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

Key characteristics


EWPVOO
YTD Return14.05%21.11%
1Y Return27.35%32.98%
3Y Return (Ann)10.01%8.44%
5Y Return (Ann)6.93%15.04%
10Y Return (Ann)2.91%12.94%
Sharpe Ratio1.802.84
Sortino Ratio2.443.76
Omega Ratio1.311.53
Calmar Ratio1.404.05
Martin Ratio9.1018.51
Ulcer Index3.09%1.85%
Daily Std Dev15.68%12.06%
Max Drawdown-61.19%-33.99%
Current Drawdown-3.51%-2.52%

Correlation

-0.50.00.51.00.7

The correlation between EWP and VOO is 0.66, 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

EWP vs. VOO - Performance Comparison

In the year-to-date period, EWP achieves a 14.05% return, which is significantly lower than VOO's 21.11% return. Over the past 10 years, EWP has underperformed VOO with an annualized return of 2.91%, while VOO has yielded a comparatively higher 12.94% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.72%
11.07%
EWP
VOO

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EWP vs. VOO - Expense Ratio Comparison

EWP has a 0.50% expense ratio, which is higher than VOO's 0.03% 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 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

EWP vs. VOO - Risk-Adjusted Performance Comparison

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


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 1.99, compared to the broader market0.005.0010.0015.0020.001.99
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
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.84, compared to the broader market0.002.004.006.002.84
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for VOO, currently valued at 18.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.51

EWP vs. VOO - Sharpe Ratio Comparison

The current EWP Sharpe Ratio is 1.80, which is lower than the VOO Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of EWP 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
1.80
2.84
EWP
VOO

Dividends

EWP vs. VOO - Dividend Comparison

EWP's dividend yield for the trailing twelve months is around 2.93%, more than VOO's 1.29% 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%
VOO
Vanguard S&P 500 ETF
1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

EWP vs. VOO - Drawdown Comparison

The maximum EWP drawdown since its inception was -61.19%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for EWP and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.51%
-2.52%
EWP
VOO

Volatility

EWP vs. VOO - Volatility Comparison

iShares MSCI Spain ETF (EWP) has a higher volatility of 3.51% compared to Vanguard S&P 500 ETF (VOO) at 3.15%. This indicates that EWP'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
3.51%
3.15%
EWP
VOO