EWJ vs. NSRGY
EWJ (iShares MSCI Japan ETF) is Japan Equities fund tracking the MSCI Japan Index, while NSRGY (Nestlé S.A.) is a stock. Over the past 10 years, EWJ returned 9.55%/yr vs 6.67%/yr for NSRGY. At a 0.33 correlation, their price movements are largely independent.
Performance
EWJ vs. NSRGY - Performance Comparison
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Returns By Period
In the year-to-date period, EWJ achieves a 14.83% return, which is significantly higher than NSRGY's 5.66% return. Over the past 10 years, EWJ has outperformed NSRGY with an annualized return of 9.55%, while NSRGY has yielded a comparatively lower 6.67% annualized return.
EWJ
- 1D
- 0.57%
- 1M
- 0.71%
- YTD
- 14.83%
- 6M
- 14.50%
- 1Y
- 31.74%
- 3Y*
- 16.57%
- 5Y*
- 8.56%
- 10Y*
- 9.55%
NSRGY
- 1D
- -0.20%
- 1M
- 1.56%
- YTD
- 5.66%
- 6M
- 6.71%
- 1Y
- 1.15%
- 3Y*
- -1.88%
- 5Y*
- -1.61%
- 10Y*
- 6.67%
EWJ vs. NSRGY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EWJ iShares MSCI Japan ETF | 14.83% | 25.84% | 7.03% | 20.29% | -17.72% | 1.16% | 15.40% | 19.34% | -14.10% | 24.27% |
NSRGY Nestlé S.A. | 5.66% | 24.80% | -27.05% | 2.88% | -15.94% | 22.32% | 11.63% | 37.26% | -2.74% | 27.45% |
Correlation
The correlation between EWJ and NSRGY is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.23 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.29 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.31 |
Correlation (All Time) Calculated using the full available price history since Jul 13, 2007 | 0.33 |
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Return for Risk
EWJ vs. NSRGY — Risk / Return Rank
EWJ
NSRGY
EWJ vs. NSRGY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Japan ETF (EWJ) and Nestlé S.A. (NSRGY). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EWJ | NSRGY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.56 | ||
| Sortino ratioReturn per unit of downside risk | +2.09 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.01 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 2.27 | -0.05 | +2.32 |
| Martin ratioReturn relative to average drawdown | 7.62 | -0.10 | +7.72 |
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Drawdowns
EWJ vs. NSRGY - Drawdown Comparison
The maximum EWJ drawdown since its inception was -60.93%, smaller than the maximum NSRGY drawdown of -75.68%. Use the drawdown chart below to compare losses from any high point for EWJ and NSRGY.
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Drawdown Indicators
| EWJ | NSRGY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.93% | -75.68% | +14.75% |
Max Drawdown (1Y)Largest decline over 1 year | -13.59% | -15.71% | +2.12% |
Max Drawdown (3Y)Largest decline over 3 years | -14.68% | -32.79% | +18.11% |
Max Drawdown (5Y)Largest decline over 5 years | -33.14% | -38.24% | +5.10% |
Max Drawdown (10Y)Largest decline over 10 years | -33.14% | -38.24% | +5.10% |
Current DrawdownCurrent decline from peak | -1.51% | -17.25% | +15.74% |
Average DrawdownAverage peak-to-trough decline | -21.72% | -24.16% | +2.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.04% | 9.31% | -5.27% |
Volatility
EWJ vs. NSRGY - Volatility Comparison
iShares MSCI Japan ETF (EWJ) has a higher volatility of 6.31% compared to Nestlé S.A. (NSRGY) at 5.46%. This indicates that EWJ's price experiences larger fluctuations and is considered to be riskier than NSRGY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EWJ | NSRGY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.31% | 5.46% | +0.85% |
Volatility (6M)Calculated over the trailing 6-month period | 15.96% | 15.05% | +0.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.23% | 22.89% | -2.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.38% | 19.90% | -1.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.33% | 18.44% | -1.11% |
Dividends
EWJ vs. NSRGY - Dividend Comparison
EWJ's dividend yield for the trailing twelve months is around 3.94%, less than NSRGY's 4.00% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EWJ iShares MSCI Japan ETF | 3.94% | 4.52% | 2.34% | 2.03% | 1.23% | 2.08% | 1.04% | 2.03% | 1.71% | 1.25% | 1.95% | 1.27% |
NSRGY Nestlé S.A. | 4.00% | 3.44% | 4.01% | 2.86% | 2.57% | 2.18% | 2.34% | 2.28% | 3.12% | 5.64% | 6.54% | 3.13% |
Frequently Asked Questions
EWJ and NSRGY have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EWJ has higher volatility (6.31%) compared to NSRGY (5.46%). In terms of maximum drawdown, EWJ dropped -60.93% vs NSRGY's -75.68%.
EWJ currently has the higher Sharpe Ratio (1.52 vs -0.04), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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