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

Correlation

The correlation between EWY and QQQ is 0.57, 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.


-0.50.00.51.00.6

Performance

EWY vs. QQQ - Performance Comparison

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

300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
262.32%
619.12%
EWY
QQQ

Key characteristics

Sharpe Ratio

EWY:

-0.66

QQQ:

1.64

Sortino Ratio

EWY:

-0.81

QQQ:

2.19

Omega Ratio

EWY:

0.90

QQQ:

1.30

Calmar Ratio

EWY:

-0.37

QQQ:

2.16

Martin Ratio

EWY:

-1.70

QQQ:

7.79

Ulcer Index

EWY:

8.88%

QQQ:

3.76%

Daily Std Dev

EWY:

22.88%

QQQ:

17.85%

Max Drawdown

EWY:

-74.14%

QQQ:

-82.98%

Current Drawdown

EWY:

-40.93%

QQQ:

-3.63%

Returns By Period

In the year-to-date period, EWY achieves a -18.22% return, which is significantly lower than QQQ's 27.20% return. Over the past 10 years, EWY has underperformed QQQ with an annualized return of 1.37%, while QQQ has yielded a comparatively higher 18.36% annualized return.


EWY

YTD

-18.22%

1M

-6.62%

6M

-17.70%

1Y

-16.42%

5Y*

-1.55%

10Y*

1.37%

QQQ

YTD

27.20%

1M

3.08%

6M

8.34%

1Y

27.81%

5Y*

20.44%

10Y*

18.36%

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. QQQ - Expense Ratio Comparison

EWY has a 0.59% expense ratio, which is higher than QQQ's 0.20% 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 QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

EWY vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Korea ETF (EWY) and Invesco QQQ (QQQ). 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 -0.66, compared to the broader market0.002.004.00-0.661.64
The chart of Sortino ratio for EWY, currently valued at -0.81, compared to the broader market-2.000.002.004.006.008.0010.00-0.812.19
The chart of Omega ratio for EWY, currently valued at 0.90, compared to the broader market0.501.001.502.002.503.000.901.30
The chart of Calmar ratio for EWY, currently valued at -0.37, compared to the broader market0.005.0010.0015.00-0.372.16
The chart of Martin ratio for EWY, currently valued at -1.70, compared to the broader market0.0020.0040.0060.0080.00100.00-1.707.79
EWY
QQQ

The current EWY Sharpe Ratio is -0.66, which is lower than the QQQ Sharpe Ratio of 1.64. The chart below compares the historical Sharpe Ratios of EWY and QQQ, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.66
1.64
EWY
QQQ

Dividends

EWY vs. QQQ - Dividend Comparison

EWY's dividend yield for the trailing twelve months is around 2.48%, more than QQQ's 0.43% yield.


TTM20232022202120202019201820172016201520142013
EWY
iShares MSCI South Korea ETF
2.48%2.52%1.23%2.16%0.73%2.10%1.34%2.90%1.21%2.42%1.20%1.39%
QQQ
Invesco QQQ
0.43%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

EWY vs. QQQ - Drawdown Comparison

The maximum EWY drawdown since its inception was -74.14%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for EWY and QQQ. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-40.93%
-3.63%
EWY
QQQ

Volatility

EWY vs. QQQ - Volatility Comparison

iShares MSCI South Korea ETF (EWY) has a higher volatility of 6.10% compared to Invesco QQQ (QQQ) at 5.29%. This indicates that EWY's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.10%
5.29%
EWY
QQQ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab