EPHE vs. ^NDX
EPHE (iShares MSCI Philippines ETF) is Asia Pacific Equities fund tracking the MSCI Philippines Investable Market Index, while ^NDX (NASDAQ 100 Index) is an index. Over the past 10 years, EPHE returned -2.82%/yr vs 20.95%/yr for ^NDX. At a 0.42 correlation, their price movements are largely independent.
Performance
EPHE vs. ^NDX - Performance Comparison
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Returns By Period
In the year-to-date period, EPHE achieves a 0.32% return, which is significantly lower than ^NDX's 17.37% return. Over the past 10 years, EPHE has underperformed ^NDX with an annualized return of -2.82%, while ^NDX has yielded a comparatively higher 20.95% annualized return.
EPHE
- 1D
- 0.97%
- 1M
- 0.81%
- YTD
- 0.32%
- 6M
- 1.21%
- 1Y
- -7.80%
- 3Y*
- 0.90%
- 5Y*
- -3.02%
- 10Y*
- -2.82%
^NDX
- 1D
- 0.64%
- 1M
- 0.19%
- YTD
- 17.37%
- 6M
- 17.62%
- 1Y
- 37.01%
- 3Y*
- 25.76%
- 5Y*
- 16.18%
- 10Y*
- 20.95%
EPHE vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EPHE iShares MSCI Philippines ETF | 0.32% | 1.56% | -1.41% | 1.27% | -15.87% | -2.23% | -3.95% | 8.50% | -17.50% | 20.20% |
^NDX NASDAQ 100 Index | 17.37% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
Correlation
The correlation between EPHE and ^NDX is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.34 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.35 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.37 |
Correlation (All Time) Calculated using the full available price history since Sep 29, 2010 | 0.42 |
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Return for Risk
EPHE vs. ^NDX — Risk / Return Rank
EPHE
^NDX
EPHE vs. ^NDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Philippines ETF (EPHE) and NASDAQ 100 Index (^NDX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EPHE | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.54 | ||
| Sortino ratioReturn per unit of downside risk | -3.27 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.36 | -0.42 |
| Calmar ratioReturn relative to maximum drawdown | -0.58 | 2.92 | -3.50 |
| Martin ratioReturn relative to average drawdown | -1.06 | 10.85 | -11.91 |
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Drawdowns
EPHE vs. ^NDX - Drawdown Comparison
The maximum EPHE drawdown since its inception was -53.82%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for EPHE and ^NDX.
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Drawdown Indicators
| EPHE | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.82% | -82.90% | +29.08% |
Max Drawdown (1Y)Largest decline over 1 year | -15.90% | -12.12% | -3.78% |
Max Drawdown (3Y)Largest decline over 3 years | -21.42% | -22.93% | +1.51% |
Max Drawdown (5Y)Largest decline over 5 years | -32.96% | -35.56% | +2.60% |
Max Drawdown (10Y)Largest decline over 10 years | -51.62% | -35.56% | -16.06% |
Current DrawdownCurrent decline from peak | -33.66% | -3.34% | -30.32% |
Average DrawdownAverage peak-to-trough decline | -21.00% | -24.61% | +3.61% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.28% | 3.26% | +6.02% |
Volatility
EPHE vs. ^NDX - Volatility Comparison
The current volatility for iShares MSCI Philippines ETF (EPHE) is 4.96%, while NASDAQ 100 Index (^NDX) has a volatility of 7.51%. This indicates that EPHE experiences smaller price fluctuations and is considered to be less risky than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EPHE | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.96% | 7.51% | -2.55% |
Volatility (6M)Calculated over the trailing 6-month period | 13.49% | 13.84% | -0.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.90% | 17.29% | +1.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.05% | 22.76% | -4.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.20% | 22.61% | -0.41% |
Frequently Asked Questions
EPHE and ^NDX have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^NDX has higher volatility (7.51%) compared to EPHE (4.96%). In terms of maximum drawdown, EPHE dropped -53.82% vs ^NDX's -82.90%.
^NDX currently has the higher Sharpe Ratio (2.05 vs -0.49), 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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