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

Key characteristics


EWNXLE
YTD Return2.25%14.60%
1Y Return14.30%15.47%
3Y Return (Ann)-3.57%22.36%
5Y Return (Ann)8.31%14.95%
10Y Return (Ann)8.51%4.88%
Sharpe Ratio0.770.92
Sortino Ratio1.151.33
Omega Ratio1.141.17
Calmar Ratio0.651.22
Martin Ratio3.062.86
Ulcer Index4.78%5.71%
Daily Std Dev19.10%17.81%
Max Drawdown-65.22%-71.54%
Current Drawdown-14.28%-2.82%

Correlation

-0.50.00.51.00.5

The correlation between EWN and XLE is 0.46, 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

EWN vs. XLE - Performance Comparison

In the year-to-date period, EWN achieves a 2.25% return, which is significantly lower than XLE's 14.60% return. Over the past 10 years, EWN has outperformed XLE with an annualized return of 8.51%, while XLE has yielded a comparatively lower 4.88% 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
-10.68%
1.72%
EWN
XLE

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. XLE - Expense Ratio Comparison

EWN has a 0.50% expense ratio, which is higher than XLE's 0.13% 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 XLE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

EWN vs. XLE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Netherlands ETF (EWN) and Energy Select Sector SPDR Fund (XLE). 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 0.77, compared to the broader market-2.000.002.004.000.77
Sortino ratio
The chart of Sortino ratio for EWN, currently valued at 1.15, compared to the broader market0.005.0010.001.15
Omega ratio
The chart of Omega ratio for EWN, currently valued at 1.14, compared to the broader market1.001.502.002.503.001.14
Calmar ratio
The chart of Calmar ratio for EWN, currently valued at 0.65, compared to the broader market0.005.0010.0015.000.65
Martin ratio
The chart of Martin ratio for EWN, currently valued at 3.06, compared to the broader market0.0020.0040.0060.0080.00100.003.06
XLE
Sharpe ratio
The chart of Sharpe ratio for XLE, currently valued at 0.92, compared to the broader market-2.000.002.004.000.92
Sortino ratio
The chart of Sortino ratio for XLE, currently valued at 1.33, compared to the broader market0.005.0010.001.33
Omega ratio
The chart of Omega ratio for XLE, currently valued at 1.17, compared to the broader market1.001.502.002.503.001.17
Calmar ratio
The chart of Calmar ratio for XLE, currently valued at 1.22, compared to the broader market0.005.0010.0015.001.22
Martin ratio
The chart of Martin ratio for XLE, currently valued at 2.85, compared to the broader market0.0020.0040.0060.0080.00100.002.86

EWN vs. XLE - Sharpe Ratio Comparison

The current EWN Sharpe Ratio is 0.77, which is comparable to the XLE Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of EWN and XLE, 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
0.77
0.92
EWN
XLE

Dividends

EWN vs. XLE - Dividend Comparison

EWN's dividend yield for the trailing twelve months is around 2.01%, less than XLE's 3.18% yield.


TTM20232022202120202019201820172016201520142013
EWN
iShares MSCI Netherlands ETF
2.01%1.79%1.98%1.02%0.78%2.58%2.40%1.68%2.71%1.92%2.30%1.50%
XLE
Energy Select Sector SPDR Fund
3.18%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%

Drawdowns

EWN vs. XLE - Drawdown Comparison

The maximum EWN drawdown since its inception was -65.22%, smaller than the maximum XLE drawdown of -71.54%. Use the drawdown chart below to compare losses from any high point for EWN and XLE. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-14.28%
-2.82%
EWN
XLE

Volatility

EWN vs. XLE - Volatility Comparison

iShares MSCI Netherlands ETF (EWN) has a higher volatility of 6.50% compared to Energy Select Sector SPDR Fund (XLE) at 5.94%. This indicates that EWN's price experiences larger fluctuations and is considered to be riskier than XLE 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
6.50%
5.94%
EWN
XLE