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BRF vs. EWZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BRF and EWZ is 0.90, 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

BRF vs. EWZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in VanEck Vectors Brazil Small-Cap ETF (BRF) and iShares MSCI Brazil ETF (EWZ). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-11.13%
-6.21%
BRF
EWZ

Key characteristics

Sharpe Ratio

BRF:

-1.12

EWZ:

-1.18

Sortino Ratio

BRF:

-1.54

EWZ:

-1.61

Omega Ratio

BRF:

0.81

EWZ:

0.81

Calmar Ratio

BRF:

-0.45

EWZ:

-0.49

Martin Ratio

BRF:

-1.77

EWZ:

-1.78

Ulcer Index

BRF:

17.41%

EWZ:

14.69%

Daily Std Dev

BRF:

27.56%

EWZ:

22.10%

Max Drawdown

BRF:

-81.72%

EWZ:

-77.25%

Current Drawdown

BRF:

-66.29%

EWZ:

-52.00%

Returns By Period

In the year-to-date period, BRF achieves a -32.75% return, which is significantly lower than EWZ's -28.62% return. Over the past 10 years, BRF has underperformed EWZ with an annualized return of -2.10%, while EWZ has yielded a comparatively higher 0.32% annualized return.


BRF

YTD

-32.75%

1M

-13.08%

6M

-12.89%

1Y

-31.93%

5Y*

-12.29%

10Y*

-2.10%

EWZ

YTD

-28.62%

1M

-11.05%

6M

-12.02%

1Y

-27.31%

5Y*

-6.41%

10Y*

0.32%

Compare stocks, funds, or ETFs

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


BRF vs. EWZ - Expense Ratio Comparison

BRF has a 0.60% expense ratio, which is higher than EWZ's 0.59% expense ratio.


BRF
VanEck Vectors Brazil Small-Cap ETF
Expense ratio chart for BRF: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for EWZ: 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%

Risk-Adjusted Performance

BRF vs. EWZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck Vectors Brazil Small-Cap ETF (BRF) and iShares MSCI Brazil ETF (EWZ). 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 BRF, currently valued at -1.12, compared to the broader market0.002.004.00-1.12-1.18
The chart of Sortino ratio for BRF, currently valued at -1.54, compared to the broader market-2.000.002.004.006.008.0010.00-1.54-1.61
The chart of Omega ratio for BRF, currently valued at 0.81, compared to the broader market0.501.001.502.002.503.000.810.81
The chart of Calmar ratio for BRF, currently valued at -0.45, compared to the broader market0.005.0010.0015.00-0.45-0.54
The chart of Martin ratio for BRF, currently valued at -1.77, compared to the broader market0.0020.0040.0060.0080.00100.00-1.77-1.78
BRF
EWZ

The current BRF Sharpe Ratio is -1.12, which is comparable to the EWZ Sharpe Ratio of -1.18. The chart below compares the historical Sharpe Ratios of BRF and EWZ, 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 Ratio-1.00-0.500.000.50JulyAugustSeptemberOctoberNovemberDecember
-1.12
-1.18
BRF
EWZ

Dividends

BRF vs. EWZ - Dividend Comparison

BRF has not paid dividends to shareholders, while EWZ's dividend yield for the trailing twelve months is around 8.69%.


TTM20232022202120202019201820172016201520142013
BRF
VanEck Vectors Brazil Small-Cap ETF
0.00%5.01%4.13%2.97%1.66%2.54%2.89%4.53%4.25%3.84%4.23%1.85%
EWZ
iShares MSCI Brazil ETF
8.69%5.66%12.59%9.87%1.71%2.54%2.89%1.71%1.81%4.08%3.78%3.23%

Drawdowns

BRF vs. EWZ - Drawdown Comparison

The maximum BRF drawdown since its inception was -81.72%, which is greater than EWZ's maximum drawdown of -77.25%. Use the drawdown chart below to compare losses from any high point for BRF and EWZ. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%JulyAugustSeptemberOctoberNovemberDecember
-66.29%
-46.96%
BRF
EWZ

Volatility

BRF vs. EWZ - Volatility Comparison

VanEck Vectors Brazil Small-Cap ETF (BRF) has a higher volatility of 13.74% compared to iShares MSCI Brazil ETF (EWZ) at 11.13%. This indicates that BRF's price experiences larger fluctuations and is considered to be riskier than EWZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
13.74%
11.13%
BRF
EWZ
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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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