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36B5.DE vs. VWO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


36B5.DEVWO
Sharpe Ratio0.991.08
Sortino Ratio1.461.58
Omega Ratio1.181.20
Calmar Ratio0.580.67
Martin Ratio5.474.88
Ulcer Index2.56%3.24%
Daily Std Dev14.04%14.70%
Max Drawdown-36.40%-67.68%
Current Drawdown-9.46%-10.06%

Correlation

The correlation between 36B5.DE and VWO is 0.78, 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.


-0.50.00.51.00.8

Performance

36B5.DE vs. VWO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI EM SRI UCITS ETF USD Dist (36B5.DE) and Vanguard FTSE Emerging Markets ETF (VWO). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
15.16%
28.10%
36B5.DE
VWO

Returns By Period

In the year-to-date period, 36B5.DE achieves a 12.49% return, which is significantly higher than VWO's 11.74% return.


36B5.DE

YTD

12.49%

1M

0.61%

6M

12.76%

1Y

13.99%

5Y (annualized)

3.32%

10Y (annualized)

N/A

VWO

YTD

11.74%

1M

-2.15%

6M

6.50%

1Y

14.98%

5Y (annualized)

4.58%

10Y (annualized)

3.74%

Compare stocks, funds, or ETFs

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


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. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


36B5.DE
iShares MSCI EM SRI UCITS ETF USD Dist
Expense ratio chart for 36B5.DE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.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.


Sharpe ratio
The chart of Sharpe ratio for 36B5.DE, currently valued at 0.82, compared to the broader market-2.000.002.004.000.821.14
The chart of Sortino ratio for 36B5.DE, currently valued at 1.28, compared to the broader market-2.000.002.004.006.008.0010.0012.001.281.67
The chart of Omega ratio for 36B5.DE, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.21
The chart of Calmar ratio for 36B5.DE, currently valued at 0.41, compared to the broader market0.005.0010.0015.000.410.71
The chart of Martin ratio for 36B5.DE, currently valued at 3.67, compared to the broader market0.0020.0040.0060.0080.00100.003.675.08
36B5.DE
VWO

The current 36B5.DE Sharpe Ratio is 0.99, which is comparable to the VWO Sharpe Ratio of 1.08. The chart below compares the historical Sharpe Ratios of 36B5.DE and VWO, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.82
1.14
36B5.DE
VWO

Dividends

36B5.DE vs. VWO - Dividend Comparison

36B5.DE's dividend yield for the trailing twelve months is around 2.11%, less than VWO's 2.65% yield.


TTM20232022202120202019201820172016201520142013
36B5.DE
iShares MSCI EM SRI UCITS ETF USD Dist
2.11%2.32%2.31%1.84%1.57%2.31%0.00%0.00%0.00%0.00%0.00%0.00%
VWO
Vanguard FTSE Emerging Markets ETF
2.65%3.52%4.11%2.63%1.91%3.24%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.


-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-20.42%
-10.06%
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 4.97% compared to Vanguard FTSE Emerging Markets ETF (VWO) at 4.50%. 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.97%
4.50%
36B5.DE
VWO
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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.

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