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

Key characteristics


EWNVOO
YTD Return4.13%25.62%
1Y Return19.62%37.28%
3Y Return (Ann)-3.05%9.75%
5Y Return (Ann)8.63%15.74%
10Y Return (Ann)8.86%13.34%
Sharpe Ratio1.023.06
Sortino Ratio1.484.08
Omega Ratio1.191.57
Calmar Ratio0.784.46
Martin Ratio4.3220.36
Ulcer Index4.49%1.85%
Daily Std Dev18.97%12.32%
Max Drawdown-65.22%-33.99%
Current Drawdown-12.71%0.00%

Correlation

-0.50.00.51.00.8

The correlation between EWN and VOO is 0.78, 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. VOO - Performance Comparison

In the year-to-date period, EWN achieves a 4.13% return, which is significantly lower than VOO's 25.62% return. Over the past 10 years, EWN has underperformed VOO with an annualized return of 8.86%, while VOO has yielded a comparatively higher 13.34% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-6.99%
15.04%
EWN
VOO

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. VOO - Expense Ratio Comparison

EWN has a 0.50% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

EWN vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Netherlands ETF (EWN) and Vanguard S&P 500 ETF (VOO). 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 1.02, compared to the broader market-2.000.002.004.006.001.02
Sortino ratio
The chart of Sortino ratio for EWN, currently valued at 1.48, compared to the broader market0.005.0010.001.48
Omega ratio
The chart of Omega ratio for EWN, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.19
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 4.32, compared to the broader market0.0020.0040.0060.0080.00100.004.32
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.08, compared to the broader market0.005.0010.004.08
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.57, compared to the broader market0.501.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.46, compared to the broader market0.005.0010.0015.004.46
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.36, compared to the broader market0.0020.0040.0060.0080.00100.0020.36

EWN vs. VOO - Sharpe Ratio Comparison

The current EWN Sharpe Ratio is 1.02, which is lower than the VOO Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of EWN and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.02
3.06
EWN
VOO

Dividends

EWN vs. VOO - Dividend Comparison

EWN's dividend yield for the trailing twelve months is around 1.97%, more than VOO's 1.25% 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%
VOO
Vanguard S&P 500 ETF
1.25%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

EWN vs. VOO - Drawdown Comparison

The maximum EWN drawdown since its inception was -65.22%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for EWN and VOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-12.71%
0
EWN
VOO

Volatility

EWN vs. VOO - Volatility Comparison

iShares MSCI Netherlands ETF (EWN) has a higher volatility of 6.34% compared to Vanguard S&P 500 ETF (VOO) at 3.94%. This indicates that EWN's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.34%
3.94%
EWN
VOO