EZA vs. ^NDX
EZA (iShares MSCI South Africa ETF) is Emerging Markets Equities fund tracking the MSCI South Africa Index, while ^NDX (NASDAQ 100 Index) is an index. Over the past 10 years, EZA returned 8.12%/yr vs 20.95%/yr for ^NDX. A 0.52 correlation means they provide meaningful diversification when combined.
Performance
EZA vs. ^NDX - Performance Comparison
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Returns By Period
In the year-to-date period, EZA achieves a -2.81% return, which is significantly lower than ^NDX's 17.37% return. Over the past 10 years, EZA has underperformed ^NDX with an annualized return of 8.12%, while ^NDX has yielded a comparatively higher 20.95% annualized return.
EZA
- 1D
- 0.89%
- 1M
- -5.12%
- YTD
- -2.81%
- 6M
- 2.77%
- 1Y
- 33.90%
- 3Y*
- 23.45%
- 5Y*
- 9.50%
- 10Y*
- 8.12%
^NDX
- 1D
- 0.64%
- 1M
- 0.19%
- YTD
- 17.37%
- 6M
- 17.62%
- 1Y
- 37.01%
- 3Y*
- 25.76%
- 5Y*
- 16.18%
- 10Y*
- 20.95%
EZA vs. ^NDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EZA iShares MSCI South Africa ETF | -2.81% | 75.20% | 7.16% | 1.51% | -5.18% | 7.91% | -5.19% | 9.83% | -25.24% | 36.03% |
^NDX NASDAQ 100 Index | 17.37% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
Correlation
The correlation between EZA and ^NDX is 0.54, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.46 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.45 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.48 |
Correlation (All Time) Calculated using the full available price history since Feb 7, 2003 | 0.52 |
The correlation between EZA and ^NDX has been stable across timeframes, ranging from 0.45 to 0.54 - a consistent structural relationship.
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Return for Risk
EZA vs. ^NDX — Risk / Return Rank
EZA
^NDX
EZA vs. ^NDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Africa ETF (EZA) and NASDAQ 100 Index (^NDX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EZA | ^NDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.09 | ||
| Sortino ratioReturn per unit of downside risk | -1.27 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.36 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | 1.31 | 2.92 | -1.61 |
| Martin ratioReturn relative to average drawdown | 3.41 | 10.85 | -7.44 |
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Drawdowns
EZA vs. ^NDX - Drawdown Comparison
The maximum EZA drawdown since its inception was -64.64%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for EZA and ^NDX.
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Drawdown Indicators
| EZA | ^NDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.64% | -82.90% | +18.26% |
Max Drawdown (1Y)Largest decline over 1 year | -23.31% | -12.12% | -11.19% |
Max Drawdown (3Y)Largest decline over 3 years | -23.31% | -22.93% | -0.38% |
Max Drawdown (5Y)Largest decline over 5 years | -34.94% | -35.56% | +0.62% |
Max Drawdown (10Y)Largest decline over 10 years | -62.25% | -35.56% | -26.69% |
Current DrawdownCurrent decline from peak | -18.05% | -3.34% | -14.71% |
Average DrawdownAverage peak-to-trough decline | -16.92% | -24.61% | +7.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.93% | 3.26% | +5.67% |
Volatility
EZA vs. ^NDX - Volatility Comparison
iShares MSCI South Africa ETF (EZA) has a higher volatility of 11.34% compared to NASDAQ 100 Index (^NDX) at 7.51%. This indicates that EZA's price experiences larger fluctuations and is considered to be riskier than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EZA | ^NDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.34% | 7.51% | +3.83% |
Volatility (6M)Calculated over the trailing 6-month period | 27.03% | 13.84% | +13.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 31.92% | 17.29% | +14.63% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.86% | 22.76% | +6.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.43% | 22.61% | +8.82% |
Frequently Asked Questions
EZA and ^NDX have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EZA has higher volatility (11.34%) compared to ^NDX (7.51%). In terms of maximum drawdown, EZA dropped -64.64% vs ^NDX's -82.90%.
^NDX currently has the higher Sharpe Ratio (2.05 vs 0.95), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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