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EUSA vs. GSEW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EUSA and GSEW is 0.98, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

EUSA vs. GSEW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Equal Weighted ETF (EUSA) and Goldman Sachs Equal Weight U.S. Large Cap Equity ETF (GSEW). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%JulyAugustSeptemberOctoberNovemberDecember
108.97%
116.02%
EUSA
GSEW

Key characteristics

Sharpe Ratio

EUSA:

1.47

GSEW:

1.69

Sortino Ratio

EUSA:

2.04

GSEW:

2.36

Omega Ratio

EUSA:

1.26

GSEW:

1.30

Calmar Ratio

EUSA:

2.57

GSEW:

2.84

Martin Ratio

EUSA:

7.83

GSEW:

9.75

Ulcer Index

EUSA:

2.28%

GSEW:

2.06%

Daily Std Dev

EUSA:

12.17%

GSEW:

11.88%

Max Drawdown

EUSA:

-39.16%

GSEW:

-38.65%

Current Drawdown

EUSA:

-5.57%

GSEW:

-5.71%

Returns By Period

In the year-to-date period, EUSA achieves a 15.50% return, which is significantly lower than GSEW's 17.62% return.


EUSA

YTD

15.50%

1M

-2.48%

6M

9.56%

1Y

16.38%

5Y*

10.31%

10Y*

9.91%

GSEW

YTD

17.62%

1M

-2.73%

6M

9.82%

1Y

18.62%

5Y*

10.79%

10Y*

N/A

Compare stocks, funds, or ETFs

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


EUSA vs. GSEW - Expense Ratio Comparison

EUSA has a 0.15% expense ratio, which is higher than GSEW's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


EUSA
iShares MSCI USA Equal Weighted ETF
Expense ratio chart for EUSA: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for GSEW: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

EUSA vs. GSEW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Equal Weighted ETF (EUSA) and Goldman Sachs Equal Weight U.S. Large Cap Equity ETF (GSEW). 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 EUSA, currently valued at 1.47, compared to the broader market0.002.004.001.471.69
The chart of Sortino ratio for EUSA, currently valued at 2.04, compared to the broader market-2.000.002.004.006.008.0010.002.042.36
The chart of Omega ratio for EUSA, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.30
The chart of Calmar ratio for EUSA, currently valued at 2.57, compared to the broader market0.005.0010.0015.002.572.84
The chart of Martin ratio for EUSA, currently valued at 7.83, compared to the broader market0.0020.0040.0060.0080.00100.007.839.75
EUSA
GSEW

The current EUSA Sharpe Ratio is 1.47, which is comparable to the GSEW Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of EUSA and GSEW, 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
1.47
1.69
EUSA
GSEW

Dividends

EUSA vs. GSEW - Dividend Comparison

EUSA's dividend yield for the trailing twelve months is around 1.46%, less than GSEW's 1.49% yield.


TTM20232022202120202019201820172016201520142013
EUSA
iShares MSCI USA Equal Weighted ETF
1.46%1.53%1.73%1.23%1.45%1.49%2.01%1.50%1.59%2.21%1.91%1.97%
GSEW
Goldman Sachs Equal Weight U.S. Large Cap Equity ETF
1.49%1.64%1.73%1.34%1.53%1.65%1.56%0.54%0.00%0.00%0.00%0.00%

Drawdowns

EUSA vs. GSEW - Drawdown Comparison

The maximum EUSA drawdown since its inception was -39.16%, roughly equal to the maximum GSEW drawdown of -38.65%. Use the drawdown chart below to compare losses from any high point for EUSA and GSEW. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.57%
-5.71%
EUSA
GSEW

Volatility

EUSA vs. GSEW - Volatility Comparison

iShares MSCI USA Equal Weighted ETF (EUSA) and Goldman Sachs Equal Weight U.S. Large Cap Equity ETF (GSEW) have volatilities of 4.35% and 4.36%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.35%
4.36%
EUSA
GSEW
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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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