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ECH vs. EPU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ECH vs. EPU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Chile ETF (ECH) and iShares MSCI Peru ETF (EPU). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-9.64%
4.56%
ECH
EPU

Returns By Period

In the year-to-date period, ECH achieves a -7.04% return, which is significantly lower than EPU's 29.98% return. Over the past 10 years, ECH has underperformed EPU with an annualized return of -2.10%, while EPU has yielded a comparatively higher 5.48% annualized return.


ECH

YTD

-7.04%

1M

-3.80%

6M

-9.64%

1Y

-0.87%

5Y (annualized)

-0.16%

10Y (annualized)

-2.10%

EPU

YTD

29.98%

1M

-2.87%

6M

4.56%

1Y

47.87%

5Y (annualized)

8.79%

10Y (annualized)

5.48%

Key characteristics


ECHEPU
Sharpe Ratio-0.072.25
Sortino Ratio0.043.08
Omega Ratio1.001.38
Calmar Ratio-0.032.34
Martin Ratio-0.189.56
Ulcer Index8.19%4.84%
Daily Std Dev20.38%20.52%
Max Drawdown-74.09%-60.62%
Current Drawdown-54.28%-3.04%

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ECH vs. EPU - Expense Ratio Comparison

Both ECH and EPU have an expense ratio of 0.59%.


ECH
iShares MSCI Chile ETF
Expense ratio chart for ECH: 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%
Expense ratio chart for EPU: 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%

Correlation

-0.50.00.51.00.5

The correlation between ECH and EPU is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

ECH vs. EPU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Chile ETF (ECH) and iShares MSCI Peru ETF (EPU). 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 ECH, currently valued at -0.07, compared to the broader market0.002.004.00-0.072.25
The chart of Sortino ratio for ECH, currently valued at 0.04, compared to the broader market-2.000.002.004.006.008.0010.000.043.08
The chart of Omega ratio for ECH, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.001.38
The chart of Calmar ratio for ECH, currently valued at -0.03, compared to the broader market0.005.0010.0015.00-0.032.34
The chart of Martin ratio for ECH, currently valued at -0.18, compared to the broader market0.0020.0040.0060.0080.00100.00-0.189.56
ECH
EPU

The current ECH Sharpe Ratio is -0.07, which is lower than the EPU Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of ECH and EPU, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.07
2.25
ECH
EPU

Dividends

ECH vs. EPU - Dividend Comparison

ECH's dividend yield for the trailing twelve months is around 3.42%, less than EPU's 3.90% yield.


TTM20232022202120202019201820172016201520142013
ECH
iShares MSCI Chile ETF
3.42%4.76%6.73%5.49%2.16%2.47%2.37%1.42%1.85%2.13%1.74%1.42%
EPU
iShares MSCI Peru ETF
3.90%4.17%5.56%3.13%1.91%2.67%1.53%3.30%0.85%1.91%1.66%1.72%

Drawdowns

ECH vs. EPU - Drawdown Comparison

The maximum ECH drawdown since its inception was -74.09%, which is greater than EPU's maximum drawdown of -60.62%. Use the drawdown chart below to compare losses from any high point for ECH and EPU. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-54.28%
-3.04%
ECH
EPU

Volatility

ECH vs. EPU - Volatility Comparison

iShares MSCI Chile ETF (ECH) has a higher volatility of 5.35% compared to iShares MSCI Peru ETF (EPU) at 4.59%. This indicates that ECH's price experiences larger fluctuations and is considered to be riskier than EPU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.35%
4.59%
ECH
EPU