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

Key characteristics


EWNXLI
YTD Return4.13%25.29%
1Y Return19.62%42.06%
3Y Return (Ann)-3.05%11.77%
5Y Return (Ann)8.63%13.50%
10Y Return (Ann)8.86%11.76%
Sharpe Ratio1.023.13
Sortino Ratio1.484.42
Omega Ratio1.191.56
Calmar Ratio0.784.99
Martin Ratio4.3222.13
Ulcer Index4.49%1.88%
Daily Std Dev18.97%13.32%
Max Drawdown-65.22%-62.26%
Current Drawdown-12.71%0.00%

Correlation

-0.50.00.51.00.6

The correlation between EWN and XLI is 0.64, 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. XLI - Performance Comparison

In the year-to-date period, EWN achieves a 4.13% return, which is significantly lower than XLI's 25.29% return. Over the past 10 years, EWN has underperformed XLI with an annualized return of 8.86%, while XLI has yielded a comparatively higher 11.76% 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%
14.50%
EWN
XLI

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EWN vs. XLI - Expense Ratio Comparison

EWN has a 0.50% expense ratio, which is higher than XLI'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 XLI: 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. XLI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Netherlands ETF (EWN) and Industrial Select Sector SPDR Fund (XLI). 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 market-2.000.002.004.006.008.0010.0012.001.48
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
XLI
Sharpe ratio
The chart of Sharpe ratio for XLI, currently valued at 3.13, compared to the broader market-2.000.002.004.006.003.13
Sortino ratio
The chart of Sortino ratio for XLI, currently valued at 4.42, compared to the broader market-2.000.002.004.006.008.0010.0012.004.42
Omega ratio
The chart of Omega ratio for XLI, currently valued at 1.56, compared to the broader market0.501.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for XLI, currently valued at 4.99, compared to the broader market0.005.0010.0015.004.99
Martin ratio
The chart of Martin ratio for XLI, currently valued at 22.13, compared to the broader market0.0020.0040.0060.0080.00100.0022.13

EWN vs. XLI - Sharpe Ratio Comparison

The current EWN Sharpe Ratio is 1.02, which is lower than the XLI Sharpe Ratio of 3.13. The chart below compares the historical Sharpe Ratios of EWN and XLI, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.02
3.13
EWN
XLI

Dividends

EWN vs. XLI - Dividend Comparison

EWN's dividend yield for the trailing twelve months is around 1.97%, more than XLI's 1.30% 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%
XLI
Industrial Select Sector SPDR Fund
1.30%1.63%1.64%1.25%1.55%1.94%2.15%1.77%2.07%2.15%1.85%1.68%

Drawdowns

EWN vs. XLI - Drawdown Comparison

The maximum EWN drawdown since its inception was -65.22%, roughly equal to the maximum XLI drawdown of -62.26%. Use the drawdown chart below to compare losses from any high point for EWN and XLI. 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
XLI

Volatility

EWN vs. XLI - Volatility Comparison

iShares MSCI Netherlands ETF (EWN) has a higher volatility of 6.34% compared to Industrial Select Sector SPDR Fund (XLI) at 5.25%. This indicates that EWN's price experiences larger fluctuations and is considered to be riskier than XLI 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
6.34%
5.25%
EWN
XLI