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EPU vs. EVX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EPU and EVX is 0.41, 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.


-0.50.00.51.00.4

Performance

EPU vs. EVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Peru ETF (EPU) and VanEck Vectors Environmental Services ETF (EVX). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
153.64%
477.22%
EPU
EVX

Key characteristics

Sharpe Ratio

EPU:

1.28

EVX:

1.11

Sortino Ratio

EPU:

1.85

EVX:

1.56

Omega Ratio

EPU:

1.22

EVX:

1.20

Calmar Ratio

EPU:

2.05

EVX:

1.39

Martin Ratio

EPU:

5.09

EVX:

6.30

Ulcer Index

EPU:

5.01%

EVX:

2.46%

Daily Std Dev

EPU:

19.89%

EVX:

13.92%

Max Drawdown

EPU:

-60.62%

EVX:

-55.91%

Current Drawdown

EPU:

-7.88%

EVX:

-9.52%

Returns By Period

In the year-to-date period, EPU achieves a 23.49% return, which is significantly higher than EVX's 13.93% return. Over the past 10 years, EPU has underperformed EVX with an annualized return of 5.68%, while EVX has yielded a comparatively higher 12.52% annualized return.


EPU

YTD

23.49%

1M

-4.52%

6M

2.81%

1Y

24.18%

5Y*

6.36%

10Y*

5.68%

EVX

YTD

13.93%

1M

-6.27%

6M

2.38%

1Y

14.51%

5Y*

10.65%

10Y*

12.52%

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. EVX - Expense Ratio Comparison

EPU has a 0.59% expense ratio, which is higher than EVX's 0.55% expense ratio.


EPU
iShares MSCI Peru ETF
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%
Expense ratio chart for EVX: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%

Risk-Adjusted Performance

EPU vs. EVX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Peru ETF (EPU) and VanEck Vectors Environmental Services ETF (EVX). 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 market0.002.004.001.281.11
The chart of Sortino ratio for EPU, currently valued at 1.85, compared to the broader market-2.000.002.004.006.008.0010.001.851.56
The chart of Omega ratio for EPU, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.221.20
The chart of Calmar ratio for EPU, currently valued at 2.05, compared to the broader market0.005.0010.0015.002.051.39
The chart of Martin ratio for EPU, currently valued at 5.09, compared to the broader market0.0020.0040.0060.0080.00100.005.096.30
EPU
EVX

The current EPU Sharpe Ratio is 1.28, which is comparable to the EVX Sharpe Ratio of 1.11. The chart below compares the historical Sharpe Ratios of EPU and EVX, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.28
1.11
EPU
EVX

Dividends

EPU vs. EVX - Dividend Comparison

EPU's dividend yield for the trailing twelve months is around 5.70%, while EVX 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%
EVX
VanEck Vectors Environmental Services ETF
0.00%0.95%0.41%0.24%0.33%0.44%0.38%0.89%0.70%1.16%1.58%1.15%

Drawdowns

EPU vs. EVX - Drawdown Comparison

The maximum EPU drawdown since its inception was -60.62%, which is greater than EVX's maximum drawdown of -55.91%. Use the drawdown chart below to compare losses from any high point for EPU and EVX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.88%
-9.52%
EPU
EVX

Volatility

EPU vs. EVX - Volatility Comparison

iShares MSCI Peru ETF (EPU) has a higher volatility of 5.40% compared to VanEck Vectors Environmental Services ETF (EVX) at 4.12%. This indicates that EPU's price experiences larger fluctuations and is considered to be riskier than EVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.40%
4.12%
EPU
EVX
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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.

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