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EWJ vs. EWY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EWJ and EWY is 0.66, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

EWJ vs. EWY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Japan ETF (EWJ) and iShares MSCI South Korea ETF (EWY). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%250.00%300.00%NovemberDecember2025FebruaryMarchApril
70.24%
284.89%
EWJ
EWY

Key characteristics

Sharpe Ratio

EWJ:

0.32

EWY:

-0.28

Sortino Ratio

EWJ:

0.59

EWY:

-0.23

Omega Ratio

EWJ:

1.08

EWY:

0.97

Calmar Ratio

EWJ:

0.47

EWY:

-0.16

Martin Ratio

EWJ:

1.41

EWY:

-0.53

Ulcer Index

EWJ:

4.89%

EWY:

13.50%

Daily Std Dev

EWJ:

21.44%

EWY:

25.83%

Max Drawdown

EWJ:

-58.89%

EWY:

-74.14%

Current Drawdown

EWJ:

-3.32%

EWY:

-37.25%

Returns By Period

In the year-to-date period, EWJ achieves a 3.55% return, which is significantly lower than EWY's 9.26% return. Over the past 10 years, EWJ has outperformed EWY with an annualized return of 4.46%, while EWY has yielded a comparatively lower 0.72% annualized return.


EWJ

YTD

3.55%

1M

-2.37%

6M

5.84%

1Y

5.60%

5Y*

8.35%

10Y*

4.46%

EWY

YTD

9.26%

1M

-2.98%

6M

-7.01%

1Y

-9.62%

5Y*

4.10%

10Y*

0.72%

*Annualized

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EWJ vs. EWY - Expense Ratio Comparison

EWJ has a 0.49% expense ratio, which is lower than EWY's 0.59% expense ratio.


Expense ratio chart for EWY: current value is 0.59%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EWY: 0.59%
Expense ratio chart for EWJ: current value is 0.49%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EWJ: 0.49%

Risk-Adjusted Performance

EWJ vs. EWY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EWJ
The Risk-Adjusted Performance Rank of EWJ is 5757
Overall Rank
The Sharpe Ratio Rank of EWJ is 5454
Sharpe Ratio Rank
The Sortino Ratio Rank of EWJ is 5454
Sortino Ratio Rank
The Omega Ratio Rank of EWJ is 5252
Omega Ratio Rank
The Calmar Ratio Rank of EWJ is 6767
Calmar Ratio Rank
The Martin Ratio Rank of EWJ is 5757
Martin Ratio Rank

EWY
The Risk-Adjusted Performance Rank of EWY is 1515
Overall Rank
The Sharpe Ratio Rank of EWY is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of EWY is 1313
Sortino Ratio Rank
The Omega Ratio Rank of EWY is 1414
Omega Ratio Rank
The Calmar Ratio Rank of EWY is 1616
Calmar Ratio Rank
The Martin Ratio Rank of EWY is 1818
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EWJ vs. EWY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Japan ETF (EWJ) and iShares MSCI South Korea ETF (EWY). 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.


The chart of Sharpe ratio for EWJ, currently valued at 0.32, compared to the broader market-1.000.001.002.003.004.00
EWJ: 0.32
EWY: -0.28
The chart of Sortino ratio for EWJ, currently valued at 0.59, compared to the broader market-2.000.002.004.006.008.00
EWJ: 0.59
EWY: -0.23
The chart of Omega ratio for EWJ, currently valued at 1.08, compared to the broader market0.501.001.502.00
EWJ: 1.08
EWY: 0.97
The chart of Calmar ratio for EWJ, currently valued at 0.47, compared to the broader market0.002.004.006.008.0010.0012.00
EWJ: 0.47
EWY: -0.16
The chart of Martin ratio for EWJ, currently valued at 1.41, compared to the broader market0.0020.0040.0060.00
EWJ: 1.41
EWY: -0.53

The current EWJ Sharpe Ratio is 0.32, which is higher than the EWY Sharpe Ratio of -0.28. The chart below compares the historical Sharpe Ratios of EWJ and EWY, 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-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
0.32
-0.28
EWJ
EWY

Dividends

EWJ vs. EWY - Dividend Comparison

EWJ's dividend yield for the trailing twelve months is around 2.26%, less than EWY's 2.33% yield.


TTM20242023202220212020201920182017201620152014
EWJ
iShares MSCI Japan ETF
2.26%2.34%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%1.32%
EWY
iShares MSCI South Korea ETF
2.33%2.55%2.52%1.23%2.16%0.73%2.10%1.34%2.90%1.21%2.42%1.20%

Drawdowns

EWJ vs. EWY - Drawdown Comparison

The maximum EWJ drawdown since its inception was -58.89%, smaller than the maximum EWY drawdown of -74.14%. Use the drawdown chart below to compare losses from any high point for EWJ and EWY. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-3.32%
-37.25%
EWJ
EWY

Volatility

EWJ vs. EWY - Volatility Comparison

iShares MSCI Japan ETF (EWJ) and iShares MSCI South Korea ETF (EWY) have volatilities of 12.36% and 12.77%, 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.


4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
12.36%
12.77%
EWJ
EWY