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

Key characteristics


EWSVPL
YTD Return16.98%4.47%
1Y Return23.25%12.21%
3Y Return (Ann)1.09%-0.23%
5Y Return (Ann)1.68%4.20%
10Y Return (Ann)1.99%5.10%
Sharpe Ratio1.860.94
Sortino Ratio2.591.38
Omega Ratio1.331.17
Calmar Ratio1.380.83
Martin Ratio10.074.76
Ulcer Index2.68%2.99%
Daily Std Dev14.23%15.02%
Max Drawdown-75.20%-55.49%
Current Drawdown-4.24%-6.65%

Correlation

-0.50.00.51.00.7

The correlation between EWS and VPL is 0.73, 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

EWS vs. VPL - Performance Comparison

In the year-to-date period, EWS achieves a 16.98% return, which is significantly higher than VPL's 4.47% return. Over the past 10 years, EWS has underperformed VPL with an annualized return of 1.99%, while VPL has yielded a comparatively higher 5.10% 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%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.28%
-0.27%
EWS
VPL

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EWS vs. VPL - Expense Ratio Comparison

EWS has a 0.50% expense ratio, which is higher than VPL's 0.08% 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 VPL: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

EWS vs. VPL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Singapore ETF (EWS) and Vanguard FTSE Pacific ETF (VPL). 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
VPL
Sharpe ratio
The chart of Sharpe ratio for VPL, currently valued at 0.94, compared to the broader market0.002.004.006.000.94
Sortino ratio
The chart of Sortino ratio for VPL, currently valued at 1.38, compared to the broader market0.005.0010.001.38
Omega ratio
The chart of Omega ratio for VPL, currently valued at 1.17, compared to the broader market1.001.502.002.503.001.17
Calmar ratio
The chart of Calmar ratio for VPL, currently valued at 0.83, compared to the broader market0.005.0010.0015.0020.000.83
Martin ratio
The chart of Martin ratio for VPL, currently valued at 4.76, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.76

EWS vs. VPL - Sharpe Ratio Comparison

The current EWS Sharpe Ratio is 1.86, which is higher than the VPL Sharpe Ratio of 0.94. The chart below compares the historical Sharpe Ratios of EWS and VPL, 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
1.86
0.94
EWS
VPL

Dividends

EWS vs. VPL - Dividend Comparison

EWS's dividend yield for the trailing twelve months is around 4.12%, more than VPL's 3.09% 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%
VPL
Vanguard FTSE Pacific ETF
3.09%3.12%2.75%3.19%1.81%2.84%3.06%2.57%2.65%2.43%2.69%2.49%

Drawdowns

EWS vs. VPL - Drawdown Comparison

The maximum EWS drawdown since its inception was -75.20%, which is greater than VPL's maximum drawdown of -55.49%. Use the drawdown chart below to compare losses from any high point for EWS and VPL. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.24%
-6.65%
EWS
VPL

Volatility

EWS vs. VPL - Volatility Comparison

The current volatility for iShares MSCI Singapore ETF (EWS) is 2.62%, while Vanguard FTSE Pacific ETF (VPL) has a volatility of 3.07%. This indicates that EWS experiences smaller price fluctuations and is considered to be less risky than VPL 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%8.00%JuneJulyAugustSeptemberOctoberNovember
2.62%
3.07%
EWS
VPL