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EZA vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EZA and SPY is 0.60, 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.


-0.50.00.51.0
Correlation: 0.6

Performance

EZA vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI South Africa ETF (EZA) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%NovemberDecember2025FebruaryMarchApril
-5.20%
-5.73%
EZA
SPY

Key characteristics

Sharpe Ratio

EZA:

0.91

SPY:

0.32

Sortino Ratio

EZA:

1.38

SPY:

0.51

Omega Ratio

EZA:

1.16

SPY:

1.07

Calmar Ratio

EZA:

0.68

SPY:

0.39

Martin Ratio

EZA:

3.43

SPY:

1.52

Ulcer Index

EZA:

6.29%

SPY:

3.13%

Daily Std Dev

EZA:

23.62%

SPY:

14.74%

Max Drawdown

EZA:

-64.64%

SPY:

-55.19%

Current Drawdown

EZA:

-14.53%

SPY:

-12.17%

Returns By Period

In the year-to-date period, EZA achieves a 7.09% return, which is significantly higher than SPY's -8.15% return. Over the past 10 years, EZA has underperformed SPY with an annualized return of 0.02%, while SPY has yielded a comparatively higher 11.89% annualized return.


EZA

YTD

7.09%

1M

-0.42%

6M

-5.13%

1Y

21.04%

5Y*

15.99%

10Y*

0.02%

SPY

YTD

-8.15%

1M

-6.68%

6M

-4.88%

1Y

4.64%

5Y*

18.45%

10Y*

11.89%

*Annualized

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EZA vs. SPY - Expense Ratio Comparison

EZA has a 0.59% expense ratio, which is higher than SPY's 0.09% expense ratio.


Expense ratio chart for EZA: current value is 0.59%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EZA: 0.59%
Expense ratio chart for SPY: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPY: 0.09%

Risk-Adjusted Performance

EZA vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EZA
The Risk-Adjusted Performance Rank of EZA is 7676
Overall Rank
The Sharpe Ratio Rank of EZA is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of EZA is 7878
Sortino Ratio Rank
The Omega Ratio Rank of EZA is 7676
Omega Ratio Rank
The Calmar Ratio Rank of EZA is 7272
Calmar Ratio Rank
The Martin Ratio Rank of EZA is 7575
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 3636
Overall Rank
The Sharpe Ratio Rank of SPY is 3333
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 3131
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 3333
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 4141
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 4141
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.

EZA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI South Africa ETF (EZA) and SPDR S&P 500 ETF (SPY). 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.


The chart of Sharpe ratio for EZA, currently valued at 0.91, compared to the broader market0.002.004.00
EZA: 0.91
SPY: 0.32
The chart of Sortino ratio for EZA, currently valued at 1.38, compared to the broader market-2.000.002.004.006.008.0010.0012.00
EZA: 1.38
SPY: 0.51
The chart of Omega ratio for EZA, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.00
EZA: 1.16
SPY: 1.07
The chart of Calmar ratio for EZA, currently valued at 0.68, compared to the broader market0.005.0010.0015.00
EZA: 0.68
SPY: 0.39
The chart of Martin ratio for EZA, currently valued at 3.43, compared to the broader market0.0020.0040.0060.0080.00100.00
EZA: 3.43
SPY: 1.52

The current EZA Sharpe Ratio is 0.91, which is higher than the SPY Sharpe Ratio of 0.32. The chart below compares the historical Sharpe Ratios of EZA and SPY, 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.91
0.32
EZA
SPY

Dividends

EZA vs. SPY - Dividend Comparison

EZA's dividend yield for the trailing twelve months is around 6.78%, more than SPY's 1.34% yield.


TTM20242023202220212020201920182017201620152014
EZA
iShares MSCI South Africa ETF
6.78%7.26%2.84%3.90%2.05%5.51%12.27%3.81%1.55%4.10%3.03%2.20%
SPY
SPDR S&P 500 ETF
1.34%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

EZA vs. SPY - Drawdown Comparison

The maximum EZA drawdown since its inception was -64.64%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EZA and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-14.53%
-12.17%
EZA
SPY

Volatility

EZA vs. SPY - Volatility Comparison

iShares MSCI South Africa ETF (EZA) and SPDR S&P 500 ETF (SPY) have volatilities of 7.36% and 7.47%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%NovemberDecember2025FebruaryMarchApril
7.36%
7.47%
EZA
SPY