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

Key characteristics


EWISPY
YTD Return15.35%21.39%
1Y Return26.43%33.27%
3Y Return (Ann)8.14%8.59%
5Y Return (Ann)8.79%15.03%
10Y Return (Ann)6.26%12.90%
Sharpe Ratio2.052.87
Sortino Ratio2.773.80
Omega Ratio1.341.54
Calmar Ratio1.184.10
Martin Ratio11.1618.62
Ulcer Index2.81%1.85%
Daily Std Dev15.32%12.01%
Max Drawdown-70.38%-55.19%
Current Drawdown-5.84%-2.23%

Correlation

-0.50.00.51.00.6

The correlation between EWI and SPY is 0.60, 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

EWI vs. SPY - Performance Comparison

In the year-to-date period, EWI achieves a 15.35% return, which is significantly lower than SPY's 21.39% return. Over the past 10 years, EWI has underperformed SPY with an annualized return of 6.26%, while SPY has yielded a comparatively higher 12.90% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%JuneJulyAugustSeptemberOctoberNovember
359.36%
1,343.52%
EWI
SPY

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EWI vs. SPY - Expense Ratio Comparison

EWI has a 0.49% expense ratio, which is higher than SPY's 0.09% 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 SPY: 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%

Risk-Adjusted Performance

EWI vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Italy ETF (EWI) and SPDR S&P 500 ETF (SPY). 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.


EWI
Sharpe ratio
The chart of Sharpe ratio for EWI, currently valued at 1.86, compared to the broader market-2.000.002.004.006.001.86
Sortino ratio
The chart of Sortino ratio for EWI, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for EWI, currently valued at 1.31, compared to the broader market1.001.502.002.503.003.501.31
Calmar ratio
The chart of Calmar ratio for EWI, currently valued at 1.07, compared to the broader market0.005.0010.0015.0020.001.07
Martin ratio
The chart of Martin ratio for EWI, currently valued at 10.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.02
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.87, compared to the broader market-2.000.002.004.006.002.87
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.80, compared to the broader market0.005.0010.003.80
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.54, compared to the broader market1.001.502.002.503.003.501.54
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.10, compared to the broader market0.005.0010.0015.0020.004.10
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.62

EWI vs. SPY - Sharpe Ratio Comparison

The current EWI Sharpe Ratio is 2.05, which is comparable to the SPY Sharpe Ratio of 2.87. The chart below compares the historical Sharpe Ratios of EWI and SPY, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.86
2.87
EWI
SPY

Dividends

EWI vs. SPY - Dividend Comparison

EWI's dividend yield for the trailing twelve months is around 3.47%, more than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
EWI
iShares MSCI Italy ETF
3.47%3.40%4.57%2.63%1.66%3.80%4.71%2.19%3.64%2.31%2.51%2.19%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

EWI vs. SPY - Drawdown Comparison

The maximum EWI drawdown since its inception was -70.38%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EWI and SPY. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.84%
-2.23%
EWI
SPY

Volatility

EWI vs. SPY - Volatility Comparison

iShares MSCI Italy ETF (EWI) and SPDR S&P 500 ETF (SPY) have volatilities of 3.27% and 3.14%, 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
3.27%
3.14%
EWI
SPY