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

Performance

EWI vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Italy ETF (EWI) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-3.76%
13.62%
EWI
VOO

Returns By Period

In the year-to-date period, EWI achieves a 8.55% return, which is significantly lower than VOO's 26.16% return. Over the past 10 years, EWI has underperformed VOO with an annualized return of 5.18%, while VOO has yielded a comparatively higher 13.18% annualized return.


EWI

YTD

8.55%

1M

-6.26%

6M

-3.76%

1Y

15.13%

5Y (annualized)

7.65%

10Y (annualized)

5.18%

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


EWIVOO
Sharpe Ratio0.982.70
Sortino Ratio1.373.60
Omega Ratio1.171.50
Calmar Ratio0.643.90
Martin Ratio4.6117.65
Ulcer Index3.22%1.86%
Daily Std Dev15.18%12.19%
Max Drawdown-70.38%-33.99%
Current Drawdown-11.38%-0.86%

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EWI vs. VOO - Expense Ratio Comparison

EWI has a 0.49% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.7

The correlation between EWI and VOO is 0.68, 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. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Italy ETF (EWI) and Vanguard S&P 500 ETF (VOO). 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 0.98, compared to the broader market0.002.004.000.982.70
The chart of Sortino ratio for EWI, currently valued at 1.37, compared to the broader market-2.000.002.004.006.008.0010.0012.001.373.60
The chart of Omega ratio for EWI, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.50
The chart of Calmar ratio for EWI, currently valued at 1.65, compared to the broader market0.005.0010.0015.001.653.90
The chart of Martin ratio for EWI, currently valued at 4.61, compared to the broader market0.0020.0040.0060.0080.00100.004.6117.65
EWI
VOO

The current EWI Sharpe Ratio is 0.98, which is lower than the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of EWI and VOO, 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
0.98
2.70
EWI
VOO

Dividends

EWI vs. VOO - Dividend Comparison

EWI's dividend yield for the trailing twelve months is around 3.68%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
EWI
iShares MSCI Italy ETF
3.68%3.40%4.57%2.63%1.65%3.80%4.70%2.19%3.64%2.31%2.51%2.19%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

EWI vs. VOO - Drawdown Comparison

The maximum EWI drawdown since its inception was -70.38%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for EWI and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.82%
-0.86%
EWI
VOO

Volatility

EWI vs. VOO - Volatility Comparison

iShares MSCI Italy ETF (EWI) has a higher volatility of 4.52% compared to Vanguard S&P 500 ETF (VOO) at 3.99%. This indicates that EWI's price experiences larger fluctuations and is considered to be riskier than VOO 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%JuneJulyAugustSeptemberOctoberNovember
4.52%
3.99%
EWI
VOO