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

Key characteristics


EWUMCHI
YTD Return9.95%22.40%
1Y Return19.36%17.62%
3Y Return (Ann)6.27%-7.82%
5Y Return (Ann)5.59%-2.38%
10Y Return (Ann)3.32%2.00%
Sharpe Ratio1.520.58
Sortino Ratio2.121.05
Omega Ratio1.261.13
Calmar Ratio2.440.29
Martin Ratio9.391.69
Ulcer Index1.97%10.29%
Daily Std Dev12.10%30.24%
Max Drawdown-63.99%-62.84%
Current Drawdown-5.36%-45.33%

Correlation

-0.50.00.51.00.6

The correlation between EWU and MCHI is 0.58, 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

EWU vs. MCHI - Performance Comparison

In the year-to-date period, EWU achieves a 9.95% return, which is significantly lower than MCHI's 22.40% return. Over the past 10 years, EWU has outperformed MCHI with an annualized return of 3.32%, while MCHI has yielded a comparatively lower 2.00% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
1.62%
13.48%
EWU
MCHI

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EWU vs. MCHI - Expense Ratio Comparison

EWU has a 0.50% expense ratio, which is lower than MCHI's 0.59% expense ratio.


MCHI
iShares MSCI China ETF
Expense ratio chart for MCHI: 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 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%

Risk-Adjusted Performance

EWU vs. MCHI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI United Kingdom ETF (EWU) and iShares MSCI China ETF (MCHI). 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.


EWU
Sharpe ratio
The chart of Sharpe ratio for EWU, currently valued at 1.52, compared to the broader market-2.000.002.004.006.001.52
Sortino ratio
The chart of Sortino ratio for EWU, currently valued at 2.12, compared to the broader market0.005.0010.002.12
Omega ratio
The chart of Omega ratio for EWU, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for EWU, currently valued at 2.44, compared to the broader market0.005.0010.0015.002.44
Martin ratio
The chart of Martin ratio for EWU, currently valued at 9.39, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.39
MCHI
Sharpe ratio
The chart of Sharpe ratio for MCHI, currently valued at 0.58, compared to the broader market-2.000.002.004.006.000.58
Sortino ratio
The chart of Sortino ratio for MCHI, currently valued at 1.05, compared to the broader market0.005.0010.001.05
Omega ratio
The chart of Omega ratio for MCHI, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.13
Calmar ratio
The chart of Calmar ratio for MCHI, currently valued at 0.29, compared to the broader market0.005.0010.0015.000.29
Martin ratio
The chart of Martin ratio for MCHI, currently valued at 1.69, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.69

EWU vs. MCHI - Sharpe Ratio Comparison

The current EWU Sharpe Ratio is 1.52, which is higher than the MCHI Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of EWU and MCHI, 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 Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.52
0.58
EWU
MCHI

Dividends

EWU vs. MCHI - Dividend Comparison

EWU's dividend yield for the trailing twelve months is around 4.01%, more than MCHI's 2.39% yield.


TTM20232022202120202019201820172016201520142013
EWU
iShares MSCI United Kingdom ETF
4.01%4.14%3.42%4.35%2.48%4.13%4.98%3.91%3.97%4.11%7.59%2.39%
MCHI
iShares MSCI China ETF
2.39%3.49%2.16%1.04%1.04%1.45%1.60%1.56%1.66%2.76%2.35%2.37%

Drawdowns

EWU vs. MCHI - Drawdown Comparison

The maximum EWU drawdown since its inception was -63.99%, roughly equal to the maximum MCHI drawdown of -62.84%. Use the drawdown chart below to compare losses from any high point for EWU and MCHI. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.36%
-45.33%
EWU
MCHI

Volatility

EWU vs. MCHI - Volatility Comparison

The current volatility for iShares MSCI United Kingdom ETF (EWU) is 3.19%, while iShares MSCI China ETF (MCHI) has a volatility of 9.35%. This indicates that EWU experiences smaller price fluctuations and is considered to be less risky than MCHI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
3.19%
9.35%
EWU
MCHI