EDPFY vs. URTH
EDPFY (EDP Energias de Portugal SA ADR) is a stock, while URTH (iShares MSCI World ETF) is Global Equities fund tracking the MSCI World Index (Net). Over the past 10 years, EDPFY returned 9.90%/yr vs 13.22%/yr for URTH. At a 0.33 correlation, their price movements are largely independent.
Performance
EDPFY vs. URTH - Performance Comparison
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Returns By Period
In the year-to-date period, EDPFY achieves a 16.13% return, which is significantly higher than URTH's 10.71% return. Over the past 10 years, EDPFY has underperformed URTH with an annualized return of 9.90%, while URTH has yielded a comparatively higher 13.22% annualized return.
EDPFY
- 1D
- -1.45%
- 1M
- -3.11%
- YTD
- 16.13%
- 6M
- 18.19%
- 1Y
- 30.84%
- 3Y*
- 6.42%
- 5Y*
- 3.19%
- 10Y*
- 9.90%
URTH
- 1D
- 0.50%
- 1M
- 4.39%
- YTD
- 10.71%
- 6M
- 11.32%
- 1Y
- 26.53%
- 3Y*
- 21.13%
- 5Y*
- 11.97%
- 10Y*
- 13.22%
EDPFY vs. URTH - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EDPFY EDP Energias de Portugal SA ADR | 16.13% | 51.44% | -32.70% | 5.27% | -5.36% | -13.34% | 63.23% | 31.19% | 7.07% | 20.29% |
URTH iShares MSCI World ETF | 10.71% | 21.36% | 18.66% | 23.95% | -17.97% | 22.27% | 15.78% | 28.15% | -8.56% | 22.95% |
Correlation
The correlation between EDPFY and URTH is 0.26, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.26 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.23 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.32 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.33 |
Correlation (All Time) Calculated using the full available price history since Jan 13, 2012 | 0.33 |
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Return for Risk
EDPFY vs. URTH — Risk / Return Rank
EDPFY
URTH
EDPFY vs. URTH - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for EDP Energias de Portugal SA ADR (EDPFY) and iShares MSCI World ETF (URTH). 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.
| EDPFY | URTH | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.87 | ||
| Sortino ratioReturn per unit of downside risk | -1.30 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.40 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 1.90 | 2.94 | -1.04 |
| Martin ratioReturn relative to average drawdown | 4.79 | 13.35 | -8.56 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EDPFY | URTH | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.35 | 2.21 | -0.87 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.12 | 0.74 | -0.62 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.36 | 0.77 | -0.41 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.14 | 0.73 | -0.59 |
Drawdowns
EDPFY vs. URTH - Drawdown Comparison
The maximum EDPFY drawdown since its inception was -67.95%, which is greater than URTH's maximum drawdown of -34.01%. Use the drawdown chart below to compare losses from any high point for EDPFY and URTH.
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Drawdown Indicators
| EDPFY | URTH | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -67.95% | -34.01% | -33.94% |
Max Drawdown (1Y)Largest decline over 1 year | -16.26% | -9.06% | -7.20% |
Max Drawdown (3Y)Largest decline over 3 years | -37.52% | -16.94% | -20.58% |
Max Drawdown (5Y)Largest decline over 5 years | -42.71% | -26.05% | -16.66% |
Max Drawdown (10Y)Largest decline over 10 years | -48.34% | -34.01% | -14.33% |
Current DrawdownCurrent decline from peak | -4.38% | -0.25% | -4.13% |
Average DrawdownAverage peak-to-trough decline | -28.36% | -4.37% | -23.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.45% | 1.99% | +4.46% |
Volatility
EDPFY vs. URTH - Volatility Comparison
EDP Energias de Portugal SA ADR (EDPFY) has a higher volatility of 6.49% compared to iShares MSCI World ETF (URTH) at 3.24%. This indicates that EDPFY's price experiences larger fluctuations and is considered to be riskier than URTH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EDPFY | URTH | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.49% | 3.24% | +3.25% |
Volatility (6M)Calculated over the trailing 6-month period | 17.41% | 9.43% | +7.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.04% | 12.05% | +10.99% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 26.60% | 16.18% | +10.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.82% | 17.27% | +10.55% |
Dividends
EDPFY vs. URTH - Dividend Comparison
EDPFY's dividend yield for the trailing twelve months is around 4.72%, more than URTH's 1.34% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EDPFY EDP Energias de Portugal SA ADR | 4.72% | 4.95% | 6.52% | 4.16% | 4.01% | 4.15% | 4.87% | 4.91% | 6.74% | 6.11% | 10.79% | 5.70% |
URTH iShares MSCI World ETF | 1.34% | 1.48% | 1.47% | 1.70% | 1.68% | 1.50% | 1.52% | 2.16% | 2.30% | 1.88% | 2.15% | 2.35% |
Frequently Asked Questions
EDPFY and URTH have a correlation of 0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EDPFY has higher volatility (6.49%) compared to URTH (3.24%). In terms of maximum drawdown, EDPFY dropped -67.95% vs URTH's -34.01%.
URTH currently has the higher Sharpe Ratio (2.21 vs 1.35), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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