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

Key characteristics


ECHSPYG
YTD Return-5.73%27.70%
1Y Return3.84%38.75%
3Y Return (Ann)5.02%6.00%
5Y Return (Ann)-0.84%16.98%
10Y Return (Ann)-1.80%14.70%
Sharpe Ratio0.402.37
Sortino Ratio0.713.05
Omega Ratio1.081.43
Calmar Ratio0.152.38
Martin Ratio1.1112.40
Ulcer Index7.74%3.20%
Daily Std Dev21.02%16.80%
Max Drawdown-74.09%-67.79%
Current Drawdown-53.64%-2.97%

Correlation

-0.50.00.51.00.5

The correlation between ECH and SPYG is 0.48, 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.

Performance

ECH vs. SPYG - Performance Comparison

In the year-to-date period, ECH achieves a -5.73% return, which is significantly lower than SPYG's 27.70% return. Over the past 10 years, ECH has underperformed SPYG with an annualized return of -1.80%, while SPYG has yielded a comparatively higher 14.70% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-3.69%
13.29%
ECH
SPYG

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ECH vs. SPYG - Expense Ratio Comparison

ECH has a 0.59% expense ratio, which is higher than SPYG's 0.04% expense ratio.


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 SPYG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

ECH vs. SPYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Chile ETF (ECH) and SPDR Portfolio S&P 500 Growth ETF (SPYG). 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.


ECH
Sharpe ratio
The chart of Sharpe ratio for ECH, currently valued at 0.40, compared to the broader market0.002.004.006.000.40
Sortino ratio
The chart of Sortino ratio for ECH, currently valued at 0.71, compared to the broader market0.005.0010.000.71
Omega ratio
The chart of Omega ratio for ECH, currently valued at 1.08, compared to the broader market1.001.502.002.503.001.08
Calmar ratio
The chart of Calmar ratio for ECH, currently valued at 0.15, compared to the broader market0.005.0010.0015.0020.000.15
Martin ratio
The chart of Martin ratio for ECH, currently valued at 1.11, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.11
SPYG
Sharpe ratio
The chart of Sharpe ratio for SPYG, currently valued at 2.37, compared to the broader market0.002.004.006.002.37
Sortino ratio
The chart of Sortino ratio for SPYG, currently valued at 3.05, compared to the broader market0.005.0010.003.05
Omega ratio
The chart of Omega ratio for SPYG, currently valued at 1.43, compared to the broader market1.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for SPYG, currently valued at 2.38, compared to the broader market0.005.0010.0015.0020.002.38
Martin ratio
The chart of Martin ratio for SPYG, currently valued at 12.40, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.40

ECH vs. SPYG - Sharpe Ratio Comparison

The current ECH Sharpe Ratio is 0.40, which is lower than the SPYG Sharpe Ratio of 2.37. The chart below compares the historical Sharpe Ratios of ECH and SPYG, 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
0.40
2.37
ECH
SPYG

Dividends

ECH vs. SPYG - Dividend Comparison

ECH's dividend yield for the trailing twelve months is around 3.37%, more than SPYG's 0.68% yield.


TTM20232022202120202019201820172016201520142013
ECH
iShares MSCI Chile ETF
3.37%4.77%6.73%5.49%2.16%2.47%2.37%1.42%1.85%2.13%1.74%1.42%
SPYG
SPDR Portfolio S&P 500 Growth ETF
0.68%1.15%1.03%0.62%0.90%1.37%1.51%1.41%1.55%1.57%1.37%1.42%

Drawdowns

ECH vs. SPYG - Drawdown Comparison

The maximum ECH drawdown since its inception was -74.09%, which is greater than SPYG's maximum drawdown of -67.79%. Use the drawdown chart below to compare losses from any high point for ECH and SPYG. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-53.64%
-2.97%
ECH
SPYG

Volatility

ECH vs. SPYG - Volatility Comparison

iShares MSCI Chile ETF (ECH) and SPDR Portfolio S&P 500 Growth ETF (SPYG) have volatilities of 4.36% and 4.57%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.36%
4.57%
ECH
SPYG