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EWX vs. FM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWXFM
YTD Return8.39%7.06%
1Y Return16.44%9.94%
3Y Return (Ann)2.61%-5.96%
5Y Return (Ann)9.34%2.08%
10Y Return (Ann)5.41%1.29%
Sharpe Ratio1.121.09
Sortino Ratio1.551.53
Omega Ratio1.211.23
Calmar Ratio1.820.39
Martin Ratio5.764.55
Ulcer Index2.91%2.15%
Daily Std Dev14.87%8.94%
Max Drawdown-63.90%-41.63%
Current Drawdown-6.26%-17.22%

Correlation

-0.50.00.51.00.5

The correlation between EWX and FM is 0.52, 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

EWX vs. FM - Performance Comparison

In the year-to-date period, EWX achieves a 8.39% return, which is significantly higher than FM's 7.06% return. Over the past 10 years, EWX has outperformed FM with an annualized return of 5.41%, while FM has yielded a comparatively lower 1.29% 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%
-0.30%
EWX
FM

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EWX vs. FM - Expense Ratio Comparison

EWX has a 0.65% expense ratio, which is lower than FM's 0.79% expense ratio.


FM
iShares MSCI Frontier 100 ETF
Expense ratio chart for FM: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
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%

Risk-Adjusted Performance

EWX vs. FM - 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 Frontier 100 ETF (FM). 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
FM
Sharpe ratio
The chart of Sharpe ratio for FM, currently valued at 1.09, compared to the broader market-2.000.002.004.006.001.09
Sortino ratio
The chart of Sortino ratio for FM, currently valued at 1.53, compared to the broader market-2.000.002.004.006.008.0010.0012.001.53
Omega ratio
The chart of Omega ratio for FM, currently valued at 1.23, compared to the broader market1.001.502.002.503.001.23
Calmar ratio
The chart of Calmar ratio for FM, currently valued at 0.39, compared to the broader market0.005.0010.0015.000.39
Martin ratio
The chart of Martin ratio for FM, currently valued at 4.55, compared to the broader market0.0020.0040.0060.0080.00100.004.55

EWX vs. FM - Sharpe Ratio Comparison

The current EWX Sharpe Ratio is 1.12, which is comparable to the FM Sharpe Ratio of 1.09. The chart below compares the historical Sharpe Ratios of EWX and FM, 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
1.09
EWX
FM

Dividends

EWX vs. FM - Dividend Comparison

EWX's dividend yield for the trailing twelve months is around 2.10%, less than FM's 4.16% 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%
FM
iShares MSCI Frontier 100 ETF
4.16%3.62%2.70%2.04%2.91%3.13%4.29%2.04%2.15%2.76%12.35%1.11%

Drawdowns

EWX vs. FM - Drawdown Comparison

The maximum EWX drawdown since its inception was -63.90%, which is greater than FM's maximum drawdown of -41.63%. Use the drawdown chart below to compare losses from any high point for EWX and FM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.26%
-17.22%
EWX
FM

Volatility

EWX vs. FM - Volatility Comparison

SPDR S&P Emerging Markets Small Cap ETF (EWX) has a higher volatility of 5.14% compared to iShares MSCI Frontier 100 ETF (FM) at 0.79%. This indicates that EWX's price experiences larger fluctuations and is considered to be riskier than FM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
5.14%
0.79%
EWX
FM