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

Correlation

The correlation between FEZ and SDIV is 0.75, 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.


-0.50.00.51.00.8

Performance

FEZ vs. SDIV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR EURO STOXX 50 ETF (FEZ) and Global X SuperDividend ETF (SDIV). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-3.28%
-1.48%
FEZ
SDIV

Key characteristics

Sharpe Ratio

FEZ:

0.34

SDIV:

0.22

Sortino Ratio

FEZ:

0.57

SDIV:

0.38

Omega Ratio

FEZ:

1.07

SDIV:

1.05

Calmar Ratio

FEZ:

0.47

SDIV:

0.07

Martin Ratio

FEZ:

1.16

SDIV:

0.73

Ulcer Index

FEZ:

4.61%

SDIV:

4.31%

Daily Std Dev

FEZ:

15.92%

SDIV:

14.37%

Max Drawdown

FEZ:

-64.21%

SDIV:

-56.90%

Current Drawdown

FEZ:

-10.28%

SDIV:

-40.63%

Returns By Period

In the year-to-date period, FEZ achieves a 3.52% return, which is significantly higher than SDIV's 0.52% return. Over the past 10 years, FEZ has outperformed SDIV with an annualized return of 5.41%, while SDIV has yielded a comparatively lower -3.42% annualized return.


FEZ

YTD

3.52%

1M

0.96%

6M

-3.28%

1Y

3.69%

5Y*

6.44%

10Y*

5.41%

SDIV

YTD

0.52%

1M

-3.90%

6M

-1.48%

1Y

1.18%

5Y*

-8.38%

10Y*

-3.42%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FEZ vs. SDIV - Expense Ratio Comparison

FEZ has a 0.29% expense ratio, which is lower than SDIV's 0.58% expense ratio.


SDIV
Global X SuperDividend ETF
Expense ratio chart for SDIV: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
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%

Risk-Adjusted Performance

FEZ vs. SDIV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR EURO STOXX 50 ETF (FEZ) and Global X SuperDividend ETF (SDIV). 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 market0.002.004.000.340.22
The chart of Sortino ratio for FEZ, currently valued at 0.57, compared to the broader market-2.000.002.004.006.008.0010.000.570.38
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 market0.005.0010.0015.000.470.07
The chart of Martin ratio for FEZ, currently valued at 1.16, compared to the broader market0.0020.0040.0060.0080.00100.001.160.73
FEZ
SDIV

The current FEZ Sharpe Ratio is 0.34, which is higher than the SDIV Sharpe Ratio of 0.22. The chart below compares the historical Sharpe Ratios of FEZ and SDIV, 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
0.22
FEZ
SDIV

Dividends

FEZ vs. SDIV - Dividend Comparison

FEZ's dividend yield for the trailing twelve months is around 2.61%, less than SDIV's 11.43% 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%
SDIV
Global X SuperDividend ETF
11.43%11.73%14.17%8.95%7.96%8.74%9.22%6.66%6.95%7.33%6.45%6.89%

Drawdowns

FEZ vs. SDIV - Drawdown Comparison

The maximum FEZ drawdown since its inception was -64.21%, which is greater than SDIV's maximum drawdown of -56.90%. Use the drawdown chart below to compare losses from any high point for FEZ and SDIV. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.28%
-40.63%
FEZ
SDIV

Volatility

FEZ vs. SDIV - Volatility Comparison

SPDR EURO STOXX 50 ETF (FEZ) and Global X SuperDividend ETF (SDIV) have volatilities of 3.91% and 3.73%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%JulyAugustSeptemberOctoberNovemberDecember
3.91%
3.73%
FEZ
SDIV
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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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