EWA vs. ^GSPC
Compare and contrast key facts about iShares MSCI-Australia ETF (EWA) and S&P 500 (^GSPC).
EWA is a passively managed fund by iShares that tracks the performance of the MSCI Australia Index. It was launched on Mar 18, 1996.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EWA or ^GSPC.
Performance
EWA vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, EWA achieves a 7.08% return, which is significantly lower than ^GSPC's 23.62% return. Over the past 10 years, EWA has underperformed ^GSPC with an annualized return of 5.26%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.
EWA
7.08%
-3.73%
3.26%
19.73%
6.48%
5.26%
^GSPC
23.62%
0.54%
11.19%
30.63%
13.61%
11.16%
Key characteristics
| EWA | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.18 | 2.51 |
| Sortino Ratio | 1.73 | 3.37 |
| Omega Ratio | 1.21 | 1.47 |
| Calmar Ratio | 1.59 | 3.63 |
| Martin Ratio | 6.35 | 16.15 |
| Ulcer Index | 3.12% | 1.91% |
| Daily Std Dev | 16.76% | 12.27% |
| Max Drawdown | -66.98% | -56.78% |
| Current Drawdown | -5.68% | -1.75% |
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Correlation
The correlation between EWA 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.
Risk-Adjusted Performance
EWA vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI-Australia ETF (EWA) 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.
Drawdowns
EWA vs. ^GSPC - Drawdown Comparison
The maximum EWA drawdown since its inception was -66.98%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EWA and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
EWA vs. ^GSPC - Volatility Comparison
iShares MSCI-Australia ETF (EWA) has a higher volatility of 4.96% compared to S&P 500 (^GSPC) at 4.07%. This indicates that EWA'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.