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

Performance

EWU vs. VEA - Performance Comparison

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

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
-1.31%
-0.80%
EWU
VEA

Returns By Period

In the year-to-date period, EWU achieves a 7.79% return, which is significantly higher than VEA's 4.73% return. Over the past 10 years, EWU has underperformed VEA with an annualized return of 2.97%, while VEA has yielded a comparatively higher 5.23% annualized return.


EWU

YTD

7.79%

1M

-4.40%

6M

-1.31%

1Y

13.59%

5Y (annualized)

5.17%

10Y (annualized)

2.97%

VEA

YTD

4.73%

1M

-3.33%

6M

-0.80%

1Y

11.43%

5Y (annualized)

5.91%

10Y (annualized)

5.23%

Key characteristics


EWUVEA
Sharpe Ratio1.080.91
Sortino Ratio1.521.32
Omega Ratio1.181.16
Calmar Ratio1.561.36
Martin Ratio5.274.25
Ulcer Index2.50%2.74%
Daily Std Dev12.19%12.79%
Max Drawdown-63.99%-60.70%
Current Drawdown-7.22%-7.56%

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EWU vs. VEA - Expense Ratio Comparison

EWU has a 0.50% expense ratio, which is higher than VEA's 0.05% 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 VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.9

The correlation between EWU and VEA is 0.90, 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. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI United Kingdom ETF (EWU) and Vanguard FTSE Developed Markets ETF (VEA). 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 market0.002.004.001.080.91
The chart of Sortino ratio for EWU, currently valued at 1.52, compared to the broader market-2.000.002.004.006.008.0010.0012.001.521.32
The chart of Omega ratio for EWU, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.16
The chart of Calmar ratio for EWU, currently valued at 1.56, compared to the broader market0.005.0010.0015.001.561.36
The chart of Martin ratio for EWU, currently valued at 5.27, compared to the broader market0.0020.0040.0060.0080.00100.005.274.25
EWU
VEA

The current EWU Sharpe Ratio is 1.08, which is comparable to the VEA Sharpe Ratio of 0.91. The chart below compares the historical Sharpe Ratios of EWU and VEA, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.08
0.91
EWU
VEA

Dividends

EWU vs. VEA - Dividend Comparison

EWU's dividend yield for the trailing twelve months is around 4.09%, more than VEA's 3.05% 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%
VEA
Vanguard FTSE Developed Markets ETF
3.05%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

EWU vs. VEA - Drawdown Comparison

The maximum EWU drawdown since its inception was -63.99%, which is greater than VEA's maximum drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for EWU and VEA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.22%
-7.56%
EWU
VEA

Volatility

EWU vs. VEA - Volatility Comparison

iShares MSCI United Kingdom ETF (EWU) has a higher volatility of 3.83% compared to Vanguard FTSE Developed Markets ETF (VEA) at 3.54%. This indicates that EWU's price experiences larger fluctuations and is considered to be riskier than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.83%
3.54%
EWU
VEA