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EWU vs. FLGB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EWU vs. FLGB - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI United Kingdom ETF (EWU) and Franklin FTSE United Kingdom ETF (FLGB). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
-1.31%
0.64%
EWU
FLGB

Returns By Period

In the year-to-date period, EWU achieves a 7.79% return, which is significantly lower than FLGB's 9.78% return.


EWU

YTD

7.79%

1M

-4.40%

6M

-1.31%

1Y

13.59%

5Y (annualized)

5.17%

10Y (annualized)

2.97%

FLGB

YTD

9.78%

1M

-3.61%

6M

0.64%

1Y

16.06%

5Y (annualized)

5.93%

10Y (annualized)

N/A

Key characteristics


EWUFLGB
Sharpe Ratio1.081.29
Sortino Ratio1.521.82
Omega Ratio1.181.22
Calmar Ratio1.562.13
Martin Ratio5.276.66
Ulcer Index2.50%2.37%
Daily Std Dev12.19%12.18%
Max Drawdown-63.99%-42.61%
Current Drawdown-7.22%-6.26%

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EWU vs. FLGB - Expense Ratio Comparison

EWU has a 0.50% expense ratio, which is higher than FLGB's 0.09% expense ratio.


EWU
iShares MSCI United Kingdom ETF
Expense ratio chart for EWU: 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 FLGB: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.00.9

The correlation between EWU and FLGB is 0.94, 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

EWU vs. FLGB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI United Kingdom ETF (EWU) and Franklin FTSE United Kingdom ETF (FLGB). 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 EWU, currently valued at 1.08, compared to the broader market0.002.004.001.081.29
The chart of Sortino ratio for EWU, currently valued at 1.52, compared to the broader market-2.000.002.004.006.008.0010.0012.001.521.82
The chart of Omega ratio for EWU, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.22
The chart of Calmar ratio for EWU, currently valued at 1.56, compared to the broader market0.005.0010.0015.001.562.13
The chart of Martin ratio for EWU, currently valued at 5.27, compared to the broader market0.0020.0040.0060.0080.00100.005.276.66
EWU
FLGB

The current EWU Sharpe Ratio is 1.08, which is comparable to the FLGB Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of EWU and FLGB, 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 Ratio1.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.08
1.29
EWU
FLGB

Dividends

EWU vs. FLGB - Dividend Comparison

EWU's dividend yield for the trailing twelve months is around 4.09%, less than FLGB's 4.27% yield.


TTM20232022202120202019201820172016201520142013
EWU
iShares MSCI United Kingdom ETF
4.09%4.14%3.42%4.35%2.48%4.13%4.98%3.91%3.97%4.11%7.59%2.39%
FLGB
Franklin FTSE United Kingdom ETF
4.27%3.95%4.24%2.93%2.67%4.30%3.92%0.44%0.00%0.00%0.00%0.00%

Drawdowns

EWU vs. FLGB - Drawdown Comparison

The maximum EWU drawdown since its inception was -63.99%, which is greater than FLGB's maximum drawdown of -42.61%. Use the drawdown chart below to compare losses from any high point for EWU and FLGB. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.22%
-6.26%
EWU
FLGB

Volatility

EWU vs. FLGB - Volatility Comparison

iShares MSCI United Kingdom ETF (EWU) and Franklin FTSE United Kingdom ETF (FLGB) have volatilities of 3.83% and 3.71%, 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.


3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
3.83%
3.71%
EWU
FLGB