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

Key characteristics


EWOEWQ
YTD Return3.85%-2.47%
1Y Return15.23%8.06%
3Y Return (Ann)-1.68%1.03%
5Y Return (Ann)4.43%6.19%
10Y Return (Ann)6.26%6.69%
Sharpe Ratio1.080.53
Sortino Ratio1.510.83
Omega Ratio1.191.10
Calmar Ratio0.690.74
Martin Ratio4.661.70
Ulcer Index3.33%4.87%
Daily Std Dev14.34%15.59%
Max Drawdown-75.69%-61.41%
Current Drawdown-10.88%-10.25%

Correlation

-0.50.00.51.00.6

The correlation between EWO and EWQ 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

EWO vs. EWQ - Performance Comparison

In the year-to-date period, EWO achieves a 3.85% return, which is significantly higher than EWQ's -2.47% return. Over the past 10 years, EWO has underperformed EWQ with an annualized return of 6.26%, while EWQ has yielded a comparatively higher 6.69% 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
-2.64%
-9.08%
EWO
EWQ

Compare stocks, funds, or ETFs

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


EWO vs. EWQ - Expense Ratio Comparison

EWO has a 0.49% expense ratio, which is lower than EWQ's 0.50% expense ratio.


EWQ
iShares MSCI France ETF
Expense ratio chart for EWQ: 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 EWO: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

EWO vs. EWQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Austria ETF (EWO) and iShares MSCI France ETF (EWQ). 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.


EWO
Sharpe ratio
The chart of Sharpe ratio for EWO, currently valued at 1.08, compared to the broader market-2.000.002.004.006.001.08
Sortino ratio
The chart of Sortino ratio for EWO, currently valued at 1.51, compared to the broader market0.005.0010.001.51
Omega ratio
The chart of Omega ratio for EWO, currently valued at 1.19, compared to the broader market1.001.502.002.503.001.19
Calmar ratio
The chart of Calmar ratio for EWO, currently valued at 0.69, compared to the broader market0.005.0010.0015.000.69
Martin ratio
The chart of Martin ratio for EWO, currently valued at 4.66, compared to the broader market0.0020.0040.0060.0080.00100.004.66
EWQ
Sharpe ratio
The chart of Sharpe ratio for EWQ, currently valued at 0.53, compared to the broader market-2.000.002.004.006.000.53
Sortino ratio
The chart of Sortino ratio for EWQ, currently valued at 0.83, compared to the broader market0.005.0010.000.83
Omega ratio
The chart of Omega ratio for EWQ, currently valued at 1.10, compared to the broader market1.001.502.002.503.001.10
Calmar ratio
The chart of Calmar ratio for EWQ, currently valued at 0.74, compared to the broader market0.005.0010.0015.000.74
Martin ratio
The chart of Martin ratio for EWQ, currently valued at 1.70, compared to the broader market0.0020.0040.0060.0080.00100.001.70

EWO vs. EWQ - Sharpe Ratio Comparison

The current EWO Sharpe Ratio is 1.08, which is higher than the EWQ Sharpe Ratio of 0.53. The chart below compares the historical Sharpe Ratios of EWO and EWQ, 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
1.08
0.53
EWO
EWQ

Dividends

EWO vs. EWQ - Dividend Comparison

EWO's dividend yield for the trailing twelve months is around 7.51%, more than EWQ's 3.12% yield.


TTM20232022202120202019201820172016201520142013
EWO
iShares MSCI Austria ETF
7.51%5.65%4.75%2.42%0.98%3.11%4.04%2.03%1.99%1.51%3.93%2.02%
EWQ
iShares MSCI France ETF
3.12%2.73%3.23%3.79%1.02%2.44%2.90%1.90%2.84%2.25%3.38%2.43%

Drawdowns

EWO vs. EWQ - Drawdown Comparison

The maximum EWO drawdown since its inception was -75.69%, which is greater than EWQ's maximum drawdown of -61.41%. Use the drawdown chart below to compare losses from any high point for EWO and EWQ. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.88%
-10.25%
EWO
EWQ

Volatility

EWO vs. EWQ - Volatility Comparison

The current volatility for iShares MSCI Austria ETF (EWO) is 4.79%, while iShares MSCI France ETF (EWQ) has a volatility of 5.37%. This indicates that EWO experiences smaller price fluctuations and is considered to be less risky than EWQ 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%JuneJulyAugustSeptemberOctoberNovember
4.79%
5.37%
EWO
EWQ