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

Performance

EWN vs. FEZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Netherlands ETF (EWN) and SPDR EURO STOXX 50 ETF (FEZ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-12.26%
-7.47%
EWN
FEZ

Returns By Period

In the year-to-date period, EWN achieves a 1.77% return, which is significantly lower than FEZ's 3.64% return. Over the past 10 years, EWN has outperformed FEZ with an annualized return of 8.32%, while FEZ has yielded a comparatively lower 5.27% annualized return.


EWN

YTD

1.77%

1M

-7.48%

6M

-12.26%

1Y

8.90%

5Y (annualized)

8.26%

10Y (annualized)

8.32%

FEZ

YTD

3.64%

1M

-6.59%

6M

-7.47%

1Y

9.57%

5Y (annualized)

7.06%

10Y (annualized)

5.27%

Key characteristics


EWNFEZ
Sharpe Ratio0.530.69
Sortino Ratio0.831.04
Omega Ratio1.101.13
Calmar Ratio0.501.00
Martin Ratio1.933.01
Ulcer Index5.12%3.65%
Daily Std Dev18.88%15.79%
Max Drawdown-65.22%-64.21%
Current Drawdown-14.68%-10.17%

Compare stocks, funds, or ETFs

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


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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for EWN, currently valued at 0.53, compared to the broader market0.002.004.000.530.69
The chart of Sortino ratio for EWN, currently valued at 0.83, compared to the broader market-2.000.002.004.006.008.0010.000.831.04
The chart of Omega ratio for EWN, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.13
The chart of Calmar ratio for EWN, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.501.00
The chart of Martin ratio for EWN, currently valued at 1.93, compared to the broader market0.0020.0040.0060.0080.00100.001.933.01
EWN
FEZ

The current EWN Sharpe Ratio is 0.53, which is comparable to the FEZ Sharpe Ratio of 0.69. 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
0.53
0.69
EWN
FEZ

Dividends

EWN vs. FEZ - Dividend Comparison

EWN's dividend yield for the trailing twelve months is around 2.02%, less than FEZ's 2.85% yield.


TTM20232022202120202019201820172016201520142013
EWN
iShares MSCI Netherlands ETF
2.02%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
2.85%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.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-14.68%
-10.17%
EWN
FEZ

Volatility

EWN vs. FEZ - Volatility Comparison

The current volatility for iShares MSCI Netherlands ETF (EWN) is 4.53%, while SPDR EURO STOXX 50 ETF (FEZ) has a volatility of 5.10%. This indicates that EWN experiences smaller price fluctuations and is considered to be less risky 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
4.53%
5.10%
EWN
FEZ