SPYF.DE vs. IEFM.L
Compare and contrast key facts about SPDR FTSE UK All Share UCITS ETF (SPYF.DE) and iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L).
SPYF.DE and IEFM.L are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPYF.DE is a passively managed fund by State Street that tracks the performance of the FTSE All-Share. It was launched on Feb 28, 2012. 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. Both SPYF.DE and IEFM.L 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: SPYF.DE or IEFM.L.
Key characteristics
| SPYF.DE | IEFM.L | |
|---|---|---|
| YTD Return | 13.68% | 15.50% |
| 1Y Return | 21.93% | 22.37% |
| 3Y Return (Ann) | 6.57% | 3.57% |
| 5Y Return (Ann) | 5.91% | 9.60% |
| Sharpe Ratio | 1.88 | 0.69 |
| Sortino Ratio | 2.58 | 1.22 |
| Omega Ratio | 1.35 | 1.27 |
| Calmar Ratio | 3.05 | 1.54 |
| Martin Ratio | 13.55 | 2.48 |
| Ulcer Index | 1.43% | 8.77% |
| Daily Std Dev | 10.30% | 31.30% |
| Max Drawdown | -41.53% | -23.88% |
| Current Drawdown | -2.16% | -6.36% |
Correlation
The correlation between SPYF.DE and IEFM.L is 0.69, 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
SPYF.DE vs. IEFM.L - Performance Comparison
In the year-to-date period, SPYF.DE achieves a 13.68% return, which is significantly lower than IEFM.L's 15.50% 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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SPYF.DE vs. IEFM.L - Expense Ratio Comparison
SPYF.DE has a 0.20% expense ratio, which is lower than IEFM.L's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
SPYF.DE vs. IEFM.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR FTSE UK All Share UCITS ETF (SPYF.DE) and iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L). 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
SPYF.DE vs. IEFM.L - Dividend Comparison
Neither SPYF.DE nor IEFM.L has paid dividends to shareholders.
Drawdowns
SPYF.DE vs. IEFM.L - Drawdown Comparison
The maximum SPYF.DE drawdown since its inception was -41.53%, which is greater than IEFM.L's maximum drawdown of -23.88%. Use the drawdown chart below to compare losses from any high point for SPYF.DE and IEFM.L. For additional features, visit the drawdowns tool.
Volatility
SPYF.DE vs. IEFM.L - Volatility Comparison
The current volatility for SPDR FTSE UK All Share UCITS ETF (SPYF.DE) is 3.53%, while iShares Edge MSCI Europe Momentum Factor UCITS ETF (IEFM.L) has a volatility of 4.55%. This indicates that SPYF.DE experiences smaller price fluctuations and is considered to be less risky than IEFM.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.