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EWY vs. ^AW01
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EWY and ^AW01 is 0.65, 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. ^AW01 - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI South Korea ETF (EWY) and FTSE All World (^AW01). The values are adjusted to include any dividend payments, if applicable.

-25.00%-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-20.60%
4.63%
EWY
^AW01

Key characteristics

Sharpe Ratio

EWY:

-0.72

^AW01:

1.61

Sortino Ratio

EWY:

-0.90

^AW01:

2.16

Omega Ratio

EWY:

0.89

^AW01:

1.30

Calmar Ratio

EWY:

-0.39

^AW01:

1.99

Martin Ratio

EWY:

-1.92

^AW01:

9.33

Ulcer Index

EWY:

8.70%

^AW01:

1.75%

Daily Std Dev

EWY:

23.13%

^AW01:

10.07%

Max Drawdown

EWY:

-74.14%

^AW01:

-59.48%

Current Drawdown

EWY:

-42.56%

^AW01:

-3.56%

Returns By Period

In the year-to-date period, EWY achieves a -20.48% return, which is significantly lower than ^AW01's 15.54% return. Over the past 10 years, EWY has underperformed ^AW01 with an annualized return of 1.08%, while ^AW01 has yielded a comparatively higher 6.99% annualized return.


EWY

YTD

-20.48%

1M

-9.83%

6M

-20.60%

1Y

-17.62%

5Y*

-2.10%

10Y*

1.08%

^AW01

YTD

15.54%

1M

-0.36%

6M

4.63%

1Y

16.44%

5Y*

8.02%

10Y*

6.99%

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Risk-Adjusted Performance

EWY vs. ^AW01 - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Korea ETF (EWY) and FTSE All World (^AW01). 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 -0.85, compared to the broader market0.002.004.00-0.851.61
The chart of Sortino ratio for EWY, currently valued at -1.11, compared to the broader market-2.000.002.004.006.008.0010.00-1.112.16
The chart of Omega ratio for EWY, currently valued at 0.87, compared to the broader market0.501.001.502.002.503.000.871.30
The chart of Calmar ratio for EWY, currently valued at -0.46, compared to the broader market0.005.0010.0015.00-0.461.99
The chart of Martin ratio for EWY, currently valued at -2.26, compared to the broader market0.0020.0040.0060.0080.00100.00-2.269.33
EWY
^AW01

The current EWY Sharpe Ratio is -0.72, which is lower than the ^AW01 Sharpe Ratio of 1.61. The chart below compares the historical Sharpe Ratios of EWY and ^AW01, 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-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.85
1.61
EWY
^AW01

Drawdowns

EWY vs. ^AW01 - Drawdown Comparison

The maximum EWY drawdown since its inception was -74.14%, which is greater than ^AW01's maximum drawdown of -59.48%. Use the drawdown chart below to compare losses from any high point for EWY and ^AW01. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-42.56%
-3.56%
EWY
^AW01

Volatility

EWY vs. ^AW01 - Volatility Comparison

iShares MSCI South Korea ETF (EWY) has a higher volatility of 6.79% compared to FTSE All World (^AW01) at 2.67%. This indicates that EWY's price experiences larger fluctuations and is considered to be riskier than ^AW01 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%JulyAugustSeptemberOctoberNovemberDecember
6.79%
2.67%
EWY
^AW01
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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.

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