PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EWX vs. DEM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EWX vs. DEM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P Emerging Markets Small Cap ETF (EWX) and WisdomTree Emerging Markets Equity Income Fund (DEM). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.82%
-2.19%
EWX
DEM

Returns By Period

In the year-to-date period, EWX achieves a 7.53% return, which is significantly higher than DEM's 6.29% return. Over the past 10 years, EWX has outperformed DEM with an annualized return of 5.29%, while DEM has yielded a comparatively lower 3.99% annualized return.


EWX

YTD

7.53%

1M

-1.54%

6M

4.82%

1Y

11.54%

5Y (annualized)

9.20%

10Y (annualized)

5.29%

DEM

YTD

6.29%

1M

-4.30%

6M

-2.19%

1Y

11.77%

5Y (annualized)

5.14%

10Y (annualized)

3.99%

Key characteristics


EWXDEM
Sharpe Ratio0.750.78
Sortino Ratio1.081.16
Omega Ratio1.141.15
Calmar Ratio1.201.20
Martin Ratio3.503.47
Ulcer Index3.16%3.28%
Daily Std Dev14.71%14.56%
Max Drawdown-63.90%-51.85%
Current Drawdown-7.00%-8.24%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EWX vs. DEM - Expense Ratio Comparison

EWX has a 0.65% expense ratio, which is higher than DEM's 0.63% expense ratio.


EWX
SPDR S&P Emerging Markets Small Cap ETF
Expense ratio chart for EWX: current value at 0.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.65%
Expense ratio chart for DEM: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%

Correlation

-0.50.00.51.00.9

The correlation between EWX and DEM is 0.86, 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

EWX vs. DEM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Emerging Markets Small Cap ETF (EWX) and WisdomTree Emerging Markets Equity Income Fund (DEM). 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 EWX, currently valued at 0.75, compared to the broader market0.002.004.000.750.78
The chart of Sortino ratio for EWX, currently valued at 1.08, compared to the broader market-2.000.002.004.006.008.0010.0012.001.081.16
The chart of Omega ratio for EWX, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.15
The chart of Calmar ratio for EWX, currently valued at 1.20, compared to the broader market0.005.0010.0015.001.201.20
The chart of Martin ratio for EWX, currently valued at 3.50, compared to the broader market0.0020.0040.0060.0080.00100.003.503.47
EWX
DEM

The current EWX Sharpe Ratio is 0.75, which is comparable to the DEM Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of EWX and DEM, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.75
0.78
EWX
DEM

Dividends

EWX vs. DEM - Dividend Comparison

EWX's dividend yield for the trailing twelve months is around 2.12%, less than DEM's 5.40% yield.


TTM20232022202120202019201820172016201520142013
EWX
SPDR S&P Emerging Markets Small Cap ETF
2.12%2.32%3.00%2.77%2.24%2.73%3.26%2.30%2.46%3.04%2.74%2.33%
DEM
WisdomTree Emerging Markets Equity Income Fund
5.40%5.49%8.62%5.87%4.21%4.78%4.47%3.67%3.63%5.21%5.51%4.10%

Drawdowns

EWX vs. DEM - Drawdown Comparison

The maximum EWX drawdown since its inception was -63.90%, which is greater than DEM's maximum drawdown of -51.85%. Use the drawdown chart below to compare losses from any high point for EWX and DEM. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.00%
-8.24%
EWX
DEM

Volatility

EWX vs. DEM - Volatility Comparison

SPDR S&P Emerging Markets Small Cap ETF (EWX) has a higher volatility of 4.69% compared to WisdomTree Emerging Markets Equity Income Fund (DEM) at 4.45%. This indicates that EWX's price experiences larger fluctuations and is considered to be riskier than DEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.69%
4.45%
EWX
DEM