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CWO.NEO vs. XUS.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

CWO.NEO vs. XUS.TO

Last updated Jun 4, 2026

CWO.NEO (iShares Emerging Markets Fundamental Index ETF) and XUS.TO (iShares Core S&P 500 Index ETF) are both exchange-traded funds - CWO.NEO is a Emerging Markets Equities fund tracking the FTSE RAFI Emerging Markets Index, while XUS.TO is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, CWO.NEO returned 11.43%/yr vs 15.98%/yr for XUS.TO. At a 0.38 correlation, their price movements are largely independent. CWO.NEO charges 0.73%/yr vs 0.09%/yr for XUS.TO.

Performance

CWO.NEO vs. XUS.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in iShares Emerging Markets Fundamental Index ETF (CWO.NEO) and iShares Core S&P 500 Index ETF (XUS.TO). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, CWO.NEO achieves a 13.80% return, which is significantly higher than XUS.TO's 12.21% return. Over the past 10 years, CWO.NEO has underperformed XUS.TO with an annualized return of 11.43%, while XUS.TO has yielded a comparatively higher 15.98% annualized return.

CWO.NEO

1D
-1.42%
1M
4.14%
YTD
13.80%
6M
13.05%
1Y
35.32%
3Y*
23.05%
5Y*
11.55%
10Y*
11.43%

XUS.TO

1D
-0.31%
1M
7.22%
YTD
12.21%
6M
10.39%
1Y
29.30%
3Y*
23.52%
5Y*
16.78%
10Y*
15.98%
*Multi-year figures are annualized to reflect compound growth (CAGR)

CWO.NEO vs. XUS.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
CWO.NEO
iShares Emerging Markets Fundamental Index ETF		13.80%26.34%22.33%9.56%-9.03%7.13%-3.12%10.86%-0.29%17.16%
XUS.TO
iShares Core S&P 500 Index ETF		12.21%12.19%35.16%23.31%-12.59%27.20%15.56%24.57%3.31%13.56%

Correlation

The correlation between CWO.NEO and XUS.TO is 0.57, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.57

Correlation (3Y)
Calculated over the trailing 3-year period

0.42

Correlation (5Y)
Calculated over the trailing 5-year period

0.34

Correlation (10Y)
Calculated over the trailing 10-year period

0.40

Correlation (All Time)
Calculated using the full available price history since Apr 16, 2013

0.38

The correlation between CWO.NEO and XUS.TO shifts across timeframes, from 0.34 (5 years) to 0.57 (1 year), reflecting how their relationship changes across market environments.

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iShares Emerging Markets Fundamental Index ETF

iShares Core S&P 500 Index ETF

Often compared with CWO.NEO:
CWO.NEO vs. XEC.TOCWO.NEO vs. VEE.TOCWO.NEO vs. EMGFCWO.NEO vs. ZEM.TOCWO.NEO vs. BRFCWO.NEO vs. VGRO.TOCWO.NEO vs. XEMC.TO
Often compared with XUS.TO:
XUS.TO vs. XSP.TOXUS.TO vs. XEQT.TOXUS.TO vs. XUU.TOXUS.TO vs. ZSP.TOXUS.TO vs. VOOXUS.TO vs. XEF.TOXUS.TO vs. HXS.TO

Return for Risk

CWO.NEO vs. XUS.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CWO.NEO
CWO.NEO Risk / Return Rank: 6868
Overall Rank
CWO.NEO Sharpe Ratio Rank: 7070
Sharpe Ratio Rank
CWO.NEO Sortino Ratio Rank: 6666
Sortino Ratio Rank
CWO.NEO Omega Ratio Rank: 7272
Omega Ratio Rank
CWO.NEO Calmar Ratio Rank: 6666
Calmar Ratio Rank
CWO.NEO Martin Ratio Rank: 6868
Martin Ratio Rank
XUS.TO
XUS.TO Risk / Return Rank: 7373
Overall Rank
XUS.TO Sharpe Ratio Rank: 7777
Sharpe Ratio Rank
XUS.TO Sortino Ratio Rank: 7575
Sortino Ratio Rank
XUS.TO Omega Ratio Rank: 7777
Omega Ratio Rank
XUS.TO Calmar Ratio Rank: 6767
Calmar Ratio Rank
XUS.TO Martin Ratio Rank: 6868
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CWO.NEO vs. XUS.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Emerging Markets Fundamental Index ETF (CWO.NEO) and iShares Core S&P 500 Index ETF (XUS.TO). 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.

