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

Performance

EWX vs. EYLD - 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 Cambria Emerging Shareholder Yield ETF (EYLD). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.10%
-5.82%
EWX
EYLD

Returns By Period

In the year-to-date period, EWX achieves a 7.18% return, which is significantly lower than EYLD's 8.54% return.


EWX

YTD

7.18%

1M

-2.33%

6M

3.11%

1Y

10.30%

5Y (annualized)

9.05%

10Y (annualized)

5.16%

EYLD

YTD

8.54%

1M

-3.50%

6M

-5.82%

1Y

13.33%

5Y (annualized)

6.83%

10Y (annualized)

N/A

Key characteristics


EWXEYLD
Sharpe Ratio0.810.97
Sortino Ratio1.151.40
Omega Ratio1.151.17
Calmar Ratio1.301.29
Martin Ratio3.854.43
Ulcer Index3.10%3.31%
Daily Std Dev14.78%15.08%
Max Drawdown-63.90%-41.82%
Current Drawdown-7.31%-7.15%

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. EYLD - Expense Ratio Comparison

Both EWX and EYLD have an expense ratio of 0.65%.


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 EYLD: 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%

Correlation

-0.50.00.51.00.7

The correlation between EWX and EYLD is 0.69, 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

EWX vs. EYLD - 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 Cambria Emerging Shareholder Yield ETF (EYLD). 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 0.81, compared to the broader market0.002.004.006.000.810.97
The chart of Sortino ratio for EWX, currently valued at 1.15, compared to the broader market-2.000.002.004.006.008.0010.0012.001.151.40
The chart of Omega ratio for EWX, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.17
The chart of Calmar ratio for EWX, currently valued at 1.30, compared to the broader market0.005.0010.0015.001.301.29
The chart of Martin ratio for EWX, currently valued at 3.85, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.854.43
EWX
EYLD

The current EWX Sharpe Ratio is 0.81, which is comparable to the EYLD Sharpe Ratio of 0.97. The chart below compares the historical Sharpe Ratios of EWX and EYLD, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.81
0.97
EWX
EYLD

Dividends

EWX vs. EYLD - Dividend Comparison

EWX's dividend yield for the trailing twelve months is around 2.12%, less than EYLD's 3.92% 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%
EYLD
Cambria Emerging Shareholder Yield ETF
3.92%5.54%6.97%7.27%3.01%4.21%7.86%2.77%0.75%0.00%0.00%0.00%

Drawdowns

EWX vs. EYLD - Drawdown Comparison

The maximum EWX drawdown since its inception was -63.90%, which is greater than EYLD's maximum drawdown of -41.82%. Use the drawdown chart below to compare losses from any high point for EWX and EYLD. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.31%
-7.15%
EWX
EYLD

Volatility

EWX vs. EYLD - Volatility Comparison

SPDR S&P Emerging Markets Small Cap ETF (EWX) and Cambria Emerging Shareholder Yield ETF (EYLD) have volatilities of 4.69% and 4.58%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.69%
4.58%
EWX
EYLD