Performance

FEZ vs. IEUR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR EURO STOXX 50 ETF (FEZ) and iShares Core MSCI Europe ETF (IEUR). The values are adjusted to include any dividend payments, if applicable.

50.00%55.00%60.00%65.00%JulyAugustSeptemberOctoberNovemberDecember
48.95%
46.45%
FEZ
IEUR

Key characteristics

Sharpe Ratio

FEZ:

0.34

IEUR:

0.25

Sortino Ratio

FEZ:

0.57

IEUR:

0.44

Omega Ratio

FEZ:

1.07

IEUR:

1.05

Calmar Ratio

FEZ:

0.47

IEUR:

0.29

Martin Ratio

FEZ:

1.16

IEUR:

0.83

Ulcer Index

FEZ:

4.61%

IEUR:

4.00%

Daily Std Dev

FEZ:

15.92%

IEUR:

13.14%

Max Drawdown

FEZ:

-64.21%

IEUR:

-36.96%

Current Drawdown

FEZ:

-10.28%

IEUR:

-11.34%

Returns By Period

In the year-to-date period, FEZ achieves a 3.52% return, which is significantly higher than IEUR's 1.14% return. Over the past 10 years, FEZ has outperformed IEUR with an annualized return of 5.41%, while IEUR has yielded a comparatively lower 5.09% annualized return.


FEZ

YTD

3.52%

1M

0.96%

6M

-3.28%

1Y

3.69%

5Y*

6.44%

10Y*

5.41%

IEUR

YTD

1.14%

1M

-1.15%

6M

-4.64%

1Y

1.84%

5Y*

4.82%

10Y*

5.09%

Compare stocks, funds, or ETFs

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FEZ vs. IEUR - Expense Ratio Comparison

FEZ has a 0.29% expense ratio, which is higher than IEUR's 0.09% expense ratio.


FEZ
SPDR EURO STOXX 50 ETF
Expense ratio chart for FEZ: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
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%

Risk-Adjusted Performance

FEZ vs. IEUR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR EURO STOXX 50 ETF (FEZ) 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 FEZ, currently valued at 0.34, compared to the broader market0.002.004.000.340.25
The chart of Sortino ratio for FEZ, currently valued at 0.57, compared to the broader market-2.000.002.004.006.008.0010.000.570.44
The chart of Omega ratio for FEZ, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.05
The chart of Calmar ratio for FEZ, currently valued at 0.47, compared to the broader market0.005.0010.0015.000.470.29
The chart of Martin ratio for FEZ, currently valued at 1.16, compared to the broader market0.0020.0040.0060.0080.00100.001.160.83
FEZ
IEUR

The current FEZ Sharpe Ratio is 0.34, which is higher than the IEUR Sharpe Ratio of 0.25. The chart below compares the historical Sharpe Ratios of FEZ 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.34
0.25
FEZ
IEUR

Dividends

FEZ vs. IEUR - Dividend Comparison

FEZ's dividend yield for the trailing twelve months is around 2.61%, less than IEUR's 3.55% yield.


TTM20232022202120202019201820172016201520142013
FEZ
SPDR EURO STOXX 50 ETF
2.61%2.75%3.05%2.61%2.12%2.61%3.45%2.44%3.35%3.03%3.78%2.72%
IEUR
iShares Core MSCI Europe ETF
3.55%3.17%3.05%2.87%2.13%3.26%3.76%2.64%3.19%2.79%0.64%0.00%

Drawdowns

FEZ vs. IEUR - Drawdown Comparison

The maximum FEZ drawdown since its inception was -64.21%, which is greater than IEUR's maximum drawdown of -36.96%. Use the drawdown chart below to compare losses from any high point for FEZ and IEUR. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.28%
-11.34%
FEZ
IEUR

Volatility

FEZ vs. IEUR - Volatility Comparison

SPDR EURO STOXX 50 ETF (FEZ) has a higher volatility of 3.91% compared to iShares Core MSCI Europe ETF (IEUR) at 3.42%. This indicates that FEZ'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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.91%
3.42%
FEZ
IEUR
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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