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

Key characteristics


EWWVOO
YTD Return-24.05%21.37%
1Y Return-12.12%33.27%
3Y Return (Ann)4.16%8.64%
5Y Return (Ann)5.12%15.10%
10Y Return (Ann)-0.53%12.97%
Sharpe Ratio-0.303.04
Sortino Ratio-0.254.03
Omega Ratio0.971.57
Calmar Ratio-0.274.39
Martin Ratio-0.5320.12
Ulcer Index14.08%1.84%
Daily Std Dev24.78%12.19%
Max Drawdown-64.95%-33.99%
Current Drawdown-26.97%-2.31%

Correlation

-0.50.00.51.00.6

The correlation between EWW and VOO is 0.60, 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. VOO - Performance Comparison

In the year-to-date period, EWW achieves a -24.05% return, which is significantly lower than VOO's 21.37% return. Over the past 10 years, EWW has underperformed VOO with an annualized return of -0.53%, while VOO has yielded a comparatively higher 12.97% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%100.00%200.00%300.00%400.00%500.00%600.00%JuneJulyAugustSeptemberOctoberNovember
34.80%
577.00%
EWW
VOO

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EWW vs. VOO - Expense Ratio Comparison

EWW has a 0.49% expense ratio, which is higher than VOO's 0.03% expense ratio.


EWW
iShares MSCI Mexico ETF
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%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

EWW vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Mexico ETF (EWW) and Vanguard S&P 500 ETF (VOO). 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 -0.30, compared to the broader market-2.000.002.004.006.00-0.30
Sortino ratio
The chart of Sortino ratio for EWW, currently valued at -0.24, compared to the broader market0.005.0010.00-0.25
Omega ratio
The chart of Omega ratio for EWW, currently valued at 0.97, compared to the broader market1.001.502.002.503.003.500.97
Calmar ratio
The chart of Calmar ratio for EWW, currently valued at -0.27, compared to the broader market0.005.0010.0015.0020.00-0.27
Martin ratio
The chart of Martin ratio for EWW, currently valued at -0.53, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.53
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.03, compared to the broader market0.005.0010.004.03
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.57, compared to the broader market1.001.502.002.503.003.501.57
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.39, compared to the broader market0.005.0010.0015.0020.004.39
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.12, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.12

EWW vs. VOO - Sharpe Ratio Comparison

The current EWW Sharpe Ratio is -0.30, which is lower than the VOO Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of EWW and VOO, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.30
3.04
EWW
VOO

Dividends

EWW vs. VOO - Dividend Comparison

EWW's dividend yield for the trailing twelve months is around 2.94%, more than VOO's 1.29% yield.


TTM20232022202120202019201820172016201520142013
EWW
iShares MSCI Mexico ETF
2.94%2.19%3.63%2.06%1.42%2.91%2.29%2.21%1.76%2.31%1.22%1.93%
VOO
Vanguard S&P 500 ETF
1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

EWW vs. VOO - Drawdown Comparison

The maximum EWW drawdown since its inception was -64.95%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for EWW and VOO. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-26.97%
-2.31%
EWW
VOO

Volatility

EWW vs. VOO - Volatility Comparison

iShares MSCI Mexico ETF (EWW) has a higher volatility of 4.96% compared to Vanguard S&P 500 ETF (VOO) at 3.28%. This indicates that EWW's price experiences larger fluctuations and is considered to be riskier than VOO 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
4.96%
3.28%
EWW
VOO