CWO.NEOXUS.TODifference
Sharpe ratioReturn per unit of total volatility
2.29
2.55

-0.25

Sortino ratioReturn per unit of downside risk
3.05
3.47

-0.42

Omega ratioGain probability vs. loss probability

1.43

1.47

-0.04

Calmar ratioReturn relative to maximum drawdown

3.26

3.41

-0.15

Martin ratioReturn relative to average drawdown

12.37

12.94

-0.57

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CWO.NEO vs. XUS.TO - Sharpe Ratio Comparison

The current CWO.NEO Sharpe Ratio is 2.29, which is comparable to the XUS.TO Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of CWO.NEO and XUS.TO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

CWO.NEOXUS.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.29

2.55

-0.25

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.70

1.13

-0.43

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.66

0.98

-0.32

Sharpe Ratio (All Time)

Calculated using the full available price history

0.45

1.08

-0.63

Drawdowns

CWO.NEO vs. XUS.TO - Drawdown Comparison

The maximum CWO.NEO drawdown since its inception was -31.99%, which is greater than XUS.TO's maximum drawdown of -27.23%. Use the drawdown chart below to compare losses from any high point for CWO.NEO and XUS.TO.

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Drawdown Indicators

CWO.NEOXUS.TODifference

Max Drawdown

Largest peak-to-trough decline

-31.99%

-27.23%

-4.76%

Max Drawdown (1Y)

Largest decline over 1 year

-10.90%

-8.63%

-2.27%

Max Drawdown (3Y)

Largest decline over 3 years

-17.12%

-18.96%

+1.84%

Max Drawdown (5Y)

Largest decline over 5 years

-24.80%

-21.85%

-2.95%

Max Drawdown (10Y)

Largest decline over 10 years

-31.97%

-27.23%

-4.74%

Current Drawdown

Current decline from peak

-1.42%

-0.31%

-1.11%

Average Drawdown

Average peak-to-trough decline

-10.29%

-3.46%

-6.83%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.86%

2.27%

+0.59%

Volatility

CWO.NEO vs. XUS.TO - Volatility Comparison

iShares Emerging Markets Fundamental Index ETF (CWO.NEO) has a higher volatility of 5.40% compared to iShares Core S&P 500 Index ETF (XUS.TO) at 3.19%. This indicates that CWO.NEO's price experiences larger fluctuations and is considered to be riskier than XUS.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

CWO.NEOXUS.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.40%

3.19%

+2.21%

Volatility (6M)

Calculated over the trailing 6-month period

12.46%

8.66%

+3.80%

Volatility (1Y)

Calculated over the trailing 1-year period

15.50%

11.58%

+3.92%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.65%

14.92%

+1.73%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.52%

16.48%

+1.04%

CWO.NEO vs. XUS.TO - Expense Ratio Comparison

CWO.NEO has a 0.73% expense ratio, which is higher than XUS.TO's 0.09% expense ratio.

Dividends

CWO.NEO vs. XUS.TO - Dividend Comparison

CWO.NEO's dividend yield for the trailing twelve months is around 2.45%, more than XUS.TO's 1.12% yield.

PositionTTM20252024202320222021202020192018201720162015
CWO.NEO
iShares Emerging Markets Fundamental Index ETF		2.45%2.79%3.50%4.14%5.03%4.61%2.64%3.01%3.22%2.60%2.57%3.23%
XUS.TO
iShares Core S&P 500 Index ETF		1.12%1.26%1.03%1.22%1.38%0.99%1.35%2.02%1.77%1.48%1.66%1.70%

Frequently Asked Questions

CWO.NEO and XUS.TO have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, XUS.TO is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.

XUS.TO is cheaper with a 0.09% expense ratio, compared with 0.73% for CWO.NEO.

CWO.NEO is categorized as Emerging Markets Equities, while XUS.TO is S&P 500. CWO.NEO tracks FTSE RAFI Emerging Markets Index, while XUS.TO tracks S&P 500 Index. Their fees differ too: 0.73% for CWO.NEO and 0.09% for XUS.TO.

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