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

Key characteristics


ENZLVOO
YTD Return-2.49%21.11%
1Y Return8.92%32.98%
3Y Return (Ann)-7.47%8.44%
5Y Return (Ann)0.32%15.04%
10Y Return (Ann)5.07%12.94%
Sharpe Ratio0.582.84
Sortino Ratio0.983.76
Omega Ratio1.111.53
Calmar Ratio0.284.05
Martin Ratio2.1618.51
Ulcer Index4.83%1.85%
Daily Std Dev17.99%12.06%
Max Drawdown-42.44%-33.99%
Current Drawdown-29.21%-2.52%

Correlation

-0.50.00.51.00.5

The correlation between ENZL and VOO 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.

Performance

ENZL vs. VOO - Performance Comparison

In the year-to-date period, ENZL achieves a -2.49% return, which is significantly lower than VOO's 21.11% return. Over the past 10 years, ENZL has underperformed VOO with an annualized return of 5.07%, while VOO has yielded a comparatively higher 12.94% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.98%
11.07%
ENZL
VOO

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ENZL vs. VOO - Expense Ratio Comparison

ENZL has a 0.50% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

ENZL vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI New Zealand ETF (ENZL) and Vanguard S&P 500 ETF (VOO). 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.


ENZL
Sharpe ratio
The chart of Sharpe ratio for ENZL, currently valued at 0.58, compared to the broader market0.002.004.006.000.58
Sortino ratio
The chart of Sortino ratio for ENZL, currently valued at 0.98, compared to the broader market0.005.0010.000.98
Omega ratio
The chart of Omega ratio for ENZL, currently valued at 1.11, compared to the broader market1.001.502.002.503.001.11
Calmar ratio
The chart of Calmar ratio for ENZL, currently valued at 0.28, compared to the broader market0.005.0010.0015.0020.000.28
Martin ratio
The chart of Martin ratio for ENZL, currently valued at 2.16, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.16
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.84, compared to the broader market0.002.004.006.002.84
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for VOO, currently valued at 18.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.51

ENZL vs. VOO - Sharpe Ratio Comparison

The current ENZL Sharpe Ratio is 0.58, which is lower than the VOO Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of ENZL and VOO, 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
0.58
2.84
ENZL
VOO

Dividends

ENZL vs. VOO - Dividend Comparison

ENZL's dividend yield for the trailing twelve months is around 2.83%, more than VOO's 1.29% yield.


TTM20232022202120202019201820172016201520142013
ENZL
iShares MSCI New Zealand ETF
2.83%3.00%1.62%2.46%1.66%3.35%3.60%3.69%4.76%4.29%5.15%3.95%
VOO
Vanguard S&P 500 ETF
1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

ENZL vs. VOO - Drawdown Comparison

The maximum ENZL drawdown since its inception was -42.44%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ENZL and VOO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-29.21%
-2.52%
ENZL
VOO

Volatility

ENZL vs. VOO - Volatility Comparison

iShares MSCI New Zealand ETF (ENZL) has a higher volatility of 3.32% compared to Vanguard S&P 500 ETF (VOO) at 3.15%. This indicates that ENZL's price experiences larger fluctuations and is considered to be riskier than VOO 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
3.32%
3.15%
ENZL
VOO