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

Performance

EWU vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI United Kingdom ETF (EWU) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-1.32%
13.58%
EWU
SPY

Returns By Period

In the year-to-date period, EWU achieves a 7.79% return, which is significantly lower than SPY's 26.08% return. Over the past 10 years, EWU has underperformed SPY with an annualized return of 2.97%, while SPY has yielded a comparatively higher 13.10% annualized return.


EWU

YTD

7.79%

1M

-4.40%

6M

-1.31%

1Y

13.59%

5Y (annualized)

5.17%

10Y (annualized)

2.97%

SPY

YTD

26.08%

1M

1.77%

6M

13.59%

1Y

32.24%

5Y (annualized)

15.62%

10Y (annualized)

13.10%

Key characteristics


EWUSPY
Sharpe Ratio1.082.70
Sortino Ratio1.523.60
Omega Ratio1.181.50
Calmar Ratio1.563.90
Martin Ratio5.2717.52
Ulcer Index2.50%1.87%
Daily Std Dev12.19%12.14%
Max Drawdown-63.99%-55.19%
Current Drawdown-7.22%-0.85%

Compare stocks, funds, or ETFs

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


EWU vs. SPY - Expense Ratio Comparison

EWU has a 0.50% expense ratio, which is higher than SPY'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 SPY: 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

-0.50.00.51.00.6

The correlation between EWU and SPY is 0.65, 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. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI United Kingdom ETF (EWU) and SPDR S&P 500 ETF (SPY). 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 market0.002.004.001.082.70
The chart of Sortino ratio for EWU, currently valued at 1.52, compared to the broader market-2.000.002.004.006.008.0010.0012.001.523.60
The chart of Omega ratio for EWU, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.50
The chart of Calmar ratio for EWU, currently valued at 1.56, compared to the broader market0.005.0010.0015.001.563.90
The chart of Martin ratio for EWU, currently valued at 5.27, compared to the broader market0.0020.0040.0060.0080.00100.005.2717.52
EWU
SPY

The current EWU Sharpe Ratio is 1.08, which is lower than the SPY Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of EWU and SPY, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.08
2.70
EWU
SPY

Dividends

EWU vs. SPY - Dividend Comparison

EWU's dividend yield for the trailing twelve months is around 4.09%, more than SPY's 1.18% 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%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

EWU vs. SPY - Drawdown Comparison

The maximum EWU drawdown since its inception was -63.99%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EWU and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.22%
-0.85%
EWU
SPY

Volatility

EWU vs. SPY - Volatility Comparison

iShares MSCI United Kingdom ETF (EWU) and SPDR S&P 500 ETF (SPY) have volatilities of 3.83% and 3.98%, 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.83%
3.98%
EWU
SPY