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ENZL vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ENZL vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI New Zealand ETF (ENZL) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
6.08%
13.58%
ENZL
SPY

Returns By Period

In the year-to-date period, ENZL achieves a -1.26% return, which is significantly lower than SPY's 26.08% return. Over the past 10 years, ENZL has underperformed SPY with an annualized return of 4.93%, while SPY has yielded a comparatively higher 13.10% annualized return.


ENZL

YTD

-1.26%

1M

-2.32%

6M

6.08%

1Y

10.44%

5Y (annualized)

-0.10%

10Y (annualized)

4.93%

SPY

YTD

26.08%

1M

1.77%

6M

13.59%

1Y

32.24%

5Y (annualized)

15.62%

10Y (annualized)

13.10%

Key characteristics


ENZLSPY
Sharpe Ratio0.532.70
Sortino Ratio0.903.60
Omega Ratio1.101.50
Calmar Ratio0.273.90
Martin Ratio1.8717.52
Ulcer Index4.98%1.87%
Daily Std Dev17.50%12.14%
Max Drawdown-42.44%-55.19%
Current Drawdown-28.32%-0.85%

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ENZL vs. SPY - Expense Ratio Comparison

ENZL has a 0.50% expense ratio, which is higher than SPY's 0.09% expense ratio.


ENZL
iShares MSCI New Zealand ETF
Expense ratio chart for ENZL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.00.5

The correlation between ENZL and SPY is 0.53, 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

ENZL vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI New Zealand ETF (ENZL) and SPDR S&P 500 ETF (SPY). 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 ENZL, currently valued at 0.53, compared to the broader market0.002.004.000.532.70
The chart of Sortino ratio for ENZL, currently valued at 0.90, compared to the broader market-2.000.002.004.006.008.0010.0012.000.903.60
The chart of Omega ratio for ENZL, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.50
The chart of Calmar ratio for ENZL, currently valued at 0.27, compared to the broader market0.005.0010.0015.000.273.90
The chart of Martin ratio for ENZL, currently valued at 1.87, compared to the broader market0.0020.0040.0060.0080.00100.001.8717.52
ENZL
SPY

The current ENZL Sharpe Ratio is 0.53, which is lower than the SPY Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of ENZL and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.53
2.70
ENZL
SPY

Dividends

ENZL vs. SPY - Dividend Comparison

ENZL's dividend yield for the trailing twelve months is around 2.80%, more than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
ENZL
iShares MSCI New Zealand ETF
2.80%3.00%1.62%2.46%1.66%3.35%3.60%3.69%4.78%4.29%5.15%3.95%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

ENZL vs. SPY - Drawdown Comparison

The maximum ENZL drawdown since its inception was -42.44%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ENZL and SPY. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-28.32%
-0.85%
ENZL
SPY

Volatility

ENZL vs. SPY - Volatility Comparison

The current volatility for iShares MSCI New Zealand ETF (ENZL) is 3.71%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.98%. This indicates that ENZL experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.71%
3.98%
ENZL
SPY