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

Performance

EIS vs. EPU - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
19.32%
4.56%
EIS
EPU

Returns By Period

In the year-to-date period, EIS achieves a 25.86% return, which is significantly lower than EPU's 29.98% return. Over the past 10 years, EIS has outperformed EPU with an annualized return of 5.87%, while EPU has yielded a comparatively lower 5.48% annualized return.


EIS

YTD

25.86%

1M

6.92%

6M

19.32%

1Y

35.89%

5Y (annualized)

6.19%

10Y (annualized)

5.87%

EPU

YTD

29.98%

1M

-2.87%

6M

4.56%

1Y

47.87%

5Y (annualized)

8.79%

10Y (annualized)

5.48%

Key characteristics


EISEPU
Sharpe Ratio2.062.25
Sortino Ratio2.713.08
Omega Ratio1.361.38
Calmar Ratio1.282.34
Martin Ratio9.929.56
Ulcer Index3.83%4.84%
Daily Std Dev18.43%20.52%
Max Drawdown-51.94%-60.62%
Current Drawdown-4.39%-3.04%

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EIS vs. EPU - Expense Ratio Comparison

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


EIS
iShares MSCI Israel ETF
Expense ratio chart for EIS: 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

-0.50.00.51.00.4

The correlation between EIS and EPU is 0.44, 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

EIS vs. EPU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Israel ETF (EIS) 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 EIS, currently valued at 2.06, compared to the broader market0.002.004.002.062.25
The chart of Sortino ratio for EIS, currently valued at 2.71, compared to the broader market-2.000.002.004.006.008.0010.0012.002.713.08
The chart of Omega ratio for EIS, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.38
The chart of Calmar ratio for EIS, currently valued at 1.28, compared to the broader market0.005.0010.0015.001.282.34
The chart of Martin ratio for EIS, currently valued at 9.92, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.929.56
EIS
EPU

The current EIS Sharpe Ratio is 2.06, which is comparable to the EPU Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of EIS 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.06
2.25
EIS
EPU

Dividends

EIS vs. EPU - Dividend Comparison

EIS's dividend yield for the trailing twelve months is around 1.07%, less than EPU's 3.90% yield.


TTM20232022202120202019201820172016201520142013
EIS
iShares MSCI Israel ETF
1.07%1.39%1.66%1.04%0.17%2.06%0.87%2.02%1.78%2.55%1.86%2.20%
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

EIS vs. EPU - Drawdown Comparison

The maximum EIS drawdown since its inception was -51.94%, smaller than the maximum EPU drawdown of -60.62%. Use the drawdown chart below to compare losses from any high point for EIS and EPU. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.39%
-3.04%
EIS
EPU

Volatility

EIS vs. EPU - Volatility Comparison

iShares MSCI Israel ETF (EIS) and iShares MSCI Peru ETF (EPU) have volatilities of 4.37% and 4.59%, 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%JuneJulyAugustSeptemberOctoberNovember
4.37%
4.59%
EIS
EPU