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

Correlation

The correlation between EUSA and GSEW is 0.92, 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.


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.

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Key characteristics

Sharpe Ratio

EUSA:

0.54

GSEW:

0.66

Sortino Ratio

EUSA:

0.97

GSEW:

1.13

Omega Ratio

EUSA:

1.13

GSEW:

1.16

Calmar Ratio

EUSA:

0.58

GSEW:

0.71

Martin Ratio

EUSA:

2.13

GSEW:

2.66

Ulcer Index

EUSA:

4.99%

GSEW:

4.84%

Daily Std Dev

EUSA:

17.78%

GSEW:

18.01%

Max Drawdown

EUSA:

-39.16%

GSEW:

-38.65%

Current Drawdown

EUSA:

-5.05%

GSEW:

-4.13%

Returns By Period

In the year-to-date period, EUSA achieves a 1.30% return, which is significantly lower than GSEW's 2.31% return.


EUSA

YTD

1.30%

1M

9.40%

6M

-3.25%

1Y

9.59%

5Y*

15.46%

10Y*

9.65%

GSEW

YTD

2.31%

1M

10.37%

6M

-2.31%

1Y

11.77%

5Y*

15.60%

10Y*

N/A

*Annualized

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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%.


Risk-Adjusted Performance

EUSA vs. GSEW — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EUSA
The Risk-Adjusted Performance Rank of EUSA is 6464
Overall Rank
The Sharpe Ratio Rank of EUSA is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of EUSA is 6565
Sortino Ratio Rank
The Omega Ratio Rank of EUSA is 6565
Omega Ratio Rank
The Calmar Ratio Rank of EUSA is 6868
Calmar Ratio Rank
The Martin Ratio Rank of EUSA is 6464
Martin Ratio Rank

GSEW
The Risk-Adjusted Performance Rank of GSEW is 7171
Overall Rank
The Sharpe Ratio Rank of GSEW is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of GSEW is 7070
Sortino Ratio Rank
The Omega Ratio Rank of GSEW is 7272
Omega Ratio Rank
The Calmar Ratio Rank of GSEW is 7373
Calmar Ratio Rank
The Martin Ratio Rank of GSEW is 7070
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The current EUSA Sharpe Ratio is 0.54, which is comparable to the GSEW Sharpe Ratio of 0.66. 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.


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Dividends

EUSA vs. GSEW - Dividend Comparison

EUSA's dividend yield for the trailing twelve months is around 1.48%, less than GSEW's 1.50% yield.


TTM20242023202220212020201920182017201620152014
EUSA
iShares MSCI USA Equal Weighted ETF
1.48%1.47%1.53%1.73%1.23%1.45%1.49%2.01%1.50%1.59%2.21%1.91%
GSEW
Goldman Sachs Equal Weight U.S. Large Cap Equity ETF
1.50%1.46%1.64%1.73%1.34%1.53%1.65%1.56%0.54%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.


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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 5.38% and 5.38%, 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.


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