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

Key characteristics


EWSVOO
YTD Return16.98%21.11%
1Y Return23.25%32.98%
3Y Return (Ann)1.09%8.44%
5Y Return (Ann)1.68%15.04%
10Y Return (Ann)1.99%12.94%
Sharpe Ratio1.862.84
Sortino Ratio2.593.76
Omega Ratio1.331.53
Calmar Ratio1.384.05
Martin Ratio10.0718.51
Ulcer Index2.68%1.85%
Daily Std Dev14.23%12.06%
Max Drawdown-75.20%-33.99%
Current Drawdown-4.24%-2.52%

Correlation

-0.50.00.51.00.6

The correlation between EWS and VOO is 0.64, 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

EWS vs. VOO - Performance Comparison

In the year-to-date period, EWS achieves a 16.98% return, which is significantly lower than VOO's 21.11% return. Over the past 10 years, EWS has underperformed VOO with an annualized return of 1.99%, 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%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.28%
11.07%
EWS
VOO

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. VOO - Expense Ratio Comparison

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

EWS vs. VOO - Risk-Adjusted Performance Comparison

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


EWS
Sharpe ratio
The chart of Sharpe ratio for EWS, currently valued at 1.86, compared to the broader market0.002.004.006.001.86
Sortino ratio
The chart of Sortino ratio for EWS, currently valued at 2.59, compared to the broader market0.005.0010.002.59
Omega ratio
The chart of Omega ratio for EWS, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for EWS, currently valued at 1.38, compared to the broader market0.005.0010.0015.0020.001.38
Martin ratio
The chart of Martin ratio for EWS, currently valued at 10.07, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.07
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

EWS vs. VOO - Sharpe Ratio Comparison

The current EWS Sharpe Ratio is 1.86, which is lower than the VOO Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of EWS 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.86
2.84
EWS
VOO

Dividends

EWS vs. VOO - Dividend Comparison

EWS's dividend yield for the trailing twelve months is around 4.12%, more than VOO's 1.29% yield.


TTM20232022202120202019201820172016201520142013
EWS
iShares MSCI Singapore ETF
4.12%6.50%2.56%6.00%2.68%4.70%4.21%3.46%3.96%4.20%3.35%3.77%
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

EWS vs. VOO - Drawdown Comparison

The maximum EWS drawdown since its inception was -75.20%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for EWS and VOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.24%
-2.52%
EWS
VOO

Volatility

EWS vs. VOO - Volatility Comparison

The current volatility for iShares MSCI Singapore ETF (EWS) is 2.62%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.15%. This indicates that EWS experiences smaller price fluctuations and is considered to be less risky 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%7.00%JuneJulyAugustSeptemberOctoberNovember
2.62%
3.15%
EWS
VOO