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

Performance

EWY vs. EPP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI South Korea ETF (EWY) and iShares MSCI Pacific ex Japan ETF (EPP). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-11.29%
6.90%
EWY
EPP

Returns By Period

In the year-to-date period, EWY achieves a -12.21% return, which is significantly lower than EPP's 10.52% return. Over the past 10 years, EWY has underperformed EPP with an annualized return of 1.94%, while EPP has yielded a comparatively higher 4.15% annualized return.


EWY

YTD

-12.21%

1M

-7.31%

6M

-11.29%

1Y

-7.05%

5Y (annualized)

1.29%

10Y (annualized)

1.94%

EPP

YTD

10.52%

1M

-1.50%

6M

6.90%

1Y

19.03%

5Y (annualized)

4.55%

10Y (annualized)

4.15%

Key characteristics


EWYEPP
Sharpe Ratio-0.231.28
Sortino Ratio-0.171.85
Omega Ratio0.981.22
Calmar Ratio-0.131.18
Martin Ratio-0.756.17
Ulcer Index6.90%3.23%
Daily Std Dev22.56%15.57%
Max Drawdown-74.14%-66.01%
Current Drawdown-36.59%-3.99%

Compare stocks, funds, or ETFs

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


EWY vs. EPP - Expense Ratio Comparison

EWY has a 0.59% expense ratio, which is higher than EPP's 0.48% expense ratio.


EWY
iShares MSCI South Korea ETF
Expense ratio chart for EWY: 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%
Expense ratio chart for EPP: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%

Correlation

-0.50.00.51.00.7

The correlation between EWY and EPP is 0.70, 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

EWY vs. EPP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Korea ETF (EWY) and iShares MSCI Pacific ex Japan ETF (EPP). 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 EWY, currently valued at -0.23, compared to the broader market0.002.004.00-0.231.28
The chart of Sortino ratio for EWY, currently valued at -0.17, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.171.85
The chart of Omega ratio for EWY, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.000.981.22
The chart of Calmar ratio for EWY, currently valued at -0.13, compared to the broader market0.005.0010.0015.00-0.131.18
The chart of Martin ratio for EWY, currently valued at -0.75, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.756.17
EWY
EPP

The current EWY Sharpe Ratio is -0.23, which is lower than the EPP Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of EWY and EPP, 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
-0.23
1.28
EWY
EPP

Dividends

EWY vs. EPP - Dividend Comparison

EWY's dividend yield for the trailing twelve months is around 2.87%, less than EPP's 3.53% yield.


TTM20232022202120202019201820172016201520142013
EWY
iShares MSCI South Korea ETF
2.87%2.52%1.23%2.16%0.73%2.10%1.34%2.90%1.21%2.42%1.20%1.39%
EPP
iShares MSCI Pacific ex Japan ETF
3.53%4.10%4.37%4.57%2.28%3.88%5.00%4.15%3.96%4.89%4.33%4.08%

Drawdowns

EWY vs. EPP - Drawdown Comparison

The maximum EWY drawdown since its inception was -74.14%, which is greater than EPP's maximum drawdown of -66.01%. Use the drawdown chart below to compare losses from any high point for EWY and EPP. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-36.59%
-3.99%
EWY
EPP

Volatility

EWY vs. EPP - Volatility Comparison

iShares MSCI South Korea ETF (EWY) has a higher volatility of 7.06% compared to iShares MSCI Pacific ex Japan ETF (EPP) at 4.84%. This indicates that EWY's price experiences larger fluctuations and is considered to be riskier than EPP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.06%
4.84%
EWY
EPP