Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
EWG iShares MSCI Germany ETF | Europe Equities | 35% |
EWI iShares MSCI Italy ETF | Europe Equities | 30% |
EWP iShares MSCI Spain ETF | Europe Equities | 35% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Europe ETF Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every week.
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The earliest data available for this chart is Apr 1, 1996, corresponding to the inception date of EWP
Returns By Period
As of Apr 4, 2026, the Europe ETF Portfolio returned -1.57% Year-To-Date and 10.22% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -4.18% | -3.84% | -1.98% | 21.98% | 16.86% | 10.37% | 12.29% |
Portfolio Europe ETF Portfolio | -0.42% | -1.87% | -1.57% | 3.28% | 28.81% | 22.84% | 13.09% | 10.22% |
| Portfolio components: | ||||||||
EWP iShares MSCI Spain ETF | -0.15% | 0.37% | 1.76% | 12.03% | 44.64% | 29.27% | 18.33% | 10.99% |
EWI iShares MSCI Italy ETF | -0.37% | -0.48% | -0.04% | 4.58% | 34.05% | 25.21% | 15.28% | 12.35% |
EWG iShares MSCI Germany ETF | -0.75% | -5.23% | -6.12% | -5.96% | 10.44% | 14.38% | 5.86% | 7.14% |
Monthly Returns
Based on dividend-adjusted daily data since Apr 2, 1996, Europe ETF Portfolio's average daily return is +0.04%, while the average monthly return is +0.79%. At this rate, your investment would double in approximately 7.3 years.
Historically, 58% of months were positive and 42% were negative. The best month was Nov 2020 with a return of +22.9%, while the worst month was Oct 2008 at -23.2%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 6 months.
On a daily basis, Europe ETF Portfolio closed higher 53% of trading days. The best single day was Oct 13, 2008 with a return of +14.6%, while the worst single day was Mar 12, 2020 at -14.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.90% | 2.38% | -7.55% | 1.06% | -1.57% | ||||||||
| 2025 | 7.44% | 6.47% | 4.04% | 5.97% | 6.94% | 2.65% | -0.34% | 4.69% | 1.61% | -0.34% | 1.86% | 4.58% | 55.83% |
| 2024 | -2.34% | 3.44% | 6.49% | -3.31% | 6.38% | -4.38% | 3.00% | 4.66% | 2.82% | -3.65% | -2.61% | -1.29% | 8.62% |
| 2023 | 12.35% | -0.55% | 2.50% | 3.27% | -5.47% | 7.58% | 3.02% | -3.95% | -4.93% | -2.82% | 12.49% | 3.49% | 28.02% |
| 2022 | -1.02% | -6.30% | -1.67% | -6.30% | 5.71% | -12.30% | 1.00% | -6.18% | -8.62% | 11.00% | 14.55% | -1.34% | -13.96% |
| 2021 | -2.77% | 3.64% | 3.62% | 3.28% | 5.18% | -3.43% | -0.77% | 1.29% | -4.63% | 4.33% | -7.42% | 4.97% | 6.45% |
Benchmark Metrics
Europe ETF Portfolio has an annualized alpha of 0.92%, beta of 0.97, and R² of 0.55 versus S&P 500 Index. Calculated based on daily prices since April 02, 1996.
- This portfolio participated in 107.80% of S&P 500 Index downside but only 105.26% of its upside — more exposed to losses than it benefited from rallies.
- With beta of 0.97 and R² of 0.55, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 0.92%
- Beta
- 0.97
- R²
- 0.55
- Upside Capture
- 105.26%
- Downside Capture
- 107.80%
Expense Ratio
Europe ETF Portfolio has an expense ratio of 0.49%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Europe ETF Portfolio ranks 58 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.37 | 0.88 | +0.49 |
Sortino ratioReturn per unit of downside risk | 1.94 | 1.37 | +0.58 |
Omega ratioGain probability vs. loss probability | 1.28 | 1.21 | +0.07 |
Calmar ratioReturn relative to maximum drawdown | 2.23 | 1.39 | +0.84 |
Martin ratioReturn relative to average drawdown | 8.17 | 6.43 | +1.74 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
EWP iShares MSCI Spain ETF | 91 | 2.12 | 2.69 | 1.40 | 3.86 | 14.58 |
EWI iShares MSCI Italy ETF | 73 | 1.46 | 2.06 | 1.29 | 2.24 | 8.88 |
EWG iShares MSCI Germany ETF | 22 | 0.43 | 0.76 | 1.10 | 0.60 | 1.93 |
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Dividends
Dividend yield
Europe ETF Portfolio provided a 2.22% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.22% | 2.20% | 3.58% | 2.86% | 3.58% | 2.89% | 1.98% | 3.32% | 3.73% | 2.33% | 3.54% | 2.72% |
| Portfolio components: | ||||||||||||
EWP iShares MSCI Spain ETF | 2.23% | 2.27% | 4.35% | 2.70% | 3.07% | 3.29% | 2.56% | 3.72% | 3.69% | 2.72% | 4.65% | 3.85% |
EWI iShares MSCI Italy ETF | 2.81% | 2.80% | 4.07% | 3.40% | 4.57% | 2.63% | 1.66% | 3.80% | 4.71% | 2.19% | 3.64% | 2.31% |
EWG iShares MSCI Germany ETF | 1.70% | 1.60% | 2.38% | 2.56% | 3.24% | 2.70% | 1.67% | 2.51% | 2.93% | 2.06% | 2.35% | 1.93% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Europe ETF Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Europe ETF Portfolio was 64.54%, occurring on Mar 9, 2009. Recovery took 3718 trading sessions.
The current Europe ETF Portfolio drawdown is 7.51%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -64.54% | Dec 11, 2007 | 312 | Mar 9, 2009 | 3718 | Dec 13, 2023 | 4030 |
| -53.98% | Mar 6, 2000 | 652 | Oct 9, 2002 | 540 | Dec 1, 2004 | 1192 |
| -28% | Jul 21, 1998 | 54 | Oct 5, 1998 | 62 | Jan 4, 1999 | 116 |
| -22.4% | Jan 7, 1999 | 149 | Aug 10, 1999 | 130 | Feb 14, 2000 | 279 |
| -14.67% | Mar 19, 2025 | 15 | Apr 8, 2025 | 11 | Apr 24, 2025 | 26 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 3 assets, with an effective number of assets of 2.99, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | EWP | EWI | EWG | Portfolio | |
|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.58 | 0.59 | 0.68 | 0.66 |
| EWP | 0.58 | 1.00 | 0.77 | 0.74 | 0.92 |
| EWI | 0.59 | 0.77 | 1.00 | 0.76 | 0.91 |
| EWG | 0.68 | 0.74 | 0.76 | 1.00 | 0.90 |
| Portfolio | 0.66 | 0.92 | 0.91 | 0.90 | 1.00 |