FEZ vs. VGK
Compare and contrast key facts about SPDR EURO STOXX 50 ETF (FEZ) and Vanguard FTSE Europe ETF (VGK).
FEZ and VGK are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FEZ is a passively managed fund by State Street that tracks the performance of the EURO STOXX 50 Index. It was launched on Oct 21, 2002. VGK is a passively managed fund by Vanguard that tracks the performance of the FTSE Developed Europe Index. It was launched on Mar 4, 2005. Both FEZ and VGK are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FEZ or VGK.
Performance
FEZ vs. VGK - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with FEZ having a 3.02% return and VGK slightly lower at 2.88%. Both investments have delivered pretty close results over the past 10 years, with FEZ having a 5.21% annualized return and VGK not far behind at 4.97%.
FEZ
3.02%
-7.15%
-7.92%
8.34%
6.90%
5.21%
VGK
2.88%
-6.81%
-5.83%
9.21%
6.17%
4.97%
Key characteristics
| FEZ | VGK | |
|---|---|---|
| Sharpe Ratio | 0.56 | 0.74 |
| Sortino Ratio | 0.87 | 1.09 |
| Omega Ratio | 1.10 | 1.13 |
| Calmar Ratio | 0.81 | 1.00 |
| Martin Ratio | 2.40 | 3.32 |
| Ulcer Index | 3.71% | 2.93% |
| Daily Std Dev | 15.77% | 13.14% |
| Max Drawdown | -64.21% | -63.61% |
| Current Drawdown | -10.70% | -9.62% |
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FEZ vs. VGK - Expense Ratio Comparison
FEZ has a 0.29% expense ratio, which is higher than VGK's 0.08% expense ratio.
Correlation
The correlation between FEZ and VGK is 0.96, 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.
Risk-Adjusted Performance
FEZ vs. VGK - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR EURO STOXX 50 ETF (FEZ) and Vanguard FTSE Europe ETF (VGK). 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.
Dividends
FEZ vs. VGK - Dividend Comparison
FEZ's dividend yield for the trailing twelve months is around 2.87%, less than VGK's 3.13% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FEZ SPDR EURO STOXX 50 ETF | 2.87% | 2.75% | 3.05% | 2.61% | 2.12% | 2.61% | 3.45% | 2.44% | 3.35% | 3.03% | 3.78% | 2.72% |
VGK Vanguard FTSE Europe ETF | 3.13% | 3.15% | 3.25% | 3.05% | 2.11% | 3.27% | 3.95% | 2.70% | 3.52% | 3.25% | 4.62% | 2.77% |
Drawdowns
FEZ vs. VGK - Drawdown Comparison
The maximum FEZ drawdown since its inception was -64.21%, roughly equal to the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for FEZ and VGK. For additional features, visit the drawdowns tool.
Volatility
FEZ vs. VGK - Volatility Comparison
SPDR EURO STOXX 50 ETF (FEZ) has a higher volatility of 5.01% compared to Vanguard FTSE Europe ETF (VGK) at 4.24%. This indicates that FEZ's price experiences larger fluctuations and is considered to be riskier than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.