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

Key characteristics


EWCEWN
YTD Return14.73%4.09%
1Y Return28.53%18.36%
3Y Return (Ann)3.82%-3.01%
5Y Return (Ann)9.57%8.60%
10Y Return (Ann)5.62%8.69%
Sharpe Ratio2.140.97
Sortino Ratio2.941.42
Omega Ratio1.371.18
Calmar Ratio1.830.78
Martin Ratio15.104.02
Ulcer Index1.91%4.62%
Daily Std Dev13.48%19.08%
Max Drawdown-60.75%-65.22%
Current Drawdown-1.11%-12.74%

Correlation

-0.50.00.51.00.6

The correlation between EWC and EWN is 0.59, 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.

Performance

EWC vs. EWN - Performance Comparison

In the year-to-date period, EWC achieves a 14.73% return, which is significantly higher than EWN's 4.09% return. Over the past 10 years, EWC has underperformed EWN with an annualized return of 5.62%, while EWN has yielded a comparatively higher 8.69% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.19%
-8.29%
EWC
EWN

Compare stocks, funds, or ETFs

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


EWC vs. EWN - Expense Ratio Comparison

EWC has a 0.49% expense ratio, which is lower than EWN's 0.50% expense ratio.


EWN
iShares MSCI Netherlands ETF
Expense ratio chart for EWN: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for EWC: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

EWC vs. EWN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Canada ETF (EWC) and iShares MSCI Netherlands ETF (EWN). 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.


EWC
Sharpe ratio
The chart of Sharpe ratio for EWC, currently valued at 2.14, compared to the broader market-2.000.002.004.002.14
Sortino ratio
The chart of Sortino ratio for EWC, currently valued at 2.94, compared to the broader market0.005.0010.002.94
Omega ratio
The chart of Omega ratio for EWC, currently valued at 1.37, compared to the broader market1.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for EWC, currently valued at 1.83, compared to the broader market0.005.0010.0015.001.83
Martin ratio
The chart of Martin ratio for EWC, currently valued at 15.10, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.10
EWN
Sharpe ratio
The chart of Sharpe ratio for EWN, currently valued at 0.97, compared to the broader market-2.000.002.004.000.97
Sortino ratio
The chart of Sortino ratio for EWN, currently valued at 1.42, compared to the broader market0.005.0010.001.42
Omega ratio
The chart of Omega ratio for EWN, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for EWN, currently valued at 0.78, compared to the broader market0.005.0010.0015.000.78
Martin ratio
The chart of Martin ratio for EWN, currently valued at 4.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.02

EWC vs. EWN - Sharpe Ratio Comparison

The current EWC Sharpe Ratio is 2.14, which is higher than the EWN Sharpe Ratio of 0.97. The chart below compares the historical Sharpe Ratios of EWC and EWN, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.14
0.97
EWC
EWN

Dividends

EWC vs. EWN - Dividend Comparison

EWC's dividend yield for the trailing twelve months is around 2.00%, more than EWN's 1.97% yield.


TTM20232022202120202019201820172016201520142013
EWC
iShares MSCI Canada ETF
2.00%2.27%2.34%1.85%2.09%2.16%2.65%1.97%1.75%2.34%2.15%2.37%
EWN
iShares MSCI Netherlands ETF
1.97%1.79%1.98%1.02%0.78%2.58%2.40%1.68%2.71%1.92%2.30%1.50%

Drawdowns

EWC vs. EWN - Drawdown Comparison

The maximum EWC drawdown since its inception was -60.75%, smaller than the maximum EWN drawdown of -65.22%. Use the drawdown chart below to compare losses from any high point for EWC and EWN. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.11%
-12.74%
EWC
EWN

Volatility

EWC vs. EWN - Volatility Comparison

The current volatility for iShares MSCI Canada ETF (EWC) is 3.33%, while iShares MSCI Netherlands ETF (EWN) has a volatility of 6.63%. This indicates that EWC experiences smaller price fluctuations and is considered to be less risky than EWN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.33%
6.63%
EWC
EWN