EZA vs. EURUSD=X
EZA (iShares MSCI South Africa ETF) is Emerging Markets Equities fund tracking the MSCI South Africa Index, while EURUSD=X (Euro / U.S. Dollar) is a currency. Over the past 10 years, EZA returned 8.12%/yr vs 0.32%/yr for EURUSD=X. At a 0.36 correlation, their price movements are largely independent.
Performance
EZA vs. EURUSD=X - 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 EURUSD=X's -1.52% return. Over the past 10 years, EZA has outperformed EURUSD=X with an annualized return of 8.12%, while EURUSD=X has yielded a comparatively lower 0.32% 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%
EURUSD=X
- 1D
- -0.11%
- 1M
- -0.88%
- YTD
- -1.52%
- 6M
- -1.48%
- 1Y
- 0.14%
- 3Y*
- 2.34%
- 5Y*
- -0.91%
- 10Y*
- 0.32%
EZA vs. EURUSD=X - 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% |
EURUSD=X Euro / U.S. Dollar | -1.52% | 13.43% | -6.18% | 3.16% | -6.01% | -6.81% | 8.85% | -1.94% | -4.66% | 14.14% |
Correlation
The correlation between EZA and EURUSD=X is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.46 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.45 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.45 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.36 |
Correlation (All Time) Calculated using the full available price history since Jun 1, 2007 | 0.36 |
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Return for Risk
EZA vs. EURUSD=X — Risk / Return Rank
EZA
EURUSD=X
EZA vs. EURUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Africa ETF (EZA) and Euro / U.S. Dollar (EURUSD=X). 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 | EURUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.97 | ||
| Sortino ratioReturn per unit of downside risk | +1.39 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.00 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 1.31 | -0.02 | +1.32 |
| Martin ratioReturn relative to average drawdown | 3.41 | -0.04 | +3.45 |
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Drawdowns
EZA vs. EURUSD=X - Drawdown Comparison
The maximum EZA drawdown since its inception was -64.64%, which is greater than EURUSD=X's maximum drawdown of -40.01%. Use the drawdown chart below to compare losses from any high point for EZA and EURUSD=X.
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Drawdown Indicators
| EZA | EURUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.64% | -40.01% | -24.63% |
Max Drawdown (1Y)Largest decline over 1 year | -23.31% | -5.19% | -18.12% |
Max Drawdown (3Y)Largest decline over 3 years | -23.31% | -8.83% | -14.48% |
Max Drawdown (5Y)Largest decline over 5 years | -34.94% | -20.89% | -14.05% |
Max Drawdown (10Y)Largest decline over 10 years | -62.25% | -23.31% | -38.94% |
Current DrawdownCurrent decline from peak | -18.05% | -27.67% | +9.62% |
Average DrawdownAverage peak-to-trough decline | -16.92% | -23.44% | +6.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.93% | 2.49% | +6.44% |
Volatility
EZA vs. EURUSD=X - Volatility Comparison
iShares MSCI South Africa ETF (EZA) has a higher volatility of 11.34% compared to Euro / U.S. Dollar (EURUSD=X) at 1.07%. This indicates that EZA's price experiences larger fluctuations and is considered to be riskier than EURUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EZA | EURUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.34% | 1.07% | +10.27% |
Volatility (6M)Calculated over the trailing 6-month period | 27.03% | 4.50% | +22.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 31.92% | 5.89% | +26.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 28.86% | 7.41% | +21.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.43% | 7.15% | +24.28% |
Frequently Asked Questions
EZA and EURUSD=X have a correlation of 0.46, 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 EURUSD=X (1.07%). In terms of maximum drawdown, EZA dropped -64.64% vs EURUSD=X's -40.01%.
EZA currently has the higher Sharpe Ratio (0.95 vs -0.02), 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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