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

Key characteristics


EWYFXI
YTD Return-7.07%33.05%
1Y Return4.73%24.46%
3Y Return (Ann)-6.71%-4.59%
5Y Return (Ann)1.83%-3.49%
10Y Return (Ann)2.48%0.31%
Sharpe Ratio0.330.87
Sortino Ratio0.631.46
Omega Ratio1.081.18
Calmar Ratio0.210.47
Martin Ratio1.262.60
Ulcer Index6.06%10.53%
Daily Std Dev22.81%31.35%
Max Drawdown-74.14%-72.68%
Current Drawdown-32.87%-37.02%

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.

Performance

EWY vs. FXI - Performance Comparison

In the year-to-date period, EWY achieves a -7.07% return, which is significantly lower than FXI's 33.05% return. Over the past 10 years, EWY has outperformed FXI with an annualized return of 2.48%, while FXI has yielded a comparatively lower 0.31% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
-7.38%
17.07%
EWY
FXI

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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%

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.


EWY
Sharpe ratio
The chart of Sharpe ratio for EWY, currently valued at 0.33, compared to the broader market0.002.004.006.000.33
Sortino ratio
The chart of Sortino ratio for EWY, currently valued at 0.63, compared to the broader market0.005.0010.000.63
Omega ratio
The chart of Omega ratio for EWY, currently valued at 1.08, compared to the broader market1.001.502.002.503.001.08
Calmar ratio
The chart of Calmar ratio for EWY, currently valued at 0.21, compared to the broader market0.005.0010.0015.0020.000.21
Martin ratio
The chart of Martin ratio for EWY, currently valued at 1.26, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.26
FXI
Sharpe ratio
The chart of Sharpe ratio for FXI, currently valued at 0.87, compared to the broader market0.002.004.006.000.87
Sortino ratio
The chart of Sortino ratio for FXI, currently valued at 1.46, compared to the broader market0.005.0010.001.46
Omega ratio
The chart of Omega ratio for FXI, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for FXI, currently valued at 0.47, compared to the broader market0.005.0010.0015.0020.000.47
Martin ratio
The chart of Martin ratio for FXI, currently valued at 2.60, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.60

EWY vs. FXI - Sharpe Ratio Comparison

The current EWY Sharpe Ratio is 0.33, which is lower than the FXI Sharpe Ratio of 0.87. 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
0.33
0.87
EWY
FXI

Dividends

EWY vs. FXI - Dividend Comparison

EWY's dividend yield for the trailing twelve months is around 2.71%, more than FXI's 2.17% yield.


TTM20232022202120202019201820172016201520142013
EWY
iShares MSCI South Korea ETF
2.71%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
2.17%3.17%2.60%1.59%2.18%2.72%2.68%2.30%2.68%2.89%2.50%2.63%

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
-32.87%
-37.02%
EWY
FXI

Volatility

EWY vs. FXI - Volatility Comparison

The current volatility for iShares MSCI South Korea ETF (EWY) is 4.34%, while iShares China Large-Cap ETF (FXI) has a volatility of 13.11%. 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
4.34%
13.11%
EWY
FXI