PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EWK vs. EPI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWKEPI
YTD Return7.18%14.20%
1Y Return14.86%27.78%
3Y Return (Ann)-1.18%9.44%
5Y Return (Ann)3.14%15.65%
10Y Return (Ann)4.78%8.84%
Sharpe Ratio1.211.76
Sortino Ratio1.682.15
Omega Ratio1.221.35
Calmar Ratio0.863.66
Martin Ratio6.1511.69
Ulcer Index2.77%2.46%
Daily Std Dev13.99%16.39%
Max Drawdown-74.10%-66.21%
Current Drawdown-6.50%-7.87%

Correlation

-0.50.00.51.00.5

The correlation between EWK and EPI is 0.55, 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

EWK vs. EPI - Performance Comparison

In the year-to-date period, EWK achieves a 7.18% return, which is significantly lower than EPI's 14.20% return. Over the past 10 years, EWK has underperformed EPI with an annualized return of 4.78%, while EPI has yielded a comparatively higher 8.84% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.15%
3.99%
EWK
EPI

Compare stocks, funds, or ETFs

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


EWK vs. EPI - Expense Ratio Comparison

EWK has a 0.49% expense ratio, which is lower than EPI's 0.84% expense ratio.


EPI
WisdomTree India Earnings Fund
Expense ratio chart for EPI: current value at 0.84% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.84%
Expense ratio chart for EWK: 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%

Risk-Adjusted Performance

EWK vs. EPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Belgium ETF (EWK) and WisdomTree India Earnings Fund (EPI). 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.


EWK
Sharpe ratio
The chart of Sharpe ratio for EWK, currently valued at 1.21, compared to the broader market0.002.004.006.001.21
Sortino ratio
The chart of Sortino ratio for EWK, currently valued at 1.68, compared to the broader market0.005.0010.001.68
Omega ratio
The chart of Omega ratio for EWK, currently valued at 1.22, compared to the broader market1.001.502.002.503.003.501.22
Calmar ratio
The chart of Calmar ratio for EWK, currently valued at 0.86, compared to the broader market0.005.0010.0015.0020.000.86
Martin ratio
The chart of Martin ratio for EWK, currently valued at 6.15, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.15
EPI
Sharpe ratio
The chart of Sharpe ratio for EPI, currently valued at 1.76, compared to the broader market0.002.004.006.001.76
Sortino ratio
The chart of Sortino ratio for EPI, currently valued at 2.15, compared to the broader market0.005.0010.002.15
Omega ratio
The chart of Omega ratio for EPI, currently valued at 1.35, compared to the broader market1.001.502.002.503.003.501.35
Calmar ratio
The chart of Calmar ratio for EPI, currently valued at 3.66, compared to the broader market0.005.0010.0015.0020.003.66
Martin ratio
The chart of Martin ratio for EPI, currently valued at 11.69, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.69

EWK vs. EPI - Sharpe Ratio Comparison

The current EWK Sharpe Ratio is 1.21, which is lower than the EPI Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of EWK and EPI, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.21
1.76
EWK
EPI

Dividends

EWK vs. EPI - Dividend Comparison

EWK's dividend yield for the trailing twelve months is around 2.16%, while EPI has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
EWK
iShares MSCI Belgium ETF
2.16%2.09%2.58%3.64%1.66%2.77%2.78%2.91%1.75%2.06%1.85%4.62%
EPI
WisdomTree India Earnings Fund
0.00%0.15%6.01%1.18%0.78%1.17%1.18%0.85%1.05%1.20%1.02%0.75%

Drawdowns

EWK vs. EPI - Drawdown Comparison

The maximum EWK drawdown since its inception was -74.10%, which is greater than EPI's maximum drawdown of -66.21%. Use the drawdown chart below to compare losses from any high point for EWK and EPI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.50%
-7.87%
EWK
EPI

Volatility

EWK vs. EPI - Volatility Comparison

The current volatility for iShares MSCI Belgium ETF (EWK) is 2.98%, while WisdomTree India Earnings Fund (EPI) has a volatility of 4.42%. This indicates that EWK experiences smaller price fluctuations and is considered to be less risky than EPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.98%
4.42%
EWK
EPI