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EWC vs. FLCA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EWC vs. FLCA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Canada ETF (EWC) and Franklin FTSE Canada ETF (FLCA). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.58%
15.10%
EWC
FLCA

Returns By Period

The year-to-date returns for both investments are quite close, with EWC having a 18.17% return and FLCA slightly higher at 18.77%.


EWC

YTD

18.17%

1M

2.68%

6M

14.57%

1Y

27.62%

5Y (annualized)

10.26%

10Y (annualized)

5.69%

FLCA

YTD

18.77%

1M

2.94%

6M

15.10%

1Y

28.84%

5Y (annualized)

11.12%

10Y (annualized)

N/A

Key characteristics


EWCFLCA
Sharpe Ratio2.062.19
Sortino Ratio2.822.98
Omega Ratio1.361.39
Calmar Ratio2.202.40
Martin Ratio14.4615.28
Ulcer Index1.91%1.90%
Daily Std Dev13.43%13.25%
Max Drawdown-60.75%-41.51%
Current Drawdown0.00%0.00%

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EWC vs. FLCA - Expense Ratio Comparison

EWC has a 0.49% expense ratio, which is higher than FLCA's 0.09% expense ratio.


EWC
iShares MSCI Canada ETF
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%
Expense ratio chart for FLCA: 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%

Correlation

-0.50.00.51.00.9

The correlation between EWC and FLCA 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.

Risk-Adjusted Performance

EWC vs. FLCA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Canada ETF (EWC) and Franklin FTSE Canada ETF (FLCA). 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 EWC, currently valued at 2.06, compared to the broader market0.002.004.002.062.19
The chart of Sortino ratio for EWC, currently valued at 2.82, compared to the broader market-2.000.002.004.006.008.0010.0012.002.822.98
The chart of Omega ratio for EWC, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.39
The chart of Calmar ratio for EWC, currently valued at 2.20, compared to the broader market0.005.0010.0015.002.202.40
The chart of Martin ratio for EWC, currently valued at 14.46, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.4615.28
EWC
FLCA

The current EWC Sharpe Ratio is 2.06, which is comparable to the FLCA Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of EWC and FLCA, 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
2.06
2.19
EWC
FLCA

Dividends

EWC vs. FLCA - Dividend Comparison

EWC's dividend yield for the trailing twelve months is around 1.94%, less than FLCA's 2.27% yield.


TTM20232022202120202019201820172016201520142013
EWC
iShares MSCI Canada ETF
1.94%2.27%2.34%1.85%2.09%2.16%2.65%1.97%1.75%2.34%2.15%2.37%
FLCA
Franklin FTSE Canada ETF
2.27%2.49%2.20%2.03%2.50%2.29%3.02%0.09%0.00%0.00%0.00%0.00%

Drawdowns

EWC vs. FLCA - Drawdown Comparison

The maximum EWC drawdown since its inception was -60.75%, which is greater than FLCA's maximum drawdown of -41.51%. Use the drawdown chart below to compare losses from any high point for EWC and FLCA. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
EWC
FLCA

Volatility

EWC vs. FLCA - Volatility Comparison

iShares MSCI Canada ETF (EWC) and Franklin FTSE Canada ETF (FLCA) have volatilities of 3.75% and 3.69%, 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%JuneJulyAugustSeptemberOctoberNovember
3.75%
3.69%
EWC
FLCA