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

Key characteristics


EWOVOO
YTD Return3.85%27.15%
1Y Return15.23%39.90%
3Y Return (Ann)-1.68%10.28%
5Y Return (Ann)4.43%16.00%
10Y Return (Ann)6.26%13.43%
Sharpe Ratio1.083.15
Sortino Ratio1.514.19
Omega Ratio1.191.59
Calmar Ratio0.694.60
Martin Ratio4.6621.00
Ulcer Index3.33%1.85%
Daily Std Dev14.34%12.34%
Max Drawdown-75.69%-33.99%
Current Drawdown-10.88%0.00%

Correlation

-0.50.00.51.00.6

The correlation between EWO and VOO is 0.65, 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. VOO - Performance Comparison

In the year-to-date period, EWO achieves a 3.85% return, which is significantly lower than VOO's 27.15% return. Over the past 10 years, EWO has underperformed VOO with an annualized return of 6.26%, while VOO has yielded a comparatively higher 13.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


100.00%200.00%300.00%400.00%500.00%600.00%JuneJulyAugustSeptemberOctoberNovember
83.15%
609.26%
EWO
VOO

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EWO vs. VOO - Expense Ratio Comparison

EWO has a 0.49% expense ratio, which is higher than VOO's 0.03% 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 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

EWO vs. VOO - Risk-Adjusted Performance Comparison

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


EWO
Sharpe ratio
The chart of Sharpe ratio for EWO, currently valued at 1.08, compared to the broader market-2.000.002.004.001.08
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 0.77, compared to the broader market0.005.0010.0015.000.77
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
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.15, compared to the broader market-2.000.002.004.003.15
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.60, compared to the broader market0.005.0010.0015.004.60
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.00, compared to the broader market0.0020.0040.0060.0080.00100.0021.00

EWO vs. VOO - Sharpe Ratio Comparison

The current EWO Sharpe Ratio is 1.08, which is lower than the VOO Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of EWO 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.08
3.15
EWO
VOO

Dividends

EWO vs. VOO - Dividend Comparison

EWO's dividend yield for the trailing twelve months is around 7.51%, more than VOO's 1.23% 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%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

EWO vs. VOO - Drawdown Comparison

The maximum EWO drawdown since its inception was -75.69%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for EWO and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.08%
0
EWO
VOO

Volatility

EWO vs. VOO - Volatility Comparison

iShares MSCI Austria ETF (EWO) has a higher volatility of 4.79% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that EWO'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%JuneJulyAugustSeptemberOctoberNovember
4.79%
3.95%
EWO
VOO