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

Correlation

The correlation between EWH and EWS is 0.61, 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.


-0.50.00.51.00.6

Performance

EWH vs. EWS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Hong Kong ETF (EWH) and iShares MSCI Singapore ETF (EWS). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%JulyAugustSeptemberOctoberNovemberDecember
202.63%
133.37%
EWH
EWS

Key characteristics

Sharpe Ratio

EWH:

0.06

EWS:

1.88

Sortino Ratio

EWH:

0.26

EWS:

2.60

Omega Ratio

EWH:

1.03

EWS:

1.34

Calmar Ratio

EWH:

0.03

EWS:

1.42

Martin Ratio

EWH:

0.14

EWS:

10.27

Ulcer Index

EWH:

10.11%

EWS:

2.68%

Daily Std Dev

EWH:

24.24%

EWS:

14.65%

Max Drawdown

EWH:

-66.43%

EWS:

-75.20%

Current Drawdown

EWH:

-32.89%

EWS:

-3.92%

Returns By Period

In the year-to-date period, EWH achieves a -1.20% return, which is significantly lower than EWS's 21.60% return. Over the past 10 years, EWH has underperformed EWS with an annualized return of 1.05%, while EWS has yielded a comparatively higher 2.40% annualized return.


EWH

YTD

-1.20%

1M

-2.27%

6M

6.87%

1Y

3.64%

5Y*

-4.25%

10Y*

1.05%

EWS

YTD

21.60%

1M

-2.24%

6M

17.27%

1Y

29.71%

5Y*

2.50%

10Y*

2.40%

Compare stocks, funds, or ETFs

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


EWH vs. EWS - Expense Ratio Comparison

EWH has a 0.49% expense ratio, which is lower than EWS's 0.50% expense ratio.


EWS
iShares MSCI Singapore ETF
Expense ratio chart for EWS: 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 EWH: 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

EWH vs. EWS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Hong Kong ETF (EWH) and iShares MSCI Singapore ETF (EWS). 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 EWH, currently valued at 0.06, compared to the broader market0.002.004.000.061.88
The chart of Sortino ratio for EWH, currently valued at 0.26, compared to the broader market-2.000.002.004.006.008.0010.000.262.60
The chart of Omega ratio for EWH, currently valued at 1.03, compared to the broader market0.501.001.502.002.503.001.031.34
The chart of Calmar ratio for EWH, currently valued at 0.03, compared to the broader market0.005.0010.0015.000.031.42
The chart of Martin ratio for EWH, currently valued at 0.14, compared to the broader market0.0020.0040.0060.0080.00100.000.1410.27
EWH
EWS

The current EWH Sharpe Ratio is 0.06, which is lower than the EWS Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of EWH and EWS, 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 Ratio-1.000.001.002.00JulyAugustSeptemberOctoberNovemberDecember
0.06
1.88
EWH
EWS

Dividends

EWH vs. EWS - Dividend Comparison

EWH's dividend yield for the trailing twelve months is around 4.23%, less than EWS's 4.30% yield.


TTM20232022202120202019201820172016201520142013
EWH
iShares MSCI Hong Kong ETF
4.23%4.28%2.91%2.78%2.56%2.70%2.94%4.35%3.07%2.62%3.52%2.96%
EWS
iShares MSCI Singapore ETF
4.30%6.49%2.56%6.00%2.68%4.70%4.21%3.46%3.96%4.20%3.35%3.77%

Drawdowns

EWH vs. EWS - Drawdown Comparison

The maximum EWH drawdown since its inception was -66.43%, smaller than the maximum EWS drawdown of -75.20%. Use the drawdown chart below to compare losses from any high point for EWH and EWS. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-32.89%
-3.92%
EWH
EWS

Volatility

EWH vs. EWS - Volatility Comparison

iShares MSCI Hong Kong ETF (EWH) has a higher volatility of 7.57% compared to iShares MSCI Singapore ETF (EWS) at 3.88%. This indicates that EWH's price experiences larger fluctuations and is considered to be riskier than EWS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
7.57%
3.88%
EWH
EWS
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab