IEFM.L vs. EXO.AS
Compare and contrast key facts about iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) and Exor N.V. (EXO.AS).
IEFM.L is a passively managed fund by iShares that tracks the performance of the MSCI Europe Growth NR EUR. It was launched on Jan 16, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IEFM.L or EXO.AS.
Key characteristics
| IEFM.L | EXO.AS | |
|---|---|---|
| YTD Return | 14.30% | 7.27% |
| 1Y Return | 22.41% | 14.19% |
| Sharpe Ratio | 0.71 | 1.01 |
| Sortino Ratio | 1.25 | 1.44 |
| Omega Ratio | 1.28 | 1.19 |
| Calmar Ratio | 1.58 | 1.05 |
| Martin Ratio | 2.56 | 2.98 |
| Ulcer Index | 8.71% | 5.51% |
| Daily Std Dev | 31.27% | 16.36% |
| Max Drawdown | -23.88% | -15.61% |
| Current Drawdown | -7.33% | -7.89% |
Correlation
The correlation between IEFM.L and EXO.AS is 0.63, 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
IEFM.L vs. EXO.AS - Performance Comparison
In the year-to-date period, IEFM.L achieves a 14.30% return, which is significantly higher than EXO.AS's 7.27% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
IEFM.L vs. EXO.AS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) and Exor N.V. (EXO.AS). 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
IEFM.L vs. EXO.AS - Dividend Comparison
IEFM.L has not paid dividends to shareholders, while EXO.AS's dividend yield for the trailing twelve months is around 0.48%.
| TTM | 2023 | |
|---|---|---|
IEFM.L iShares Edge MSCI Europe Momentum Factor UCITS ETF | 0.00% | 0.00% |
EXO.AS Exor N.V. | 0.48% | 0.49% |
Drawdowns
IEFM.L vs. EXO.AS - Drawdown Comparison
The maximum IEFM.L drawdown since its inception was -23.88%, which is greater than EXO.AS's maximum drawdown of -15.61%. Use the drawdown chart below to compare losses from any high point for IEFM.L and EXO.AS. For additional features, visit the drawdowns tool.
Volatility
IEFM.L vs. EXO.AS - Volatility Comparison
iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) and Exor N.V. (EXO.AS) have volatilities of 3.34% and 3.29%, 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.