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

Performance

EWY vs. FXI - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
-11.29%
6.75%
EWY
FXI

Returns By Period

In the year-to-date period, EWY achieves a -12.21% return, which is significantly lower than FXI's 26.87% return. Over the past 10 years, EWY has outperformed FXI with an annualized return of 1.94%, while FXI has yielded a comparatively lower -0.33% annualized return.


EWY

YTD

-12.21%

1M

-7.31%

6M

-11.29%

1Y

-7.05%

5Y (annualized)

1.29%

10Y (annualized)

1.94%

FXI

YTD

26.87%

1M

-5.53%

6M

6.75%

1Y

17.17%

5Y (annualized)

-3.81%

10Y (annualized)

-0.33%

Key characteristics


EWYFXI
Sharpe Ratio-0.230.61
Sortino Ratio-0.171.11
Omega Ratio0.981.13
Calmar Ratio-0.130.34
Martin Ratio-0.751.92
Ulcer Index6.90%10.28%
Daily Std Dev22.56%32.36%
Max Drawdown-74.14%-72.68%
Current Drawdown-36.59%-39.94%

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EWY vs. FXI - Expense Ratio Comparison

EWY has a 0.59% expense ratio, which is lower than FXI's 0.74% expense ratio.


FXI
iShares China Large-Cap ETF
Expense ratio chart for FXI: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%
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%

Correlation

-0.50.00.51.00.7

The correlation between EWY and FXI is 0.69, 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. FXI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Korea ETF (EWY) and iShares China Large-Cap ETF (FXI). 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 market0.002.004.00-0.230.61
The chart of Sortino ratio for EWY, currently valued at -0.17, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.171.11
The chart of Omega ratio for EWY, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.000.981.13
The chart of Calmar ratio for EWY, currently valued at -0.13, compared to the broader market0.005.0010.0015.00-0.130.34
The chart of Martin ratio for EWY, currently valued at -0.75, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.751.92
EWY
FXI

The current EWY Sharpe Ratio is -0.23, which is lower than the FXI Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of EWY and FXI, 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-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
-0.23
0.61
EWY
FXI

Dividends

EWY vs. FXI - Dividend Comparison

EWY's dividend yield for the trailing twelve months is around 2.87%, more than FXI's 2.28% 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%
FXI
iShares China Large-Cap ETF
2.28%3.17%2.61%1.60%2.19%2.74%2.69%2.31%2.69%2.90%2.51%2.64%

Drawdowns

EWY vs. FXI - Drawdown Comparison

The maximum EWY drawdown since its inception was -74.14%, roughly equal to the maximum FXI drawdown of -72.68%. Use the drawdown chart below to compare losses from any high point for EWY and FXI. For additional features, visit the drawdowns tool.


-50.00%-45.00%-40.00%-35.00%-30.00%-25.00%JuneJulyAugustSeptemberOctoberNovember
-36.59%
-39.94%
EWY
FXI

Volatility

EWY vs. FXI - Volatility Comparison

The current volatility for iShares MSCI South Korea ETF (EWY) is 7.06%, while iShares China Large-Cap ETF (FXI) has a volatility of 10.53%. This indicates that EWY experiences smaller price fluctuations and is considered to be less risky than FXI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
7.06%
10.53%
EWY
FXI