PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EPOL vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


EPOL^GSPC
YTD Return1.13%19.77%
1Y Return15.50%31.07%
3Y Return (Ann)1.22%6.78%
5Y Return (Ann)2.66%13.22%
10Y Return (Ann)0.53%10.92%
Sharpe Ratio0.712.67
Sortino Ratio1.153.55
Omega Ratio1.141.50
Calmar Ratio0.563.45
Martin Ratio3.0417.04
Ulcer Index5.70%1.90%
Daily Std Dev24.48%12.10%
Max Drawdown-63.72%-56.78%
Current Drawdown-18.83%-2.59%

Correlation

-0.50.00.51.00.6

The correlation between EPOL and ^GSPC is 0.58, 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. ^GSPC - Performance Comparison

In the year-to-date period, EPOL achieves a 1.13% return, which is significantly lower than ^GSPC's 19.77% return. Over the past 10 years, EPOL has underperformed ^GSPC with an annualized return of 0.53%, while ^GSPC has yielded a comparatively higher 10.92% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-7.73%
10.27%
EPOL
^GSPC

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

EPOL vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Poland ETF (EPOL) and S&P 500 (^GSPC). 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 0.71, compared to the broader market0.002.004.000.71
Sortino ratio
The chart of Sortino ratio for EPOL, currently valued at 1.15, compared to the broader market0.005.0010.001.15
Omega ratio
The chart of Omega ratio for EPOL, currently valued at 1.14, compared to the broader market1.001.502.002.503.003.501.14
Calmar ratio
The chart of Calmar ratio for EPOL, currently valued at 0.56, compared to the broader market0.005.0010.0015.0020.000.56
Martin ratio
The chart of Martin ratio for EPOL, currently valued at 3.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.04
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.67, compared to the broader market0.002.004.002.67
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.55, compared to the broader market0.005.0010.003.55
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market1.001.502.002.503.003.501.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.45, compared to the broader market0.005.0010.0015.0020.003.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.04

EPOL vs. ^GSPC - Sharpe Ratio Comparison

The current EPOL Sharpe Ratio is 0.71, which is lower than the ^GSPC Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of EPOL and ^GSPC, 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
0.71
2.67
EPOL
^GSPC

Drawdowns

EPOL vs. ^GSPC - Drawdown Comparison

The maximum EPOL drawdown since its inception was -63.72%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EPOL and ^GSPC. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-18.83%
-2.59%
EPOL
^GSPC

Volatility

EPOL vs. ^GSPC - Volatility Comparison

iShares MSCI Poland ETF (EPOL) has a higher volatility of 5.97% compared to S&P 500 (^GSPC) at 3.11%. This indicates that EPOL's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.97%
3.11%
EPOL
^GSPC