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EWS vs. EWJ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EWS vs. EWJ - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
17.07%
-0.64%
EWS
EWJ

Returns By Period

In the year-to-date period, EWS achieves a 23.02% return, which is significantly higher than EWJ's 6.61% return. Over the past 10 years, EWS has underperformed EWJ with an annualized return of 2.39%, while EWJ has yielded a comparatively higher 5.53% annualized return.


EWS

YTD

23.02%

1M

2.17%

6M

17.31%

1Y

30.19%

5Y (annualized)

2.88%

10Y (annualized)

2.39%

EWJ

YTD

6.61%

1M

-3.21%

6M

-1.21%

1Y

11.21%

5Y (annualized)

4.44%

10Y (annualized)

5.53%

Key characteristics


EWSEWJ
Sharpe Ratio2.130.75
Sortino Ratio2.961.10
Omega Ratio1.381.14
Calmar Ratio1.580.95
Martin Ratio11.683.28
Ulcer Index2.66%3.95%
Daily Std Dev14.58%17.21%
Max Drawdown-75.20%-58.89%
Current Drawdown0.00%-7.00%

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EWS vs. EWJ - Expense Ratio Comparison

EWS has a 0.50% expense ratio, which is higher than EWJ's 0.49% expense ratio.


EWS
iShares MSCI Singapore ETF
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%
Expense ratio chart for EWJ: 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%

Correlation

-0.50.00.51.00.5

The correlation between EWS and EWJ is 0.53, 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.

Risk-Adjusted Performance

EWS vs. EWJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Singapore ETF (EWS) and iShares MSCI Japan ETF (EWJ). 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 2.13, compared to the broader market0.002.004.002.130.75
The chart of Sortino ratio for EWS, currently valued at 2.96, compared to the broader market-2.000.002.004.006.008.0010.002.961.10
The chart of Omega ratio for EWS, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.14
The chart of Calmar ratio for EWS, currently valued at 1.58, compared to the broader market0.005.0010.0015.001.580.95
The chart of Martin ratio for EWS, currently valued at 11.68, compared to the broader market0.0020.0040.0060.0080.00100.0011.683.28
EWS
EWJ

The current EWS Sharpe Ratio is 2.13, which is higher than the EWJ Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of EWS and EWJ, 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
2.13
0.75
EWS
EWJ

Dividends

EWS vs. EWJ - Dividend Comparison

EWS's dividend yield for the trailing twelve months is around 3.92%, more than EWJ's 2.04% yield.


TTM20232022202120202019201820172016201520142013
EWS
iShares MSCI Singapore ETF
3.92%6.49%2.56%6.00%2.68%4.70%4.21%3.46%3.96%4.20%3.35%3.77%
EWJ
iShares MSCI Japan ETF
2.04%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%1.32%1.11%

Drawdowns

EWS vs. EWJ - Drawdown Comparison

The maximum EWS drawdown since its inception was -75.20%, which is greater than EWJ's maximum drawdown of -58.89%. Use the drawdown chart below to compare losses from any high point for EWS and EWJ. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-7.00%
EWS
EWJ

Volatility

EWS vs. EWJ - Volatility Comparison

iShares MSCI Singapore ETF (EWS) and iShares MSCI Japan ETF (EWJ) have volatilities of 4.58% and 4.46%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.58%
4.46%
EWS
EWJ