PortfoliosLab logo
EWY vs. EWJ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EWY and EWJ is 0.66, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

EWY vs. EWJ - Performance Comparison

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

50.00%100.00%150.00%200.00%250.00%300.00%NovemberDecember2025FebruaryMarchApril
287.32%
72.20%
EWY
EWJ

Key characteristics

Sharpe Ratio

EWY:

-0.33

EWJ:

0.33

Sortino Ratio

EWY:

-0.32

EWJ:

0.60

Omega Ratio

EWY:

0.96

EWJ:

1.08

Calmar Ratio

EWY:

-0.19

EWJ:

0.48

Martin Ratio

EWY:

-0.64

EWJ:

1.44

Ulcer Index

EWY:

13.54%

EWJ:

4.89%

Daily Std Dev

EWY:

25.84%

EWJ:

21.46%

Max Drawdown

EWY:

-74.14%

EWJ:

-58.89%

Current Drawdown

EWY:

-36.85%

EWJ:

-2.21%

Returns By Period

In the year-to-date period, EWY achieves a 9.94% return, which is significantly higher than EWJ's 4.74% return. Over the past 10 years, EWY has underperformed EWJ with an annualized return of 0.78%, while EWJ has yielded a comparatively higher 4.60% annualized return.


EWY

YTD

9.94%

1M

-1.96%

6M

-6.45%

1Y

-9.30%

5Y*

4.22%

10Y*

0.78%

EWJ

YTD

4.74%

1M

-1.95%

6M

6.19%

1Y

6.35%

5Y*

8.59%

10Y*

4.60%

*Annualized

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. EWJ - Expense Ratio Comparison

EWY has a 0.59% expense ratio, which is higher than EWJ's 0.49% expense ratio.


Expense ratio chart for EWY: current value is 0.59%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EWY: 0.59%
Expense ratio chart for EWJ: current value is 0.49%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EWJ: 0.49%

Risk-Adjusted Performance

EWY vs. EWJ — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EWY
The Risk-Adjusted Performance Rank of EWY is 1010
Overall Rank
The Sharpe Ratio Rank of EWY is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of EWY is 99
Sortino Ratio Rank
The Omega Ratio Rank of EWY is 99
Omega Ratio Rank
The Calmar Ratio Rank of EWY is 1010
Calmar Ratio Rank
The Martin Ratio Rank of EWY is 1111
Martin Ratio Rank

EWJ
The Risk-Adjusted Performance Rank of EWJ is 5151
Overall Rank
The Sharpe Ratio Rank of EWJ is 4747
Sharpe Ratio Rank
The Sortino Ratio Rank of EWJ is 4848
Sortino Ratio Rank
The Omega Ratio Rank of EWJ is 4747
Omega Ratio Rank
The Calmar Ratio Rank of EWJ is 6363
Calmar Ratio Rank
The Martin Ratio Rank of EWJ is 5252
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EWY vs. EWJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Korea ETF (EWY) and iShares MSCI Japan ETF (EWJ). 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.


The chart of Sharpe ratio for EWY, currently valued at -0.33, compared to the broader market-1.000.001.002.003.004.00
EWY: -0.33
EWJ: 0.33
The chart of Sortino ratio for EWY, currently valued at -0.32, compared to the broader market-2.000.002.004.006.008.00
EWY: -0.32
EWJ: 0.60
The chart of Omega ratio for EWY, currently valued at 0.96, compared to the broader market0.501.001.502.00
EWY: 0.96
EWJ: 1.08
The chart of Calmar ratio for EWY, currently valued at -0.19, compared to the broader market0.002.004.006.008.0010.0012.00
EWY: -0.19
EWJ: 0.48
The chart of Martin ratio for EWY, currently valued at -0.64, compared to the broader market0.0020.0040.0060.00
EWY: -0.64
EWJ: 1.44

The current EWY Sharpe Ratio is -0.33, which is lower than the EWJ Sharpe Ratio of 0.33. The chart below compares the historical Sharpe Ratios of EWY and EWJ, 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 Ratio-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
-0.33
0.33
EWY
EWJ

Dividends

EWY vs. EWJ - Dividend Comparison

EWY's dividend yield for the trailing twelve months is around 2.32%, more than EWJ's 2.24% yield.


TTM20242023202220212020201920182017201620152014
EWY
iShares MSCI South Korea ETF
2.32%2.55%2.52%1.23%2.16%0.73%2.10%1.34%2.90%1.21%2.42%1.20%
EWJ
iShares MSCI Japan ETF
2.24%2.34%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%1.32%

Drawdowns

EWY vs. EWJ - Drawdown Comparison

The maximum EWY drawdown since its inception was -74.14%, which is greater than EWJ's maximum drawdown of -58.89%. Use the drawdown chart below to compare losses from any high point for EWY and EWJ. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-36.85%
-2.21%
EWY
EWJ

Volatility

EWY vs. EWJ - Volatility Comparison

iShares MSCI South Korea ETF (EWY) and iShares MSCI Japan ETF (EWJ) have volatilities of 12.79% and 12.40%, 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.


4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
12.79%
12.40%
EWY
EWJ