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EPOL vs. EWW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EPOLEWW
YTD Return-0.22%-24.05%
1Y Return13.96%-12.12%
3Y Return (Ann)0.88%4.16%
5Y Return (Ann)2.31%5.12%
10Y Return (Ann)0.42%-0.53%
Sharpe Ratio0.68-0.30
Sortino Ratio1.11-0.25
Omega Ratio1.130.97
Calmar Ratio0.54-0.27
Martin Ratio2.94-0.53
Ulcer Index5.65%14.08%
Daily Std Dev24.46%24.78%
Max Drawdown-63.72%-64.95%
Current Drawdown-19.91%-26.97%

Correlation

-0.50.00.51.00.6

The correlation between EPOL and EWW is 0.59, 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

EPOL vs. EWW - Performance Comparison

In the year-to-date period, EPOL achieves a -0.22% return, which is significantly higher than EWW's -24.05% return. Over the past 10 years, EPOL has outperformed EWW with an annualized return of 0.42%, while EWW has yielded a comparatively lower -0.53% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


30.00%40.00%50.00%60.00%70.00%80.00%90.00%JuneJulyAugustSeptemberOctoberNovember
29.83%
41.83%
EPOL
EWW

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EPOL vs. EWW - Expense Ratio Comparison

EPOL has a 0.61% expense ratio, which is higher than EWW's 0.49% expense ratio.


EPOL
iShares MSCI Poland ETF
Expense ratio chart for EPOL: current value at 0.61% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.61%
Expense ratio chart for EWW: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

EPOL vs. EWW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Poland ETF (EPOL) and iShares MSCI Mexico ETF (EWW). 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.


EPOL
Sharpe ratio
The chart of Sharpe ratio for EPOL, currently valued at 0.68, compared to the broader market-2.000.002.004.006.000.68
Sortino ratio
The chart of Sortino ratio for EPOL, currently valued at 1.11, compared to the broader market0.005.0010.001.11
Omega ratio
The chart of Omega ratio for EPOL, currently valued at 1.13, compared to the broader market1.001.502.002.503.003.501.13
Calmar ratio
The chart of Calmar ratio for EPOL, currently valued at 0.54, compared to the broader market0.005.0010.0015.0020.000.54
Martin ratio
The chart of Martin ratio for EPOL, currently valued at 2.94, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.94
EWW
Sharpe ratio
The chart of Sharpe ratio for EWW, currently valued at -0.30, compared to the broader market-2.000.002.004.006.00-0.30
Sortino ratio
The chart of Sortino ratio for EWW, currently valued at -0.24, compared to the broader market0.005.0010.00-0.25
Omega ratio
The chart of Omega ratio for EWW, currently valued at 0.97, compared to the broader market1.001.502.002.503.003.500.97
Calmar ratio
The chart of Calmar ratio for EWW, currently valued at -0.27, compared to the broader market0.005.0010.0015.0020.00-0.27
Martin ratio
The chart of Martin ratio for EWW, currently valued at -0.53, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.53

EPOL vs. EWW - Sharpe Ratio Comparison

The current EPOL Sharpe Ratio is 0.68, which is higher than the EWW Sharpe Ratio of -0.30. The chart below compares the historical Sharpe Ratios of EPOL and EWW, 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 Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.68
-0.30
EPOL
EWW

Dividends

EPOL vs. EWW - Dividend Comparison

EPOL's dividend yield for the trailing twelve months is around 4.89%, more than EWW's 2.94% yield.


TTM20232022202120202019201820172016201520142013
EPOL
iShares MSCI Poland ETF
4.89%2.87%2.65%1.33%1.44%2.51%1.44%1.88%2.14%2.53%3.44%3.28%
EWW
iShares MSCI Mexico ETF
2.94%2.19%3.63%2.06%1.42%2.91%2.29%2.21%1.76%2.31%1.22%1.93%

Drawdowns

EPOL vs. EWW - Drawdown Comparison

The maximum EPOL drawdown since its inception was -63.72%, roughly equal to the maximum EWW drawdown of -64.95%. Use the drawdown chart below to compare losses from any high point for EPOL and EWW. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-19.91%
-26.97%
EPOL
EWW

Volatility

EPOL vs. EWW - Volatility Comparison

iShares MSCI Poland ETF (EPOL) has a higher volatility of 5.77% compared to iShares MSCI Mexico ETF (EWW) at 4.96%. This indicates that EPOL's price experiences larger fluctuations and is considered to be riskier than EWW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
5.77%
4.96%
EPOL
EWW