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EWI vs. QQQE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EWI vs. QQQE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Italy ETF (EWI) and Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-3.72%
3.46%
EWI
QQQE

Returns By Period

In the year-to-date period, EWI achieves a 10.67% return, which is significantly higher than QQQE's 8.78% return. Over the past 10 years, EWI has underperformed QQQE with an annualized return of 5.50%, while QQQE has yielded a comparatively higher 12.55% annualized return.


EWI

YTD

10.67%

1M

-6.46%

6M

-3.72%

1Y

16.80%

5Y (annualized)

8.03%

10Y (annualized)

5.50%

QQQE

YTD

8.78%

1M

-0.09%

6M

3.46%

1Y

19.12%

5Y (annualized)

13.49%

10Y (annualized)

12.55%

Key characteristics


EWIQQQE
Sharpe Ratio1.201.34
Sortino Ratio1.641.87
Omega Ratio1.201.23
Calmar Ratio0.801.87
Martin Ratio5.926.53
Ulcer Index3.10%3.00%
Daily Std Dev15.25%14.62%
Max Drawdown-70.38%-32.14%
Current Drawdown-9.66%-2.82%

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EWI vs. QQQE - Expense Ratio Comparison

EWI has a 0.49% expense ratio, which is higher than QQQE's 0.35% expense ratio.


EWI
iShares MSCI Italy ETF
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%
Expense ratio chart for QQQE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Correlation

-0.50.00.51.00.6

The correlation between EWI and QQQE 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.

Risk-Adjusted Performance

EWI vs. QQQE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Italy ETF (EWI) and Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE). 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 1.20, compared to the broader market0.002.004.001.201.34
The chart of Sortino ratio for EWI, currently valued at 1.64, compared to the broader market-2.000.002.004.006.008.0010.001.641.87
The chart of Omega ratio for EWI, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.23
The chart of Calmar ratio for EWI, currently valued at 2.04, compared to the broader market0.005.0010.0015.002.041.87
The chart of Martin ratio for EWI, currently valued at 5.92, compared to the broader market0.0020.0040.0060.0080.00100.005.926.53
EWI
QQQE

The current EWI Sharpe Ratio is 1.20, which is comparable to the QQQE Sharpe Ratio of 1.34. The chart below compares the historical Sharpe Ratios of EWI and QQQE, 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
1.20
1.34
EWI
QQQE

Dividends

EWI vs. QQQE - Dividend Comparison

EWI's dividend yield for the trailing twelve months is around 3.61%, more than QQQE's 0.85% yield.


TTM20232022202120202019201820172016201520142013
EWI
iShares MSCI Italy ETF
3.61%3.40%4.57%2.63%1.65%3.80%4.70%2.19%3.64%2.31%2.51%2.19%
QQQE
Direxion NASDAQ-100 Equal Weighted Index Shares
0.85%0.79%0.97%3.83%0.54%0.74%0.80%0.65%1.17%0.75%1.36%0.38%

Drawdowns

EWI vs. QQQE - Drawdown Comparison

The maximum EWI drawdown since its inception was -70.38%, which is greater than QQQE's maximum drawdown of -32.14%. Use the drawdown chart below to compare losses from any high point for EWI and QQQE. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.05%
-2.82%
EWI
QQQE

Volatility

EWI vs. QQQE - Volatility Comparison

The current volatility for iShares MSCI Italy ETF (EWI) is 4.61%, while Direxion NASDAQ-100 Equal Weighted Index Shares (QQQE) has a volatility of 4.89%. This indicates that EWI experiences smaller price fluctuations and is considered to be less risky than QQQE 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%JuneJulyAugustSeptemberOctoberNovember
4.61%
4.89%
EWI
QQQE