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

Key characteristics


EWWKSA
YTD Return-23.04%0.78%
1Y Return-10.95%10.19%
3Y Return (Ann)4.15%1.23%
5Y Return (Ann)5.16%9.85%
Sharpe Ratio-0.410.84
Sortino Ratio-0.411.23
Omega Ratio0.951.16
Calmar Ratio-0.370.50
Martin Ratio-0.712.21
Ulcer Index14.18%5.05%
Daily Std Dev24.46%13.36%
Max Drawdown-64.95%-40.56%
Current Drawdown-26.00%-12.71%

Correlation

-0.50.00.51.00.3

The correlation between EWW and KSA is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

EWW vs. KSA - Performance Comparison

In the year-to-date period, EWW achieves a -23.04% return, which is significantly lower than KSA's 0.78% 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%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-22.52%
-1.61%
EWW
KSA

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EWW vs. KSA - Expense Ratio Comparison

EWW has a 0.49% expense ratio, which is lower than KSA's 0.74% expense ratio.


KSA
iShares MSCI Saudi Arabia ETF
Expense ratio chart for KSA: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%
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. KSA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Mexico ETF (EWW) and iShares MSCI Saudi Arabia ETF (KSA). 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
KSA
Sharpe ratio
The chart of Sharpe ratio for KSA, currently valued at 0.84, compared to the broader market0.002.004.006.000.84
Sortino ratio
The chart of Sortino ratio for KSA, currently valued at 1.23, compared to the broader market0.005.0010.001.23
Omega ratio
The chart of Omega ratio for KSA, currently valued at 1.16, compared to the broader market1.001.502.002.503.003.501.16
Calmar ratio
The chart of Calmar ratio for KSA, currently valued at 0.50, compared to the broader market0.005.0010.0015.0020.000.50
Martin ratio
The chart of Martin ratio for KSA, currently valued at 2.21, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.21

EWW vs. KSA - Sharpe Ratio Comparison

The current EWW Sharpe Ratio is -0.41, which is lower than the KSA Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of EWW and KSA, 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-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
-0.41
0.84
EWW
KSA

Dividends

EWW vs. KSA - Dividend Comparison

EWW's dividend yield for the trailing twelve months is around 2.90%, more than KSA's 2.75% 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%
KSA
iShares MSCI Saudi Arabia ETF
2.75%2.44%1.93%1.58%1.76%2.15%2.51%2.30%3.05%0.04%0.00%0.00%

Drawdowns

EWW vs. KSA - Drawdown Comparison

The maximum EWW drawdown since its inception was -64.95%, which is greater than KSA's maximum drawdown of -40.56%. Use the drawdown chart below to compare losses from any high point for EWW and KSA. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-26.00%
-12.71%
EWW
KSA

Volatility

EWW vs. KSA - Volatility Comparison

iShares MSCI Mexico ETF (EWW) has a higher volatility of 4.17% compared to iShares MSCI Saudi Arabia ETF (KSA) at 2.96%. This indicates that EWW's price experiences larger fluctuations and is considered to be riskier than KSA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
4.17%
2.96%
EWW
KSA