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

Performance

EWN vs. VGK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Netherlands ETF (EWN) and Vanguard FTSE Europe ETF (VGK). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-11.57%
-5.01%
EWN
VGK

Returns By Period

In the year-to-date period, EWN achieves a 1.09% return, which is significantly lower than VGK's 2.48% return. Over the past 10 years, EWN has outperformed VGK with an annualized return of 8.17%, while VGK has yielded a comparatively lower 4.84% annualized return.


EWN

YTD

1.09%

1M

-6.98%

6M

-11.57%

1Y

8.61%

5Y (annualized)

8.16%

10Y (annualized)

8.17%

VGK

YTD

2.48%

1M

-5.82%

6M

-5.01%

1Y

9.07%

5Y (annualized)

6.05%

10Y (annualized)

4.84%

Key characteristics


EWNVGK
Sharpe Ratio0.470.71
Sortino Ratio0.761.04
Omega Ratio1.091.12
Calmar Ratio0.450.93
Martin Ratio1.633.03
Ulcer Index5.38%3.06%
Daily Std Dev18.82%13.12%
Max Drawdown-65.22%-63.61%
Current Drawdown-15.25%-9.97%

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EWN vs. VGK - Expense Ratio Comparison

EWN has a 0.50% expense ratio, which is higher than VGK's 0.08% 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 VGK: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.00.9

The correlation between EWN and VGK is 0.91, 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. VGK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Netherlands ETF (EWN) and Vanguard FTSE Europe ETF (VGK). 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 0.47, compared to the broader market0.002.004.000.470.71
The chart of Sortino ratio for EWN, currently valued at 0.76, compared to the broader market-2.000.002.004.006.008.0010.000.761.04
The chart of Omega ratio for EWN, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.12
The chart of Calmar ratio for EWN, currently valued at 0.45, compared to the broader market0.005.0010.0015.000.450.93
The chart of Martin ratio for EWN, currently valued at 1.63, compared to the broader market0.0020.0040.0060.0080.00100.001.633.03
EWN
VGK

The current EWN Sharpe Ratio is 0.47, which is lower than the VGK Sharpe Ratio of 0.71. The chart below compares the historical Sharpe Ratios of EWN and VGK, 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
0.47
0.71
EWN
VGK

Dividends

EWN vs. VGK - Dividend Comparison

EWN's dividend yield for the trailing twelve months is around 2.03%, less than VGK's 3.14% yield.


TTM20232022202120202019201820172016201520142013
EWN
iShares MSCI Netherlands ETF
2.03%1.79%1.98%1.02%0.78%2.58%2.40%1.68%2.71%1.92%2.30%1.50%
VGK
Vanguard FTSE Europe ETF
3.14%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%

Drawdowns

EWN vs. VGK - Drawdown Comparison

The maximum EWN drawdown since its inception was -65.22%, roughly equal to the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for EWN and VGK. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-15.25%
-9.97%
EWN
VGK

Volatility

EWN vs. VGK - Volatility Comparison

iShares MSCI Netherlands ETF (EWN) and Vanguard FTSE Europe ETF (VGK) have volatilities of 4.40% and 4.22%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
4.40%
4.22%
EWN
VGK