PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
IEV vs. EZU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IEV and EZU is 0.94, 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.


-0.50.00.51.00.9

Performance

IEV vs. EZU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Europe ETF (IEV) and iShares MSCI Eurozone ETF (EZU). The values are adjusted to include any dividend payments, if applicable.

100.00%120.00%140.00%160.00%180.00%JulyAugustSeptemberOctoberNovemberDecember
153.63%
105.20%
IEV
EZU

Key characteristics

Sharpe Ratio

IEV:

0.27

EZU:

0.27

Sortino Ratio

IEV:

0.45

EZU:

0.46

Omega Ratio

IEV:

1.05

EZU:

1.06

Calmar Ratio

IEV:

0.32

EZU:

0.36

Martin Ratio

IEV:

0.90

EZU:

0.88

Ulcer Index

IEV:

3.90%

EZU:

4.54%

Daily Std Dev

IEV:

12.96%

EZU:

14.93%

Max Drawdown

IEV:

-63.27%

EZU:

-66.37%

Current Drawdown

IEV:

-10.86%

EZU:

-10.12%

Returns By Period

In the year-to-date period, IEV achieves a 1.31% return, which is significantly lower than EZU's 2.08% return. Over the past 10 years, IEV has underperformed EZU with an annualized return of 4.75%, while EZU has yielded a comparatively higher 5.07% annualized return.


IEV

YTD

1.31%

1M

-1.06%

6M

-4.73%

1Y

2.04%

5Y*

5.06%

10Y*

4.75%

EZU

YTD

2.08%

1M

0.57%

6M

-3.02%

1Y

2.36%

5Y*

5.19%

10Y*

5.07%

Compare stocks, funds, or ETFs

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


IEV vs. EZU - Expense Ratio Comparison

IEV has a 0.59% expense ratio, which is higher than EZU's 0.51% expense ratio.


IEV
iShares Europe ETF
Expense ratio chart for IEV: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
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%

Risk-Adjusted Performance

IEV vs. EZU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Europe ETF (IEV) and iShares MSCI Eurozone ETF (EZU). 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 IEV, currently valued at 0.27, compared to the broader market0.002.004.000.270.27
The chart of Sortino ratio for IEV, currently valued at 0.45, compared to the broader market-2.000.002.004.006.008.0010.000.450.46
The chart of Omega ratio for IEV, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.06
The chart of Calmar ratio for IEV, currently valued at 0.32, compared to the broader market0.005.0010.0015.000.320.36
The chart of Martin ratio for IEV, currently valued at 0.90, compared to the broader market0.0020.0040.0060.0080.00100.000.900.88
IEV
EZU

The current IEV Sharpe Ratio is 0.27, which is comparable to the EZU Sharpe Ratio of 0.27. The chart below compares the historical Sharpe Ratios of IEV and EZU, 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
0.27
0.27
IEV
EZU

Dividends

IEV vs. EZU - Dividend Comparison

IEV's dividend yield for the trailing twelve months is around 3.11%, more than EZU's 2.91% yield.


TTM20232022202120202019201820172016201520142013
IEV
iShares Europe ETF
3.11%2.77%3.06%2.81%1.76%3.06%3.43%2.39%3.08%2.81%3.79%2.33%
EZU
iShares MSCI Eurozone ETF
2.91%2.56%2.79%2.46%2.13%2.84%3.47%1.91%3.07%2.18%2.97%2.23%

Drawdowns

IEV vs. EZU - Drawdown Comparison

The maximum IEV drawdown since its inception was -63.27%, roughly equal to the maximum EZU drawdown of -66.37%. Use the drawdown chart below to compare losses from any high point for IEV and EZU. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.86%
-10.12%
IEV
EZU

Volatility

IEV vs. EZU - Volatility Comparison

The current volatility for iShares Europe ETF (IEV) is 3.33%, while iShares MSCI Eurozone ETF (EZU) has a volatility of 3.69%. This indicates that IEV experiences smaller price fluctuations and is considered to be less risky than EZU 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
3.33%
3.69%
IEV
EZU
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab