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

Performance

EWX vs. VWO - 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 Vanguard FTSE Emerging Markets ETF (VWO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.18%
3.34%
EWX
VWO

Returns By Period

In the year-to-date period, EWX achieves a 7.18% return, which is significantly lower than VWO's 11.74% return. Over the past 10 years, EWX has outperformed VWO with an annualized return of 5.16%, while VWO has yielded a comparatively lower 3.37% annualized return.


EWX

YTD

7.18%

1M

-2.33%

6M

3.11%

1Y

10.30%

5Y (annualized)

9.05%

10Y (annualized)

5.16%

VWO

YTD

11.74%

1M

-4.73%

6M

3.04%

1Y

14.92%

5Y (annualized)

4.46%

10Y (annualized)

3.37%

Key characteristics


EWXVWO
Sharpe Ratio0.811.09
Sortino Ratio1.151.61
Omega Ratio1.151.20
Calmar Ratio1.300.69
Martin Ratio3.855.50
Ulcer Index3.10%2.94%
Daily Std Dev14.78%14.77%
Max Drawdown-63.90%-67.68%
Current Drawdown-7.31%-10.06%

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EWX vs. VWO - Expense Ratio Comparison

EWX has a 0.65% expense ratio, which is higher than VWO's 0.08% 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 VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.00.9

The correlation between EWX and VWO is 0.89, 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. VWO - 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 Vanguard FTSE Emerging Markets ETF (VWO). 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 market0.002.004.006.000.811.09
The chart of Sortino ratio for EWX, currently valued at 1.15, compared to the broader market-2.000.002.004.006.008.0010.0012.001.151.61
The chart of Omega ratio for EWX, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.20
The chart of Calmar ratio for EWX, currently valued at 1.30, compared to the broader market0.005.0010.0015.001.300.69
The chart of Martin ratio for EWX, currently valued at 3.85, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.855.50
EWX
VWO

The current EWX Sharpe Ratio is 0.81, which is comparable to the VWO Sharpe Ratio of 1.09. The chart below compares the historical Sharpe Ratios of EWX and VWO, 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
0.81
1.09
EWX
VWO

Dividends

EWX vs. VWO - Dividend Comparison

EWX's dividend yield for the trailing twelve months is around 2.12%, less than VWO's 2.65% 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%
VWO
Vanguard FTSE Emerging Markets ETF
2.65%3.52%4.11%2.63%1.91%3.24%2.88%2.30%2.52%3.26%2.86%2.73%

Drawdowns

EWX vs. VWO - Drawdown Comparison

The maximum EWX drawdown since its inception was -63.90%, smaller than the maximum VWO drawdown of -67.68%. Use the drawdown chart below to compare losses from any high point for EWX and VWO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.31%
-10.06%
EWX
VWO

Volatility

EWX vs. VWO - Volatility Comparison

SPDR S&P Emerging Markets Small Cap ETF (EWX) and Vanguard FTSE Emerging Markets ETF (VWO) have volatilities of 4.69% and 4.49%, 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%JuneJulyAugustSeptemberOctoberNovember
4.69%
4.49%
EWX
VWO