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

Key characteristics


EWJIEUR
YTD Return6.75%3.44%
1Y Return19.24%8.85%
3Y Return (Ann)1.91%2.84%
5Y Return (Ann)5.93%6.75%
Sharpe Ratio1.350.69
Daily Std Dev14.80%13.18%
Max Drawdown-58.89%-36.96%
Current Drawdown-4.68%-1.90%

Correlation

-0.50.00.51.00.7

The correlation between EWJ and IEUR is 0.70, 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

EWJ vs. IEUR - Performance Comparison

In the year-to-date period, EWJ achieves a 6.75% return, which is significantly higher than IEUR's 3.44% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


30.00%40.00%50.00%60.00%70.00%80.00%December2024FebruaryMarchAprilMay
70.48%
49.77%
EWJ
IEUR

Compare stocks, funds, or ETFs

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


iShares MSCI Japan ETF

iShares Core MSCI Europe ETF

EWJ vs. IEUR - Expense Ratio Comparison

EWJ has a 0.49% expense ratio, which is higher than IEUR's 0.09% expense ratio.


EWJ
iShares MSCI Japan ETF
Expense ratio chart for EWJ: 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 IEUR: 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

EWJ vs. IEUR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Japan ETF (EWJ) and iShares Core MSCI Europe ETF (IEUR). 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.


EWJ
Sharpe ratio
The chart of Sharpe ratio for EWJ, currently valued at 1.35, compared to the broader market-1.000.001.002.003.004.005.001.35
Sortino ratio
The chart of Sortino ratio for EWJ, currently valued at 1.93, compared to the broader market-2.000.002.004.006.008.001.93
Omega ratio
The chart of Omega ratio for EWJ, currently valued at 1.23, compared to the broader market0.501.001.502.002.501.23
Calmar ratio
The chart of Calmar ratio for EWJ, currently valued at 0.99, compared to the broader market0.002.004.006.008.0010.0012.0014.000.99
Martin ratio
The chart of Martin ratio for EWJ, currently valued at 5.47, compared to the broader market0.0020.0040.0060.0080.005.47
IEUR
Sharpe ratio
The chart of Sharpe ratio for IEUR, currently valued at 0.69, compared to the broader market-1.000.001.002.003.004.005.000.69
Sortino ratio
The chart of Sortino ratio for IEUR, currently valued at 1.09, compared to the broader market-2.000.002.004.006.008.001.09
Omega ratio
The chart of Omega ratio for IEUR, currently valued at 1.12, compared to the broader market0.501.001.502.002.501.12
Calmar ratio
The chart of Calmar ratio for IEUR, currently valued at 0.57, compared to the broader market0.002.004.006.008.0010.0012.0014.000.57
Martin ratio
The chart of Martin ratio for IEUR, currently valued at 2.06, compared to the broader market0.0020.0040.0060.0080.002.06

EWJ vs. IEUR - Sharpe Ratio Comparison

The current EWJ Sharpe Ratio is 1.35, which is higher than the IEUR Sharpe Ratio of 0.69. The chart below compares the 12-month rolling Sharpe Ratio of EWJ and IEUR.


Rolling 12-month Sharpe Ratio0.501.001.502.00December2024FebruaryMarchAprilMay
1.35
0.69
EWJ
IEUR

Dividends

EWJ vs. IEUR - Dividend Comparison

EWJ's dividend yield for the trailing twelve months is around 1.91%, less than IEUR's 3.06% yield.


TTM20232022202120202019201820172016201520142013
EWJ
iShares MSCI Japan ETF
1.91%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%1.32%1.11%
IEUR
iShares Core MSCI Europe ETF
3.06%3.17%3.05%2.88%2.13%3.26%3.76%2.64%3.19%2.79%0.64%0.00%

Drawdowns

EWJ vs. IEUR - Drawdown Comparison

The maximum EWJ drawdown since its inception was -58.89%, which is greater than IEUR's maximum drawdown of -36.96%. Use the drawdown chart below to compare losses from any high point for EWJ and IEUR. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-4.68%
-1.90%
EWJ
IEUR

Volatility

EWJ vs. IEUR - Volatility Comparison

iShares MSCI Japan ETF (EWJ) has a higher volatility of 4.56% compared to iShares Core MSCI Europe ETF (IEUR) at 3.79%. This indicates that EWJ's price experiences larger fluctuations and is considered to be riskier than IEUR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%December2024FebruaryMarchAprilMay
4.56%
3.79%
EWJ
IEUR