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

Correlation

The correlation between EWY and VGK is 0.67, 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.


-0.50.00.51.00.7

Performance

EWY vs. VGK - Performance Comparison

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

-20.00%-15.00%-10.00%-5.00%0.00%5.00%AugustSeptemberOctoberNovemberDecember2025
-14.66%
-3.87%
EWY
VGK

Key characteristics

Sharpe Ratio

EWY:

-0.10

VGK:

0.68

Sortino Ratio

EWY:

0.02

VGK:

1.00

Omega Ratio

EWY:

1.00

VGK:

1.12

Calmar Ratio

EWY:

-0.05

VGK:

0.79

Martin Ratio

EWY:

-0.23

VGK:

1.92

Ulcer Index

EWY:

10.10%

VGK:

4.57%

Daily Std Dev

EWY:

22.71%

VGK:

12.95%

Max Drawdown

EWY:

-74.14%

VGK:

-63.61%

Current Drawdown

EWY:

-38.12%

VGK:

-8.24%

Returns By Period

In the year-to-date period, EWY achieves a 7.74% return, which is significantly higher than VGK's 2.52% return. Over the past 10 years, EWY has underperformed VGK with an annualized return of 1.46%, while VGK has yielded a comparatively higher 5.54% annualized return.


EWY

YTD

7.74%

1M

4.76%

6M

-14.67%

1Y

-5.26%

5Y*

-1.25%

10Y*

1.46%

VGK

YTD

2.52%

1M

2.84%

6M

-3.87%

1Y

7.77%

5Y*

5.52%

10Y*

5.54%

*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. VGK - Expense Ratio Comparison

EWY has a 0.59% expense ratio, which is higher than VGK's 0.08% 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 VGK: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

EWY vs. VGK — 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 66
Overall Rank
The Sharpe Ratio Rank of EWY is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of EWY is 66
Sortino Ratio Rank
The Omega Ratio Rank of EWY is 66
Omega Ratio Rank
The Calmar Ratio Rank of EWY is 66
Calmar Ratio Rank
The Martin Ratio Rank of EWY is 66
Martin Ratio Rank

VGK
The Risk-Adjusted Performance Rank of VGK is 2626
Overall Rank
The Sharpe Ratio Rank of VGK is 2525
Sharpe Ratio Rank
The Sortino Ratio Rank of VGK is 2424
Sortino Ratio Rank
The Omega Ratio Rank of VGK is 2323
Omega Ratio Rank
The Calmar Ratio Rank of VGK is 3535
Calmar Ratio Rank
The Martin Ratio Rank of VGK is 2222
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. VGK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Korea ETF (EWY) and Vanguard FTSE Europe ETF (VGK). 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 -0.10, compared to the broader market0.002.004.00-0.100.68
The chart of Sortino ratio for EWY, currently valued at 0.02, compared to the broader market0.005.0010.000.021.00
The chart of Omega ratio for EWY, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.001.12
The chart of Calmar ratio for EWY, currently valued at -0.05, compared to the broader market0.005.0010.0015.0020.00-0.050.79
The chart of Martin ratio for EWY, currently valued at -0.23, compared to the broader market0.0020.0040.0060.0080.00100.00-0.231.92
EWY
VGK

The current EWY Sharpe Ratio is -0.10, which is lower than the VGK Sharpe Ratio of 0.68. The chart below compares the historical Sharpe Ratios of EWY and VGK, 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-1.00-0.500.000.501.001.502.002.50AugustSeptemberOctoberNovemberDecember2025
-0.10
0.68
EWY
VGK

Dividends

EWY vs. VGK - Dividend Comparison

EWY's dividend yield for the trailing twelve months is around 2.37%, less than VGK's 3.52% yield.


TTM20242023202220212020201920182017201620152014
EWY
iShares MSCI South Korea ETF
2.37%2.55%2.52%1.23%2.16%0.73%2.10%1.34%2.90%1.21%2.42%1.20%
VGK
Vanguard FTSE Europe ETF
3.52%3.61%3.15%3.25%3.05%2.74%3.27%3.95%2.70%3.52%3.25%4.62%

Drawdowns

EWY vs. VGK - Drawdown Comparison

The maximum EWY drawdown since its inception was -74.14%, which is greater than VGK's maximum drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for EWY and VGK. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-38.12%
-8.24%
EWY
VGK

Volatility

EWY vs. VGK - Volatility Comparison

iShares MSCI South Korea ETF (EWY) has a higher volatility of 6.70% compared to Vanguard FTSE Europe ETF (VGK) at 3.77%. This indicates that EWY's price experiences larger fluctuations and is considered to be riskier than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%AugustSeptemberOctoberNovemberDecember2025
6.70%
3.77%
EWY
VGK
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 © 2025 PortfoliosLab