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EWW vs. EIDO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWWEIDO
YTD Return-23.04%-1.92%
1Y Return-10.95%3.46%
3Y Return (Ann)4.15%-0.46%
5Y Return (Ann)5.16%-1.19%
10Y Return (Ann)-0.43%-0.40%
Sharpe Ratio-0.410.38
Sortino Ratio-0.410.65
Omega Ratio0.951.08
Calmar Ratio-0.370.18
Martin Ratio-0.710.94
Ulcer Index14.18%7.02%
Daily Std Dev24.46%17.22%
Max Drawdown-64.95%-63.21%
Current Drawdown-26.00%-26.63%

Correlation

-0.50.00.51.00.5

The correlation between EWW and EIDO is 0.55, 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

EWW vs. EIDO - Performance Comparison

In the year-to-date period, EWW achieves a -23.04% return, which is significantly lower than EIDO's -1.92% return. Over the past 10 years, EWW has underperformed EIDO with an annualized return of -0.43%, while EIDO has yielded a comparatively higher -0.40% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-22.52%
4.29%
EWW
EIDO

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EWW vs. EIDO - Expense Ratio Comparison

EWW has a 0.49% expense ratio, which is lower than EIDO's 0.59% expense ratio.


EIDO
iShares MSCI Indonesia ETF
Expense ratio chart for EIDO: 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 EWW: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

EWW vs. EIDO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Mexico ETF (EWW) and iShares MSCI Indonesia ETF (EIDO). 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.


EWW
Sharpe ratio
The chart of Sharpe ratio for EWW, currently valued at -0.41, compared to the broader market0.002.004.006.00-0.41
Sortino ratio
The chart of Sortino ratio for EWW, currently valued at -0.41, compared to the broader market0.005.0010.00-0.41
Omega ratio
The chart of Omega ratio for EWW, currently valued at 0.95, compared to the broader market1.001.502.002.503.003.500.95
Calmar ratio
The chart of Calmar ratio for EWW, currently valued at -0.37, compared to the broader market0.005.0010.0015.0020.00-0.37
Martin ratio
The chart of Martin ratio for EWW, currently valued at -0.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.71
EIDO
Sharpe ratio
The chart of Sharpe ratio for EIDO, currently valued at 0.38, compared to the broader market0.002.004.006.000.38
Sortino ratio
The chart of Sortino ratio for EIDO, currently valued at 0.65, compared to the broader market0.005.0010.000.65
Omega ratio
The chart of Omega ratio for EIDO, currently valued at 1.08, compared to the broader market1.001.502.002.503.003.501.08
Calmar ratio
The chart of Calmar ratio for EIDO, currently valued at 0.18, compared to the broader market0.005.0010.0015.0020.000.18
Martin ratio
The chart of Martin ratio for EIDO, currently valued at 0.94, compared to the broader market0.0020.0040.0060.0080.00100.00120.000.94

EWW vs. EIDO - Sharpe Ratio Comparison

The current EWW Sharpe Ratio is -0.41, which is lower than the EIDO Sharpe Ratio of 0.38. The chart below compares the historical Sharpe Ratios of EWW and EIDO, 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-1.00-0.500.000.50JuneJulyAugustSeptemberOctoberNovember
-0.41
0.38
EWW
EIDO

Dividends

EWW vs. EIDO - Dividend Comparison

EWW's dividend yield for the trailing twelve months is around 2.90%, less than EIDO's 3.97% yield.


TTM20232022202120202019201820172016201520142013
EWW
iShares MSCI Mexico ETF
2.90%2.19%3.63%2.06%1.42%2.91%2.29%2.21%1.76%2.31%1.22%1.93%
EIDO
iShares MSCI Indonesia ETF
3.97%2.94%2.53%1.33%1.51%1.78%1.99%1.26%1.16%1.67%1.32%2.03%

Drawdowns

EWW vs. EIDO - Drawdown Comparison

The maximum EWW drawdown since its inception was -64.95%, roughly equal to the maximum EIDO drawdown of -63.21%. Use the drawdown chart below to compare losses from any high point for EWW and EIDO. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-26.00%
-26.63%
EWW
EIDO

Volatility

EWW vs. EIDO - Volatility Comparison

iShares MSCI Mexico ETF (EWW) has a higher volatility of 4.17% compared to iShares MSCI Indonesia ETF (EIDO) at 3.96%. This indicates that EWW's price experiences larger fluctuations and is considered to be riskier than EIDO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
4.17%
3.96%
EWW
EIDO