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

Performance

EWI vs. EWP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Italy ETF (EWI) and iShares MSCI Spain ETF (EWP). The values are adjusted to include any dividend payments, if applicable.

300.00%350.00%400.00%450.00%500.00%550.00%600.00%650.00%JuneJulyAugustSeptemberOctoberNovember
339.52%
591.23%
EWI
EWP

Returns By Period

In the year-to-date period, EWI achieves a 10.37% return, which is significantly higher than EWP's 9.04% return. Over the past 10 years, EWI has outperformed EWP with an annualized return of 5.75%, while EWP has yielded a comparatively lower 2.29% annualized return.


EWI

YTD

10.37%

1M

-6.71%

6M

-4.81%

1Y

16.48%

5Y (annualized)

7.90%

10Y (annualized)

5.75%

EWP

YTD

9.04%

1M

-5.09%

6M

-0.81%

1Y

13.98%

5Y (annualized)

6.36%

10Y (annualized)

2.29%

Key characteristics


EWIEWP
Sharpe Ratio1.151.01
Sortino Ratio1.591.40
Omega Ratio1.201.18
Calmar Ratio0.741.07
Martin Ratio5.744.87
Ulcer Index3.06%3.41%
Daily Std Dev15.27%16.37%
Max Drawdown-70.38%-61.19%
Current Drawdown-9.90%-7.75%

Compare stocks, funds, or ETFs

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


EWI vs. EWP - Expense Ratio Comparison

EWI has a 0.49% expense ratio, which is lower than EWP's 0.50% expense ratio.


EWP
iShares MSCI Spain ETF
Expense ratio chart for EWP: 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 EWI: 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%

Correlation

-0.50.00.51.00.8

The correlation between EWI and EWP is 0.78, 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

EWI vs. EWP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Italy ETF (EWI) and iShares MSCI Spain ETF (EWP). 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 EWI, currently valued at 1.15, compared to the broader market0.002.004.006.001.151.01
The chart of Sortino ratio for EWI, currently valued at 1.59, compared to the broader market-2.000.002.004.006.008.0010.0012.001.591.40
The chart of Omega ratio for EWI, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.18
The chart of Calmar ratio for EWI, currently valued at 0.74, compared to the broader market0.005.0010.0015.000.741.07
The chart of Martin ratio for EWI, currently valued at 5.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.744.87
EWI
EWP

The current EWI Sharpe Ratio is 1.15, which is comparable to the EWP Sharpe Ratio of 1.01. The chart below compares the historical Sharpe Ratios of EWI and EWP, 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 Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.15
1.01
EWI
EWP

Dividends

EWI vs. EWP - Dividend Comparison

EWI's dividend yield for the trailing twelve months is around 3.62%, more than EWP's 3.07% yield.


TTM20232022202120202019201820172016201520142013
EWI
iShares MSCI Italy ETF
3.62%3.40%4.57%2.63%1.65%3.80%4.70%2.19%3.64%2.31%2.51%2.19%
EWP
iShares MSCI Spain ETF
3.07%2.70%3.07%3.29%2.56%3.72%3.69%2.72%4.65%3.85%4.72%2.84%

Drawdowns

EWI vs. EWP - Drawdown Comparison

The maximum EWI drawdown since its inception was -70.38%, which is greater than EWP's maximum drawdown of -61.19%. Use the drawdown chart below to compare losses from any high point for EWI and EWP. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.90%
-7.75%
EWI
EWP

Volatility

EWI vs. EWP - Volatility Comparison

The current volatility for iShares MSCI Italy ETF (EWI) is 4.71%, while iShares MSCI Spain ETF (EWP) has a volatility of 6.71%. This indicates that EWI experiences smaller price fluctuations and is considered to be less risky than EWP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.71%
6.71%
EWI
EWP