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EWJ vs. ^N225
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EWJ and ^N225 is 0.05, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.0
Correlation: 0.0

Performance

EWJ vs. ^N225 - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Japan ETF (EWJ) and Nikkei 225 (^N225). The values are adjusted to include any dividend payments, if applicable.

10.00%20.00%30.00%40.00%50.00%60.00%70.00%80.00%NovemberDecember2025FebruaryMarchApril
73.80%
30.67%
EWJ
^N225

Key characteristics

Sharpe Ratio

EWJ:

0.33

^N225:

-0.25

Sortino Ratio

EWJ:

0.60

^N225:

-0.15

Omega Ratio

EWJ:

1.08

^N225:

0.98

Calmar Ratio

EWJ:

0.48

^N225:

-0.28

Martin Ratio

EWJ:

1.44

^N225:

-0.78

Ulcer Index

EWJ:

4.89%

^N225:

9.59%

Daily Std Dev

EWJ:

21.46%

^N225:

29.95%

Max Drawdown

EWJ:

-58.89%

^N225:

-81.87%

Current Drawdown

EWJ:

-2.21%

^N225:

-15.70%

Returns By Period

In the year-to-date period, EWJ achieves a 4.74% return, which is significantly higher than ^N225's -10.78% return. Over the past 10 years, EWJ has underperformed ^N225 with an annualized return of 4.60%, while ^N225 has yielded a comparatively higher 6.04% annualized return.


EWJ

YTD

4.74%

1M

-1.95%

6M

6.19%

1Y

6.35%

5Y*

8.59%

10Y*

4.60%

^N225

YTD

-10.78%

1M

-5.79%

6M

-6.68%

1Y

-7.45%

5Y*

13.39%

10Y*

6.04%

*Annualized

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Risk-Adjusted Performance

EWJ vs. ^N225 — 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 5151
Overall Rank
The Sharpe Ratio Rank of EWJ is 4747
Sharpe Ratio Rank
The Sortino Ratio Rank of EWJ is 4848
Sortino Ratio Rank
The Omega Ratio Rank of EWJ is 4747
Omega Ratio Rank
The Calmar Ratio Rank of EWJ is 6363
Calmar Ratio Rank
The Martin Ratio Rank of EWJ is 5252
Martin Ratio Rank

^N225
The Risk-Adjusted Performance Rank of ^N225 is 1818
Overall Rank
The Sharpe Ratio Rank of ^N225 is 1919
Sharpe Ratio Rank
The Sortino Ratio Rank of ^N225 is 2121
Sortino Ratio Rank
The Omega Ratio Rank of ^N225 is 2020
Omega Ratio Rank
The Calmar Ratio Rank of ^N225 is 1313
Calmar Ratio Rank
The Martin Ratio Rank of ^N225 is 1515
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. ^N225 - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Japan ETF (EWJ) and Nikkei 225 (^N225). 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 0.21, compared to the broader market-1.000.001.002.003.004.00
EWJ: 0.21
^N225: -0.04
The chart of Sortino ratio for EWJ, currently valued at 0.43, compared to the broader market-2.000.002.004.006.008.00
EWJ: 0.43
^N225: 0.17
The chart of Omega ratio for EWJ, currently valued at 1.06, compared to the broader market0.501.001.502.00
EWJ: 1.06
^N225: 1.02
The chart of Calmar ratio for EWJ, currently valued at 0.30, compared to the broader market0.002.004.006.008.0010.0012.00
EWJ: 0.30
^N225: -0.05
The chart of Martin ratio for EWJ, currently valued at 0.88, compared to the broader market0.0020.0040.0060.00
EWJ: 0.88
^N225: -0.16

The current EWJ Sharpe Ratio is 0.33, which is higher than the ^N225 Sharpe Ratio of -0.25. The chart below compares the historical Sharpe Ratios of EWJ and ^N225, 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-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
0.21
-0.04
EWJ
^N225

Drawdowns

EWJ vs. ^N225 - Drawdown Comparison

The maximum EWJ drawdown since its inception was -58.89%, smaller than the maximum ^N225 drawdown of -81.87%. Use the drawdown chart below to compare losses from any high point for EWJ and ^N225. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-2.21%
-13.42%
EWJ
^N225

Volatility

EWJ vs. ^N225 - Volatility Comparison

The current volatility for iShares MSCI Japan ETF (EWJ) is 12.33%, while Nikkei 225 (^N225) has a volatility of 16.67%. This indicates that EWJ experiences smaller price fluctuations and is considered to be less risky than ^N225 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%NovemberDecember2025FebruaryMarchApril
12.33%
16.67%
EWJ
^N225