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

Key characteristics


EWPFEZ
YTD Return14.05%7.93%
1Y Return27.35%20.84%
3Y Return (Ann)10.01%4.36%
5Y Return (Ann)6.93%7.91%
10Y Return (Ann)2.91%6.07%
Sharpe Ratio1.801.40
Sortino Ratio2.441.99
Omega Ratio1.311.24
Calmar Ratio1.402.18
Martin Ratio9.106.86
Ulcer Index3.09%3.17%
Daily Std Dev15.68%15.51%
Max Drawdown-61.19%-64.21%
Current Drawdown-3.51%-6.45%

Correlation

-0.50.00.51.00.9

The correlation between EWP and FEZ is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

EWP vs. FEZ - Performance Comparison

In the year-to-date period, EWP achieves a 14.05% return, which is significantly higher than FEZ's 7.93% return. Over the past 10 years, EWP has underperformed FEZ with an annualized return of 2.91%, while FEZ has yielded a comparatively higher 6.07% 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
8.72%
-0.41%
EWP
FEZ

Compare stocks, funds, or ETFs

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


EWP vs. FEZ - Expense Ratio Comparison

EWP has a 0.50% expense ratio, which is higher than FEZ's 0.29% expense ratio.


EWP
iShares MSCI Spain ETF
Expense ratio chart for EWP: 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 FEZ: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

EWP vs. FEZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Spain ETF (EWP) and SPDR EURO STOXX 50 ETF (FEZ). 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.


EWP
Sharpe ratio
The chart of Sharpe ratio for EWP, currently valued at 1.80, compared to the broader market0.002.004.006.001.80
Sortino ratio
The chart of Sortino ratio for EWP, currently valued at 2.44, compared to the broader market0.005.0010.002.44
Omega ratio
The chart of Omega ratio for EWP, currently valued at 1.31, compared to the broader market1.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for EWP, currently valued at 1.40, compared to the broader market0.005.0010.0015.0020.001.40
Martin ratio
The chart of Martin ratio for EWP, currently valued at 9.10, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.10
FEZ
Sharpe ratio
The chart of Sharpe ratio for FEZ, currently valued at 1.40, compared to the broader market0.002.004.006.001.40
Sortino ratio
The chart of Sortino ratio for FEZ, currently valued at 1.99, compared to the broader market0.005.0010.001.99
Omega ratio
The chart of Omega ratio for FEZ, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for FEZ, currently valued at 2.18, compared to the broader market0.005.0010.0015.0020.002.18
Martin ratio
The chart of Martin ratio for FEZ, currently valued at 6.86, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.86

EWP vs. FEZ - Sharpe Ratio Comparison

The current EWP Sharpe Ratio is 1.80, which is comparable to the FEZ Sharpe Ratio of 1.40. The chart below compares the historical Sharpe Ratios of EWP and FEZ, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.80
1.40
EWP
FEZ

Dividends

EWP vs. FEZ - Dividend Comparison

EWP's dividend yield for the trailing twelve months is around 2.93%, more than FEZ's 2.73% yield.


TTM20232022202120202019201820172016201520142013
EWP
iShares MSCI Spain ETF
2.93%2.70%3.07%3.29%2.56%3.72%3.69%2.72%4.65%3.85%4.72%2.84%
FEZ
SPDR EURO STOXX 50 ETF
2.73%2.75%3.06%2.61%2.13%2.61%3.45%2.44%3.35%3.03%3.78%2.72%

Drawdowns

EWP vs. FEZ - Drawdown Comparison

The maximum EWP drawdown since its inception was -61.19%, roughly equal to the maximum FEZ drawdown of -64.21%. Use the drawdown chart below to compare losses from any high point for EWP and FEZ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.51%
-6.45%
EWP
FEZ

Volatility

EWP vs. FEZ - Volatility Comparison

The current volatility for iShares MSCI Spain ETF (EWP) is 3.51%, while SPDR EURO STOXX 50 ETF (FEZ) has a volatility of 4.02%. This indicates that EWP experiences smaller price fluctuations and is considered to be less risky than FEZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.51%
4.02%
EWP
FEZ