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EWY vs. EWT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EWYEWT
YTD Return-8.41%19.05%
1Y Return3.21%34.84%
3Y Return (Ann)-7.20%5.58%
5Y Return (Ann)1.33%14.22%
10Y Return (Ann)2.39%11.20%
Sharpe Ratio0.411.92
Sortino Ratio0.742.53
Omega Ratio1.091.33
Calmar Ratio0.251.84
Martin Ratio1.589.14
Ulcer Index6.02%4.38%
Daily Std Dev23.10%20.82%
Max Drawdown-74.14%-64.26%
Current Drawdown-33.84%-3.66%

Correlation

-0.50.00.51.00.7

The correlation between EWY and EWT is 0.70, 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.

Performance

EWY vs. EWT - Performance Comparison

In the year-to-date period, EWY achieves a -8.41% return, which is significantly lower than EWT's 19.05% return. Over the past 10 years, EWY has underperformed EWT with an annualized return of 2.39%, while EWT has yielded a comparatively higher 11.20% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%250.00%300.00%350.00%JuneJulyAugustSeptemberOctoberNovember
294.52%
214.78%
EWY
EWT

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EWY vs. EWT - Expense Ratio Comparison

Both EWY and EWT have an expense ratio of 0.59%.


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 EWT: 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%

Risk-Adjusted Performance

EWY vs. EWT - Risk-Adjusted Performance Comparison

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


EWY
Sharpe ratio
The chart of Sharpe ratio for EWY, currently valued at 0.41, compared to the broader market-2.000.002.004.006.000.41
Sortino ratio
The chart of Sortino ratio for EWY, currently valued at 0.74, compared to the broader market0.005.0010.000.74
Omega ratio
The chart of Omega ratio for EWY, currently valued at 1.09, compared to the broader market1.001.502.002.503.003.501.09
Calmar ratio
The chart of Calmar ratio for EWY, currently valued at 0.25, compared to the broader market0.005.0010.0015.0020.000.25
Martin ratio
The chart of Martin ratio for EWY, currently valued at 1.58, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.58
EWT
Sharpe ratio
The chart of Sharpe ratio for EWT, currently valued at 1.92, compared to the broader market-2.000.002.004.006.001.92
Sortino ratio
The chart of Sortino ratio for EWT, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for EWT, currently valued at 1.33, compared to the broader market1.001.502.002.503.003.501.33
Calmar ratio
The chart of Calmar ratio for EWT, currently valued at 1.84, compared to the broader market0.005.0010.0015.0020.001.84
Martin ratio
The chart of Martin ratio for EWT, currently valued at 9.14, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.14

EWY vs. EWT - Sharpe Ratio Comparison

The current EWY Sharpe Ratio is 0.41, which is lower than the EWT Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of EWY and EWT, 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
0.41
1.92
EWY
EWT

Dividends

EWY vs. EWT - Dividend Comparison

EWY's dividend yield for the trailing twelve months is around 2.75%, less than EWT's 10.09% yield.


TTM20232022202120202019201820172016201520142013
EWY
iShares MSCI South Korea ETF
2.75%2.52%1.23%2.16%0.73%2.10%1.34%2.90%1.21%2.42%1.20%1.39%
EWT
iShares MSCI Taiwan ETF
10.09%12.01%18.82%2.64%1.83%2.49%3.16%2.81%2.39%3.12%1.93%1.82%

Drawdowns

EWY vs. EWT - Drawdown Comparison

The maximum EWY drawdown since its inception was -74.14%, which is greater than EWT's maximum drawdown of -64.26%. Use the drawdown chart below to compare losses from any high point for EWY and EWT. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-33.84%
-3.66%
EWY
EWT

Volatility

EWY vs. EWT - Volatility Comparison

The current volatility for iShares MSCI South Korea ETF (EWY) is 4.01%, while iShares MSCI Taiwan ETF (EWT) has a volatility of 5.01%. This indicates that EWY experiences smaller price fluctuations and is considered to be less risky than EWT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.01%
5.01%
EWY
EWT