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

Performance

EWW vs. EWZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Mexico ETF (EWW) and iShares MSCI Brazil ETF (EWZ). The values are adjusted to include any dividend payments, if applicable.

-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-24.78%
-9.11%
EWW
EWZ

Returns By Period

In the year-to-date period, EWW achieves a -25.27% return, which is significantly lower than EWZ's -19.75% return. Over the past 10 years, EWW has underperformed EWZ with an annualized return of -0.69%, while EWZ has yielded a comparatively higher -0.25% annualized return.


EWW

YTD

-25.27%

1M

-6.02%

6M

-24.78%

1Y

-17.04%

5Y (annualized)

4.83%

10Y (annualized)

-0.69%

EWZ

YTD

-19.75%

1M

-3.59%

6M

-9.11%

1Y

-14.02%

5Y (annualized)

-2.61%

10Y (annualized)

-0.25%

Key characteristics


EWWEWZ
Sharpe Ratio-0.74-0.74
Sortino Ratio-0.89-0.96
Omega Ratio0.880.89
Calmar Ratio-0.64-0.32
Martin Ratio-1.18-1.17
Ulcer Index15.33%12.78%
Daily Std Dev24.30%20.17%
Max Drawdown-64.95%-77.27%
Current Drawdown-28.15%-46.07%

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EWW vs. EWZ - Expense Ratio Comparison

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


EWZ
iShares MSCI Brazil ETF
Expense ratio chart for EWZ: 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%

Correlation

-0.50.00.51.00.6

The correlation between EWW and EWZ is 0.61, 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

EWW vs. EWZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Mexico ETF (EWW) and iShares MSCI Brazil ETF (EWZ). 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 EWW, currently valued at -0.74, compared to the broader market0.002.004.006.00-0.74-0.74
The chart of Sortino ratio for EWW, currently valued at -0.89, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.89-0.96
The chart of Omega ratio for EWW, currently valued at 0.88, compared to the broader market0.501.001.502.002.503.000.880.89
The chart of Calmar ratio for EWW, currently valued at -0.64, compared to the broader market0.005.0010.0015.00-0.64-0.32
The chart of Martin ratio for EWW, currently valued at -1.18, compared to the broader market0.0020.0040.0060.0080.00100.00-1.18-1.17
EWW
EWZ

The current EWW Sharpe Ratio is -0.74, which is comparable to the EWZ Sharpe Ratio of -0.74. The chart below compares the historical Sharpe Ratios of EWW and EWZ, 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-0.500.000.50JuneJulyAugustSeptemberOctoberNovember
-0.74
-0.74
EWW
EWZ

Dividends

EWW vs. EWZ - Dividend Comparison

EWW's dividend yield for the trailing twelve months is around 2.99%, less than EWZ's 7.86% yield.


TTM20232022202120202019201820172016201520142013
EWW
iShares MSCI Mexico ETF
2.99%2.19%3.64%2.06%1.43%2.92%2.30%2.22%1.77%2.34%1.23%1.96%
EWZ
iShares MSCI Brazil ETF
7.86%5.66%12.59%9.87%1.71%2.54%2.89%1.71%1.81%4.08%3.78%3.23%

Drawdowns

EWW vs. EWZ - Drawdown Comparison

The maximum EWW drawdown since its inception was -64.95%, smaller than the maximum EWZ drawdown of -77.27%. Use the drawdown chart below to compare losses from any high point for EWW and EWZ. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-28.15%
-46.07%
EWW
EWZ

Volatility

EWW vs. EWZ - Volatility Comparison

iShares MSCI Mexico ETF (EWW) and iShares MSCI Brazil ETF (EWZ) have volatilities of 5.64% and 5.61%, 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.


4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
5.64%
5.61%
EWW
EWZ