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

Correlation

The correlation between EWZS and IDEV is 0.47, 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.


-0.50.00.51.00.5

Performance

EWZS vs. IDEV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Brazil Small-Cap ETF (EWZS) and iShares Core MSCI International Developed Markets ETF (IDEV). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
-3.96%
57.25%
EWZS
IDEV

Key characteristics

Sharpe Ratio

EWZS:

-1.14

IDEV:

0.52

Sortino Ratio

EWZS:

-1.59

IDEV:

0.79

Omega Ratio

EWZS:

0.81

IDEV:

1.10

Calmar Ratio

EWZS:

-0.57

IDEV:

0.73

Martin Ratio

EWZS:

-1.89

IDEV:

2.10

Ulcer Index

EWZS:

16.44%

IDEV:

3.13%

Daily Std Dev

EWZS:

27.18%

IDEV:

12.72%

Max Drawdown

EWZS:

-79.23%

IDEV:

-34.77%

Current Drawdown

EWZS:

-51.99%

IDEV:

-9.04%

Returns By Period

In the year-to-date period, EWZS achieves a -32.42% return, which is significantly lower than IDEV's 3.80% return.


EWZS

YTD

-32.42%

1M

-13.62%

6M

-15.87%

1Y

-32.01%

5Y*

-10.71%

10Y*

-0.10%

IDEV

YTD

3.80%

1M

-1.71%

6M

-0.53%

1Y

4.97%

5Y*

5.02%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EWZS vs. IDEV - Expense Ratio Comparison

EWZS has a 0.59% expense ratio, which is higher than IDEV's 0.05% expense ratio.


EWZS
iShares MSCI Brazil Small-Cap ETF
Expense ratio chart for EWZS: 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 IDEV: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

EWZS vs. IDEV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Brazil Small-Cap ETF (EWZS) and iShares Core MSCI International Developed Markets ETF (IDEV). 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 EWZS, currently valued at -1.14, compared to the broader market0.002.004.00-1.140.52
The chart of Sortino ratio for EWZS, currently valued at -1.59, compared to the broader market-2.000.002.004.006.008.0010.00-1.590.79
The chart of Omega ratio for EWZS, currently valued at 0.81, compared to the broader market0.501.001.502.002.503.000.811.10
The chart of Calmar ratio for EWZS, currently valued at -0.60, compared to the broader market0.005.0010.0015.00-0.600.73
The chart of Martin ratio for EWZS, currently valued at -1.89, compared to the broader market0.0020.0040.0060.0080.00100.00-1.892.10
EWZS
IDEV

The current EWZS Sharpe Ratio is -1.14, which is lower than the IDEV Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of EWZS and IDEV, 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-1.000.001.002.00JulyAugustSeptemberOctoberNovemberDecember
-1.14
0.52
EWZS
IDEV

Dividends

EWZS vs. IDEV - Dividend Comparison

EWZS's dividend yield for the trailing twelve months is around 4.68%, more than IDEV's 3.33% yield.


TTM20232022202120202019201820172016201520142013
EWZS
iShares MSCI Brazil Small-Cap ETF
4.68%2.75%4.62%4.51%1.15%1.77%4.79%3.41%3.62%4.35%3.05%1.88%
IDEV
iShares Core MSCI International Developed Markets ETF
3.33%3.06%2.69%3.05%2.00%3.19%3.16%1.54%0.00%0.00%0.00%0.00%

Drawdowns

EWZS vs. IDEV - Drawdown Comparison

The maximum EWZS drawdown since its inception was -79.23%, which is greater than IDEV's maximum drawdown of -34.77%. Use the drawdown chart below to compare losses from any high point for EWZS and IDEV. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-48.70%
-9.04%
EWZS
IDEV

Volatility

EWZS vs. IDEV - Volatility Comparison

iShares MSCI Brazil Small-Cap ETF (EWZS) has a higher volatility of 13.91% compared to iShares Core MSCI International Developed Markets ETF (IDEV) at 3.51%. This indicates that EWZS's price experiences larger fluctuations and is considered to be riskier than IDEV 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%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
13.91%
3.51%
EWZS
IDEV
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