PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
36B5.DE vs. VWO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


36B5.DEVWO
YTD Return-1.96%-0.39%
1Y Return-3.51%3.91%
3Y Return (Ann)-5.02%-5.02%
5Y Return (Ann)0.77%1.67%
Sharpe Ratio-0.110.27
Daily Std Dev13.24%13.85%
Max Drawdown-36.40%-67.68%
Current Drawdown-21.09%-19.82%

Correlation

-0.50.00.51.00.8

The correlation between 36B5.DE and VWO is 0.80, 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.

Performance

36B5.DE vs. VWO - Performance Comparison

In the year-to-date period, 36B5.DE achieves a -1.96% return, which is significantly lower than VWO's -0.39% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%NovemberDecember2024FebruaryMarchApril
1.90%
9.01%
36B5.DE
VWO

Compare stocks, funds, or ETFs

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


iShares MSCI EM SRI UCITS ETF USD Dist

Vanguard FTSE Emerging Markets ETF

36B5.DE vs. VWO - Expense Ratio Comparison

36B5.DE has a 0.25% expense ratio, which is higher than VWO's 0.08% expense ratio.

36B5.DE
iShares MSCI EM SRI UCITS ETF USD Dist
0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

36B5.DE vs. VWO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EM SRI UCITS ETF USD Dist (36B5.DE) and Vanguard FTSE Emerging Markets ETF (VWO). 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.


36B5.DE
Sharpe ratio
The chart of Sharpe ratio for 36B5.DE, currently valued at -0.22, compared to the broader market-1.000.001.002.003.004.005.00-0.22
Sortino ratio
The chart of Sortino ratio for 36B5.DE, currently valued at -0.21, compared to the broader market-2.000.002.004.006.008.00-0.21
Omega ratio
The chart of Omega ratio for 36B5.DE, currently valued at 0.98, compared to the broader market1.001.502.002.500.98
Calmar ratio
The chart of Calmar ratio for 36B5.DE, currently valued at -0.10, compared to the broader market0.002.004.006.008.0010.0012.00-0.10
Martin ratio
The chart of Martin ratio for 36B5.DE, currently valued at -0.42, compared to the broader market0.0020.0040.0060.0080.00-0.42
VWO
Sharpe ratio
The chart of Sharpe ratio for VWO, currently valued at 0.54, compared to the broader market-1.000.001.002.003.004.005.000.54
Sortino ratio
The chart of Sortino ratio for VWO, currently valued at 0.86, compared to the broader market-2.000.002.004.006.008.000.86
Omega ratio
The chart of Omega ratio for VWO, currently valued at 1.10, compared to the broader market1.001.502.002.501.10
Calmar ratio
The chart of Calmar ratio for VWO, currently valued at 0.27, compared to the broader market0.002.004.006.008.0010.0012.000.27
Martin ratio
The chart of Martin ratio for VWO, currently valued at 1.51, compared to the broader market0.0020.0040.0060.0080.001.51

36B5.DE vs. VWO - Sharpe Ratio Comparison

The current 36B5.DE Sharpe Ratio is -0.11, which is lower than the VWO Sharpe Ratio of 0.27. The chart below compares the 12-month rolling Sharpe Ratio of 36B5.DE and VWO.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00NovemberDecember2024FebruaryMarchApril
-0.22
0.54
36B5.DE
VWO

Dividends

36B5.DE vs. VWO - Dividend Comparison

36B5.DE's dividend yield for the trailing twelve months is around 2.60%, less than VWO's 3.56% yield.


TTM20232022202120202019201820172016201520142013
36B5.DE
iShares MSCI EM SRI UCITS ETF USD Dist
2.60%2.55%2.45%2.14%1.83%2.58%0.00%0.00%0.00%0.00%0.00%0.00%
VWO
Vanguard FTSE Emerging Markets ETF
3.56%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%

Drawdowns

36B5.DE vs. VWO - Drawdown Comparison

The maximum 36B5.DE drawdown since its inception was -36.40%, smaller than the maximum VWO drawdown of -67.68%. Use the drawdown chart below to compare losses from any high point for 36B5.DE and VWO. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%NovemberDecember2024FebruaryMarchApril
-30.02%
-19.82%
36B5.DE
VWO

Volatility

36B5.DE vs. VWO - Volatility Comparison

iShares MSCI EM SRI UCITS ETF USD Dist (36B5.DE) has a higher volatility of 3.69% compared to Vanguard FTSE Emerging Markets ETF (VWO) at 3.25%. This indicates that 36B5.DE's price experiences larger fluctuations and is considered to be riskier than VWO 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%NovemberDecember2024FebruaryMarchApril
3.69%
3.25%
36B5.DE
VWO