EPHE vs. GOVT
Compare and contrast key facts about iShares MSCI Philippines ETF (EPHE) and iShares U.S. Treasury Bond ETF (GOVT).
EPHE and GOVT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EPHE is a passively managed fund by iShares that tracks the performance of the MSCI Philippines Investable Market Index. It was launched on Sep 28, 2010. GOVT is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. Treasury Bond Index. It was launched on Feb 14, 2012. Both EPHE and GOVT are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EPHE or GOVT.
Key characteristics
| EPHE | GOVT | |
|---|---|---|
| YTD Return | 1.77% | 0.73% |
| 1Y Return | 9.25% | 5.94% |
| 3Y Return (Ann) | -6.30% | -2.78% |
| 5Y Return (Ann) | -4.47% | -0.75% |
| 10Y Return (Ann) | -2.80% | 0.84% |
| Sharpe Ratio | 0.53 | 1.06 |
| Sortino Ratio | 0.84 | 1.56 |
| Omega Ratio | 1.10 | 1.19 |
| Calmar Ratio | 0.20 | 0.34 |
| Martin Ratio | 1.25 | 3.41 |
| Ulcer Index | 6.50% | 1.74% |
| Daily Std Dev | 15.35% | 5.58% |
| Max Drawdown | -53.82% | -19.07% |
| Current Drawdown | -32.79% | -12.37% |
Correlation
The correlation between EPHE and GOVT is -0.04. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
EPHE vs. GOVT - Performance Comparison
In the year-to-date period, EPHE achieves a 1.77% return, which is significantly higher than GOVT's 0.73% return. Over the past 10 years, EPHE has underperformed GOVT with an annualized return of -2.80%, while GOVT has yielded a comparatively higher 0.84% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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EPHE vs. GOVT - Expense Ratio Comparison
EPHE has a 0.59% expense ratio, which is higher than GOVT's 0.15% expense ratio.
Risk-Adjusted Performance
EPHE vs. GOVT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Philippines ETF (EPHE) and iShares U.S. Treasury Bond ETF (GOVT). 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.
Dividends
EPHE vs. GOVT - Dividend Comparison
EPHE's dividend yield for the trailing twelve months is around 2.21%, less than GOVT's 3.14% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EPHE iShares MSCI Philippines ETF | 2.21% | 2.01% | 1.73% | 1.05% | 0.72% | 0.78% | 0.45% | 0.36% | 0.71% | 1.03% | 0.97% | 1.05% |
GOVT iShares U.S. Treasury Bond ETF | 3.14% | 2.66% | 1.76% | 0.96% | 2.17% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% | 1.17% | 0.94% |
Drawdowns
EPHE vs. GOVT - Drawdown Comparison
The maximum EPHE drawdown since its inception was -53.82%, which is greater than GOVT's maximum drawdown of -19.07%. Use the drawdown chart below to compare losses from any high point for EPHE and GOVT. For additional features, visit the drawdowns tool.
Volatility
EPHE vs. GOVT - Volatility Comparison
iShares MSCI Philippines ETF (EPHE) has a higher volatility of 4.78% compared to iShares U.S. Treasury Bond ETF (GOVT) at 1.60%. This indicates that EPHE's price experiences larger fluctuations and is considered to be riskier than GOVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.