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EWN vs. FEZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWNFEZ
YTD Return4.09%5.83%
1Y Return18.36%18.41%
3Y Return (Ann)-3.01%3.70%
5Y Return (Ann)8.60%7.42%
10Y Return (Ann)8.69%5.72%
Sharpe Ratio0.971.16
Sortino Ratio1.421.67
Omega Ratio1.181.20
Calmar Ratio0.781.93
Martin Ratio4.025.62
Ulcer Index4.62%3.29%
Daily Std Dev19.08%15.93%
Max Drawdown-65.22%-64.21%
Current Drawdown-12.74%-8.27%

Correlation

-0.50.00.51.00.9

The correlation between EWN and FEZ is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

EWN vs. FEZ - Performance Comparison

In the year-to-date period, EWN achieves a 4.09% return, which is significantly lower than FEZ's 5.83% return. Over the past 10 years, EWN has outperformed FEZ with an annualized return of 8.69%, while FEZ has yielded a comparatively lower 5.72% 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%JuneJulyAugustSeptemberOctoberNovember
-8.29%
-4.82%
EWN
FEZ

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EWN vs. FEZ - Expense Ratio Comparison

EWN has a 0.50% expense ratio, which is higher than FEZ's 0.29% expense ratio.


EWN
iShares MSCI Netherlands ETF
Expense ratio chart for EWN: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for FEZ: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

EWN vs. FEZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Netherlands ETF (EWN) and SPDR EURO STOXX 50 ETF (FEZ). 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.


EWN
Sharpe ratio
The chart of Sharpe ratio for EWN, currently valued at 0.97, compared to the broader market-2.000.002.004.000.97
Sortino ratio
The chart of Sortino ratio for EWN, currently valued at 1.42, compared to the broader market-2.000.002.004.006.008.0010.0012.001.42
Omega ratio
The chart of Omega ratio for EWN, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for EWN, currently valued at 0.78, compared to the broader market0.005.0010.0015.000.78
Martin ratio
The chart of Martin ratio for EWN, currently valued at 4.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.02
FEZ
Sharpe ratio
The chart of Sharpe ratio for FEZ, currently valued at 1.16, compared to the broader market-2.000.002.004.001.16
Sortino ratio
The chart of Sortino ratio for FEZ, currently valued at 1.67, compared to the broader market-2.000.002.004.006.008.0010.0012.001.67
Omega ratio
The chart of Omega ratio for FEZ, currently valued at 1.20, compared to the broader market1.001.502.002.503.001.20
Calmar ratio
The chart of Calmar ratio for FEZ, currently valued at 1.93, compared to the broader market0.005.0010.0015.001.93
Martin ratio
The chart of Martin ratio for FEZ, currently valued at 5.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.62

EWN vs. FEZ - Sharpe Ratio Comparison

The current EWN Sharpe Ratio is 0.97, which is comparable to the FEZ Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of EWN and FEZ, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.97
1.16
EWN
FEZ

Dividends

EWN vs. FEZ - Dividend Comparison

EWN's dividend yield for the trailing twelve months is around 1.97%, less than FEZ's 2.79% yield.


TTM20232022202120202019201820172016201520142013
EWN
iShares MSCI Netherlands ETF
1.97%1.79%1.98%1.02%0.78%2.58%2.40%1.68%2.71%1.92%2.30%1.50%
FEZ
SPDR EURO STOXX 50 ETF
2.79%2.75%3.05%2.61%2.12%2.61%3.45%2.44%3.35%3.03%3.78%2.72%

Drawdowns

EWN vs. FEZ - Drawdown Comparison

The maximum EWN drawdown since its inception was -65.22%, roughly equal to the maximum FEZ drawdown of -64.21%. Use the drawdown chart below to compare losses from any high point for EWN and FEZ. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-12.74%
-8.27%
EWN
FEZ

Volatility

EWN vs. FEZ - Volatility Comparison

iShares MSCI Netherlands ETF (EWN) has a higher volatility of 6.63% compared to SPDR EURO STOXX 50 ETF (FEZ) at 5.59%. This indicates that EWN's price experiences larger fluctuations and is considered to be riskier than FEZ 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%JuneJulyAugustSeptemberOctoberNovember
6.63%
5.59%
EWN
FEZ