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

Performance

EWU vs. MCHI - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
-1.31%
6.10%
EWU
MCHI

Returns By Period

In the year-to-date period, EWU achieves a 7.79% return, which is significantly lower than MCHI's 17.32% return. Over the past 10 years, EWU has outperformed MCHI with an annualized return of 2.97%, while MCHI has yielded a comparatively lower 1.41% annualized return.


EWU

YTD

7.79%

1M

-4.40%

6M

-1.31%

1Y

13.59%

5Y (annualized)

5.17%

10Y (annualized)

2.97%

MCHI

YTD

17.32%

1M

-5.54%

6M

6.10%

1Y

12.77%

5Y (annualized)

-2.65%

10Y (annualized)

1.41%

Key characteristics


EWUMCHI
Sharpe Ratio1.080.41
Sortino Ratio1.520.82
Omega Ratio1.181.10
Calmar Ratio1.560.21
Martin Ratio5.271.25
Ulcer Index2.50%10.13%
Daily Std Dev12.19%30.90%
Max Drawdown-63.99%-62.84%
Current Drawdown-7.22%-47.60%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for EWU, currently valued at 1.08, compared to the broader market0.002.004.001.080.41
The chart of Sortino ratio for EWU, currently valued at 1.52, compared to the broader market-2.000.002.004.006.008.0010.0012.001.520.82
The chart of Omega ratio for EWU, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.10
The chart of Calmar ratio for EWU, currently valued at 1.56, compared to the broader market0.005.0010.0015.001.560.21
The chart of Martin ratio for EWU, currently valued at 5.27, compared to the broader market0.0020.0040.0060.0080.00100.005.271.25
EWU
MCHI

The current EWU Sharpe Ratio is 1.08, which is higher than the MCHI Sharpe Ratio of 0.41. 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
1.08
0.41
EWU
MCHI

Dividends

EWU vs. MCHI - Dividend Comparison

EWU's dividend yield for the trailing twelve months is around 4.09%, more than MCHI's 2.49% 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%
MCHI
iShares MSCI China ETF
2.49%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
-7.22%
-47.60%
EWU
MCHI

Volatility

EWU vs. MCHI - Volatility Comparison

The current volatility for iShares MSCI United Kingdom ETF (EWU) is 3.83%, while iShares MSCI China ETF (MCHI) has a volatility of 9.85%. 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
3.83%
9.85%
EWU
MCHI