PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ENZL vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ENZLVTI
YTD Return-2.49%19.97%
1Y Return8.92%32.68%
3Y Return (Ann)-7.47%6.79%
5Y Return (Ann)0.32%14.34%
10Y Return (Ann)5.07%12.37%
Sharpe Ratio0.582.76
Sortino Ratio0.983.67
Omega Ratio1.111.51
Calmar Ratio0.283.66
Martin Ratio2.1617.63
Ulcer Index4.83%1.94%
Daily Std Dev17.99%12.35%
Max Drawdown-42.44%-55.45%
Current Drawdown-29.21%-2.48%

Correlation

-0.50.00.51.00.5

The correlation between ENZL and VTI 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. VTI - Performance Comparison

In the year-to-date period, ENZL achieves a -2.49% return, which is significantly lower than VTI's 19.97% return. Over the past 10 years, ENZL has underperformed VTI with an annualized return of 5.07%, while VTI has yielded a comparatively higher 12.37% 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%
10.67%
ENZL
VTI

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ENZL vs. VTI - Expense Ratio Comparison

ENZL has a 0.50% expense ratio, which is higher than VTI'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 VTI: 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. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI New Zealand ETF (ENZL) and Vanguard Total Stock Market ETF (VTI). 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
VTI
Sharpe ratio
The chart of Sharpe ratio for VTI, currently valued at 2.76, compared to the broader market0.002.004.006.002.76
Sortino ratio
The chart of Sortino ratio for VTI, currently valued at 3.67, compared to the broader market0.005.0010.003.67
Omega ratio
The chart of Omega ratio for VTI, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for VTI, currently valued at 3.66, compared to the broader market0.005.0010.0015.0020.003.66
Martin ratio
The chart of Martin ratio for VTI, currently valued at 17.63, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.63

ENZL vs. VTI - Sharpe Ratio Comparison

The current ENZL Sharpe Ratio is 0.58, which is lower than the VTI Sharpe Ratio of 2.76. The chart below compares the historical Sharpe Ratios of ENZL and VTI, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.58
2.76
ENZL
VTI

Dividends

ENZL vs. VTI - Dividend Comparison

ENZL's dividend yield for the trailing twelve months is around 2.83%, more than VTI's 1.33% 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%
VTI
Vanguard Total Stock Market ETF
1.33%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

ENZL vs. VTI - Drawdown Comparison

The maximum ENZL drawdown since its inception was -42.44%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for ENZL and VTI. 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%
-2.48%
ENZL
VTI

Volatility

ENZL vs. VTI - Volatility Comparison

iShares MSCI New Zealand ETF (ENZL) has a higher volatility of 3.32% compared to Vanguard Total Stock Market ETF (VTI) at 3.10%. This indicates that ENZL's price experiences larger fluctuations and is considered to be riskier than VTI 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%
3.10%
ENZL
VTI