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

Correlation

The correlation between EPU and EPI is 0.46, 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.


-0.50.00.51.00.5

Performance

EPU vs. EPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Peru ETF (EPU) and WisdomTree India Earnings Fund (EPI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
2.81%
-2.95%
EPU
EPI

Key characteristics

Sharpe Ratio

EPU:

1.28

EPI:

1.02

Sortino Ratio

EPU:

1.85

EPI:

1.35

Omega Ratio

EPU:

1.22

EPI:

1.21

Calmar Ratio

EPU:

2.05

EPI:

1.60

Martin Ratio

EPU:

5.09

EPI:

4.50

Ulcer Index

EPU:

5.01%

EPI:

3.71%

Daily Std Dev

EPU:

19.89%

EPI:

16.39%

Max Drawdown

EPU:

-60.62%

EPI:

-66.21%

Current Drawdown

EPU:

-7.88%

EPI:

-9.25%

Returns By Period

In the year-to-date period, EPU achieves a 23.49% return, which is significantly higher than EPI's 12.49% return. Over the past 10 years, EPU has underperformed EPI with an annualized return of 5.68%, while EPI has yielded a comparatively higher 9.35% annualized return.


EPU

YTD

23.49%

1M

-4.52%

6M

2.81%

1Y

24.18%

5Y*

6.36%

10Y*

5.68%

EPI

YTD

12.49%

1M

-0.09%

6M

-2.95%

1Y

14.16%

5Y*

15.12%

10Y*

9.35%

Compare stocks, funds, or ETFs

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


EPU vs. EPI - Expense Ratio Comparison

EPU has a 0.59% expense ratio, which is lower than EPI's 0.84% expense ratio.


EPI
WisdomTree India Earnings Fund
Expense ratio chart for EPI: current value at 0.84% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.84%
Expense ratio chart for EPU: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%

Risk-Adjusted Performance

EPU vs. EPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Peru ETF (EPU) and WisdomTree India Earnings Fund (EPI). 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.


Sharpe ratio
The chart of Sharpe ratio for EPU, currently valued at 1.28, compared to the broader market0.002.004.001.281.02
The chart of Sortino ratio for EPU, currently valued at 1.85, compared to the broader market-2.000.002.004.006.008.0010.001.851.35
The chart of Omega ratio for EPU, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.21
The chart of Calmar ratio for EPU, currently valued at 2.05, compared to the broader market0.005.0010.0015.002.051.60
The chart of Martin ratio for EPU, currently valued at 5.09, compared to the broader market0.0020.0040.0060.0080.00100.005.094.50
EPU
EPI

The current EPU Sharpe Ratio is 1.28, which is comparable to the EPI Sharpe Ratio of 1.02. The chart below compares the historical Sharpe Ratios of EPU and EPI, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.28
1.02
EPU
EPI

Dividends

EPU vs. EPI - Dividend Comparison

EPU's dividend yield for the trailing twelve months is around 5.70%, while EPI has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
EPU
iShares MSCI Peru ETF
5.70%4.17%5.56%3.13%1.91%2.67%1.53%3.30%0.85%1.91%1.66%1.72%
EPI
WisdomTree India Earnings Fund
0.00%0.15%6.01%1.18%0.78%1.17%1.18%0.85%1.04%1.20%1.02%0.75%

Drawdowns

EPU vs. EPI - Drawdown Comparison

The maximum EPU drawdown since its inception was -60.62%, smaller than the maximum EPI drawdown of -66.21%. Use the drawdown chart below to compare losses from any high point for EPU and EPI. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.88%
-9.25%
EPU
EPI

Volatility

EPU vs. EPI - Volatility Comparison

iShares MSCI Peru ETF (EPU) has a higher volatility of 5.40% compared to WisdomTree India Earnings Fund (EPI) at 3.88%. This indicates that EPU's price experiences larger fluctuations and is considered to be riskier than EPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.40%
3.88%
EPU
EPI
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab