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EWK vs. EPOL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWKEPOL
YTD Return7.18%1.13%
1Y Return14.86%15.50%
3Y Return (Ann)-1.18%1.22%
5Y Return (Ann)3.14%2.66%
10Y Return (Ann)4.78%0.53%
Sharpe Ratio1.210.71
Sortino Ratio1.681.15
Omega Ratio1.221.14
Calmar Ratio0.860.56
Martin Ratio6.153.04
Ulcer Index2.77%5.70%
Daily Std Dev13.99%24.48%
Max Drawdown-74.10%-63.72%
Current Drawdown-6.50%-18.83%

Correlation

-0.50.00.51.00.7

The correlation between EWK and EPOL 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.

Performance

EWK vs. EPOL - Performance Comparison

In the year-to-date period, EWK achieves a 7.18% return, which is significantly higher than EPOL's 1.13% return. Over the past 10 years, EWK has outperformed EPOL with an annualized return of 4.78%, while EPOL has yielded a comparatively lower 0.53% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.15%
-7.73%
EWK
EPOL

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EWK vs. EPOL - Expense Ratio Comparison

EWK has a 0.49% expense ratio, which is lower than EPOL's 0.61% expense ratio.


EPOL
iShares MSCI Poland ETF
Expense ratio chart for EPOL: current value at 0.61% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.61%
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. EPOL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Belgium ETF (EWK) and iShares MSCI Poland ETF (EPOL). 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
EPOL
Sharpe ratio
The chart of Sharpe ratio for EPOL, currently valued at 0.71, compared to the broader market0.002.004.006.000.71
Sortino ratio
The chart of Sortino ratio for EPOL, currently valued at 1.15, compared to the broader market0.005.0010.001.15
Omega ratio
The chart of Omega ratio for EPOL, currently valued at 1.14, compared to the broader market1.001.502.002.503.003.501.14
Calmar ratio
The chart of Calmar ratio for EPOL, currently valued at 0.56, compared to the broader market0.005.0010.0015.0020.000.56
Martin ratio
The chart of Martin ratio for EPOL, currently valued at 3.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.04

EWK vs. EPOL - Sharpe Ratio Comparison

The current EWK Sharpe Ratio is 1.21, which is higher than the EPOL Sharpe Ratio of 0.71. The chart below compares the historical Sharpe Ratios of EWK and EPOL, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.21
0.71
EWK
EPOL

Dividends

EWK vs. EPOL - Dividend Comparison

EWK's dividend yield for the trailing twelve months is around 2.16%, less than EPOL's 4.82% yield.


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%
EPOL
iShares MSCI Poland ETF
4.82%2.87%2.65%1.33%1.44%2.51%1.44%1.88%2.14%2.53%3.44%3.28%

Drawdowns

EWK vs. EPOL - Drawdown Comparison

The maximum EWK drawdown since its inception was -74.10%, which is greater than EPOL's maximum drawdown of -63.72%. Use the drawdown chart below to compare losses from any high point for EWK and EPOL. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.50%
-18.83%
EWK
EPOL

Volatility

EWK vs. EPOL - Volatility Comparison

The current volatility for iShares MSCI Belgium ETF (EWK) is 2.98%, while iShares MSCI Poland ETF (EPOL) has a volatility of 5.97%. This indicates that EWK experiences smaller price fluctuations and is considered to be less risky than EPOL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
2.98%
5.97%
EWK
EPOL