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

Key characteristics


EWTHEWJ
YTD Return19.92%19.76%
1Y Return35.82%19.70%
3Y Return (Ann)5.54%15.28%
5Y Return (Ann)14.36%14.38%
10Y Return (Ann)11.21%10.34%
Sharpe Ratio1.841.06
Sortino Ratio2.431.43
Omega Ratio1.321.21
Calmar Ratio1.831.00
Martin Ratio8.693.39
Ulcer Index4.38%6.18%
Daily Std Dev20.71%19.74%
Max Drawdown-64.26%-31.53%
Current Drawdown-2.95%-8.85%

Correlation

-0.50.00.51.00.5

The correlation between EWT and HEWJ is 0.52, 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

EWT vs. HEWJ - Performance Comparison

The year-to-date returns for both stocks are quite close, with EWT having a 19.92% return and HEWJ slightly lower at 19.76%. Over the past 10 years, EWT has outperformed HEWJ with an annualized return of 11.21%, while HEWJ has yielded a comparatively lower 10.34% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
12.67%
-0.50%
EWT
HEWJ

Compare stocks, funds, or ETFs

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


EWT vs. HEWJ - Expense Ratio Comparison

EWT has a 0.59% expense ratio, which is higher than HEWJ's 0.49% expense ratio.


EWT
iShares MSCI Taiwan ETF
Expense ratio chart for EWT: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for HEWJ: 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%

Risk-Adjusted Performance

EWT vs. HEWJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Taiwan ETF (EWT) and iShares Currency Hedged MSCI Japan ETF (HEWJ). 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.


EWT
Sharpe ratio
The chart of Sharpe ratio for EWT, currently valued at 1.84, compared to the broader market0.002.004.006.001.84
Sortino ratio
The chart of Sortino ratio for EWT, currently valued at 2.43, compared to the broader market0.005.0010.002.43
Omega ratio
The chart of Omega ratio for EWT, currently valued at 1.32, compared to the broader market1.001.502.002.503.003.501.32
Calmar ratio
The chart of Calmar ratio for EWT, currently valued at 1.83, compared to the broader market0.005.0010.0015.0020.001.83
Martin ratio
The chart of Martin ratio for EWT, currently valued at 8.69, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.69
HEWJ
Sharpe ratio
The chart of Sharpe ratio for HEWJ, currently valued at 1.06, compared to the broader market0.002.004.006.001.06
Sortino ratio
The chart of Sortino ratio for HEWJ, currently valued at 1.43, compared to the broader market0.005.0010.001.43
Omega ratio
The chart of Omega ratio for HEWJ, currently valued at 1.21, compared to the broader market1.001.502.002.503.003.501.21
Calmar ratio
The chart of Calmar ratio for HEWJ, currently valued at 1.00, compared to the broader market0.005.0010.0015.0020.001.00
Martin ratio
The chart of Martin ratio for HEWJ, currently valued at 3.39, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.39

EWT vs. HEWJ - Sharpe Ratio Comparison

The current EWT Sharpe Ratio is 1.84, which is higher than the HEWJ Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of EWT and HEWJ, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.84
1.06
EWT
HEWJ

Dividends

EWT vs. HEWJ - Dividend Comparison

EWT's dividend yield for the trailing twelve months is around 10.01%, more than HEWJ's 1.94% yield.


TTM20232022202120202019201820172016201520142013
EWT
iShares MSCI Taiwan ETF
10.01%12.01%18.82%2.64%1.83%2.49%3.16%2.81%2.39%3.12%1.93%1.82%
HEWJ
iShares Currency Hedged MSCI Japan ETF
1.94%2.02%47.68%2.03%1.20%2.77%1.37%1.21%1.88%3.25%2.15%0.00%

Drawdowns

EWT vs. HEWJ - Drawdown Comparison

The maximum EWT drawdown since its inception was -64.26%, which is greater than HEWJ's maximum drawdown of -31.53%. Use the drawdown chart below to compare losses from any high point for EWT and HEWJ. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.95%
-8.85%
EWT
HEWJ

Volatility

EWT vs. HEWJ - Volatility Comparison

iShares MSCI Taiwan ETF (EWT) has a higher volatility of 5.05% compared to iShares Currency Hedged MSCI Japan ETF (HEWJ) at 4.11%. This indicates that EWT's price experiences larger fluctuations and is considered to be riskier than HEWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
5.05%
4.11%
EWT
HEWJ