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

Key characteristics


EWXEWT
YTD Return8.39%17.38%
1Y Return16.44%32.08%
3Y Return (Ann)2.61%4.12%
5Y Return (Ann)9.34%14.33%
10Y Return (Ann)5.41%10.91%
Sharpe Ratio1.121.50
Sortino Ratio1.552.04
Omega Ratio1.211.26
Calmar Ratio1.821.58
Martin Ratio5.767.15
Ulcer Index2.91%4.41%
Daily Std Dev14.87%21.05%
Max Drawdown-63.90%-64.26%
Current Drawdown-6.26%-5.01%

Correlation

-0.50.00.51.00.8

The correlation between EWX and EWT is 0.79, 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.

Performance

EWX vs. EWT - Performance Comparison

In the year-to-date period, EWX achieves a 8.39% return, which is significantly lower than EWT's 17.38% return. Over the past 10 years, EWX has underperformed EWT with an annualized return of 5.41%, while EWT has yielded a comparatively higher 10.91% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.97%
7.18%
EWX
EWT

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. EWT - Expense Ratio Comparison

EWX has a 0.65% expense ratio, which is higher than EWT's 0.59% 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 EWT: 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%

Risk-Adjusted Performance

EWX vs. EWT - 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 iShares MSCI Taiwan ETF (EWT). 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.


EWX
Sharpe ratio
The chart of Sharpe ratio for EWX, currently valued at 1.12, compared to the broader market-2.000.002.004.006.001.12
Sortino ratio
The chart of Sortino ratio for EWX, currently valued at 1.55, compared to the broader market-2.000.002.004.006.008.0010.0012.001.55
Omega ratio
The chart of Omega ratio for EWX, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for EWX, currently valued at 1.82, compared to the broader market0.005.0010.0015.001.82
Martin ratio
The chart of Martin ratio for EWX, currently valued at 5.76, compared to the broader market0.0020.0040.0060.0080.00100.005.76
EWT
Sharpe ratio
The chart of Sharpe ratio for EWT, currently valued at 1.50, compared to the broader market-2.000.002.004.006.001.50
Sortino ratio
The chart of Sortino ratio for EWT, currently valued at 2.04, compared to the broader market-2.000.002.004.006.008.0010.0012.002.04
Omega ratio
The chart of Omega ratio for EWT, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for EWT, currently valued at 1.58, compared to the broader market0.005.0010.0015.001.58
Martin ratio
The chart of Martin ratio for EWT, currently valued at 7.15, compared to the broader market0.0020.0040.0060.0080.00100.007.15

EWX vs. EWT - Sharpe Ratio Comparison

The current EWX Sharpe Ratio is 1.12, which is comparable to the EWT Sharpe Ratio of 1.50. The chart below compares the historical Sharpe Ratios of EWX and EWT, 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
1.12
1.50
EWX
EWT

Dividends

EWX vs. EWT - Dividend Comparison

EWX's dividend yield for the trailing twelve months is around 2.10%, less than EWT's 10.23% yield.


TTM20232022202120202019201820172016201520142013
EWX
SPDR S&P Emerging Markets Small Cap ETF
2.10%2.32%3.00%2.77%2.24%2.73%3.26%2.30%2.46%3.04%2.74%2.33%
EWT
iShares MSCI Taiwan ETF
10.23%12.01%18.82%2.64%1.83%2.49%3.16%2.81%2.39%3.12%1.93%1.82%

Drawdowns

EWX vs. EWT - Drawdown Comparison

The maximum EWX drawdown since its inception was -63.90%, roughly equal to the maximum EWT drawdown of -64.26%. Use the drawdown chart below to compare losses from any high point for EWX and EWT. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.26%
-5.01%
EWX
EWT

Volatility

EWX vs. EWT - Volatility Comparison

The current volatility for SPDR S&P Emerging Markets Small Cap ETF (EWX) is 5.14%, while iShares MSCI Taiwan ETF (EWT) has a volatility of 6.39%. This indicates that EWX experiences smaller price fluctuations and is considered to be less risky than EWT 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%JuneJulyAugustSeptemberOctoberNovember
5.14%
6.39%
EWX
EWT