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EWO vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWOSPY
YTD Return0.08%26.83%
1Y Return6.92%34.88%
3Y Return (Ann)-2.26%10.16%
5Y Return (Ann)3.84%15.71%
10Y Return (Ann)5.93%13.33%
Sharpe Ratio0.653.08
Sortino Ratio0.954.10
Omega Ratio1.121.58
Calmar Ratio0.484.46
Martin Ratio2.6820.22
Ulcer Index3.51%1.85%
Daily Std Dev14.52%12.18%
Max Drawdown-75.69%-55.19%
Current Drawdown-14.12%-0.26%

Correlation

-0.50.00.51.00.5

The correlation between EWO and SPY is 0.49, 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. SPY - Performance Comparison

In the year-to-date period, EWO achieves a 0.08% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, EWO has underperformed SPY with an annualized return of 5.93%, while SPY has yielded a comparatively higher 13.33% 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%JuneJulyAugustSeptemberOctoberNovember
-7.65%
13.43%
EWO
SPY

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EWO vs. SPY - Expense Ratio Comparison

EWO has a 0.49% expense ratio, which is higher than SPY's 0.09% expense ratio.


EWO
iShares MSCI Austria ETF
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%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

EWO vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Austria ETF (EWO) and SPDR S&P 500 ETF (SPY). 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 0.65, compared to the broader market-2.000.002.004.000.65
Sortino ratio
The chart of Sortino ratio for EWO, currently valued at 0.95, compared to the broader market-2.000.002.004.006.008.0010.0012.000.95
Omega ratio
The chart of Omega ratio for EWO, currently valued at 1.12, compared to the broader market1.001.502.002.503.001.12
Calmar ratio
The chart of Calmar ratio for EWO, currently valued at 0.48, compared to the broader market0.005.0010.0015.000.48
Martin ratio
The chart of Martin ratio for EWO, currently valued at 2.68, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.68
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.08, compared to the broader market-2.000.002.004.003.08
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.10, compared to the broader market-2.000.002.004.006.008.0010.0012.004.10
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.46, compared to the broader market0.005.0010.0015.004.46
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.22, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.22

EWO vs. SPY - Sharpe Ratio Comparison

The current EWO Sharpe Ratio is 0.65, which is lower than the SPY Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of EWO and SPY, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
0.65
3.08
EWO
SPY

Dividends

EWO vs. SPY - Dividend Comparison

EWO's dividend yield for the trailing twelve months is around 7.79%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
EWO
iShares MSCI Austria ETF
7.79%5.65%4.75%2.42%0.98%3.11%4.04%2.03%1.99%1.51%3.93%2.02%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

EWO vs. SPY - Drawdown Comparison

The maximum EWO drawdown since its inception was -75.69%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EWO and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-14.12%
-0.26%
EWO
SPY

Volatility

EWO vs. SPY - Volatility Comparison

iShares MSCI Austria ETF (EWO) has a higher volatility of 5.21% compared to SPDR S&P 500 ETF (SPY) at 3.77%. This indicates that EWO's price experiences larger fluctuations and is considered to be riskier than SPY 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%JuneJulyAugustSeptemberOctoberNovember
5.21%
3.77%
EWO
SPY