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

Performance

EWS vs. ASEA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Singapore ETF (EWS) and Global X FTSE Southeast Asia ETF (ASEA). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
19.56%
13.96%
EWS
ASEA

Returns By Period

In the year-to-date period, EWS achieves a 24.55% return, which is significantly higher than ASEA's 12.75% return. Over the past 10 years, EWS has underperformed ASEA with an annualized return of 2.59%, while ASEA has yielded a comparatively higher 3.05% annualized return.


EWS

YTD

24.55%

1M

4.43%

6M

19.56%

1Y

32.60%

5Y (annualized)

3.14%

10Y (annualized)

2.59%

ASEA

YTD

12.75%

1M

-3.15%

6M

13.96%

1Y

18.41%

5Y (annualized)

4.20%

10Y (annualized)

3.05%

Key characteristics


EWSASEA
Sharpe Ratio2.261.26
Sortino Ratio3.121.80
Omega Ratio1.411.22
Calmar Ratio1.682.22
Martin Ratio12.435.82
Ulcer Index2.65%3.10%
Daily Std Dev14.56%14.37%
Max Drawdown-75.20%-44.13%
Current Drawdown0.00%-7.56%

Compare stocks, funds, or ETFs

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


EWS vs. ASEA - Expense Ratio Comparison

EWS has a 0.50% expense ratio, which is lower than ASEA's 0.65% expense ratio.


ASEA
Global X FTSE Southeast Asia ETF
Expense ratio chart for ASEA: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for EWS: 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%

Correlation

-0.50.00.51.00.7

The correlation between EWS and ASEA is 0.74, 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.

Risk-Adjusted Performance

EWS vs. ASEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Singapore ETF (EWS) and Global X FTSE Southeast Asia ETF (ASEA). 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.


Sharpe ratio
The chart of Sharpe ratio for EWS, currently valued at 2.26, compared to the broader market0.002.004.002.261.26
The chart of Sortino ratio for EWS, currently valued at 3.12, compared to the broader market-2.000.002.004.006.008.0010.0012.003.121.80
The chart of Omega ratio for EWS, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.22
The chart of Calmar ratio for EWS, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.682.22
The chart of Martin ratio for EWS, currently valued at 12.43, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.435.82
EWS
ASEA

The current EWS Sharpe Ratio is 2.26, which is higher than the ASEA Sharpe Ratio of 1.26. The chart below compares the historical Sharpe Ratios of EWS and ASEA, 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
2.26
1.26
EWS
ASEA

Dividends

EWS vs. ASEA - Dividend Comparison

EWS's dividend yield for the trailing twelve months is around 3.87%, more than ASEA's 3.71% yield.


TTM20232022202120202019201820172016201520142013
EWS
iShares MSCI Singapore ETF
3.87%6.49%2.56%6.00%2.68%4.70%4.21%3.46%3.96%4.20%3.35%3.77%
ASEA
Global X FTSE Southeast Asia ETF
3.71%3.76%2.23%4.18%2.27%2.51%3.08%1.59%2.78%3.64%2.65%3.83%

Drawdowns

EWS vs. ASEA - Drawdown Comparison

The maximum EWS drawdown since its inception was -75.20%, which is greater than ASEA's maximum drawdown of -44.13%. Use the drawdown chart below to compare losses from any high point for EWS and ASEA. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-7.56%
EWS
ASEA

Volatility

EWS vs. ASEA - Volatility Comparison

The current volatility for iShares MSCI Singapore ETF (EWS) is 4.46%, while Global X FTSE Southeast Asia ETF (ASEA) has a volatility of 4.99%. This indicates that EWS experiences smaller price fluctuations and is considered to be less risky than ASEA 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.46%
4.99%
EWS
ASEA