PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
GSJY vs. EWJ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

GSJY vs. EWJ

Last updated Jul 14, 2026
Documentation

GSJY (Goldman Sachs ActiveBeta Japan Equity ETF) and EWJ (iShares MSCI Japan ETF) are both Japan Equities funds - GSJY tracks the Goldman Sachs ActiveBeta Japan Equity Index while EWJ tracks the MSCI Japan Index. Both are passively managed. Over the past 10 years, GSJY returned 9.08%/yr vs 9.06%/yr for EWJ. Their correlation of 0.95 suggests significant overlap in exposure. GSJY charges 0.25%/yr vs 0.49%/yr for EWJ.

Performance

GSJY vs. EWJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) and iShares MSCI Japan ETF (EWJ). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, GSJY achieves a 12.95% return, which is significantly lower than EWJ's 15.46% return. Both investments have delivered pretty close results over the past 10 years, with GSJY having a 9.08% annualized return and EWJ not far behind at 9.06%.

GSJY

1D
-1.73%
1M
1.03%
6M
6.67%
YTD
12.95%
1Y
31.55%
3Y*
17.26%
5Y*
8.75%
10Y*
9.08%

EWJ

1D
-1.94%
1M
0.55%
6M
9.30%
YTD
15.46%
1Y
33.65%
3Y*
17.46%
5Y*
8.72%
10Y*
9.06%
*Multi-year figures are annualized to reflect compound growth (CAGR)

GSJY vs. EWJ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
GSJY
Goldman Sachs ActiveBeta Japan Equity ETF		12.95%26.22%8.89%19.18%-16.15%0.41%13.81%18.29%-11.56%25.50%
EWJ
iShares MSCI Japan ETF		15.46%25.84%7.03%20.29%-17.72%1.16%15.40%19.34%-14.10%24.27%

Correlation

The correlation between GSJY and EWJ is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.99

Correlation (3Y)
Calculated over the trailing 3-year period

0.99

Correlation (5Y)
Calculated over the trailing 5-year period

0.99

Correlation (10Y)
Calculated over the trailing 10-year period

0.96

Correlation (All Time)
Calculated using the full available price history since Mar 4, 2016

0.95

The correlation between GSJY and EWJ has been stable across timeframes, ranging from 0.95 to 0.99 - a consistent structural relationship.

GSJY vs. EWJ - Sectors Allocation Comparison

Sectors
GSJY
EWJ

Industrials

24.9%
24.5%

Technology

20.2%
21.7%

Financial Services

18.1%
17.0%

Consumer Cyclical

12.7%
11.9%

Communication Services

6.4%
8.9%

Healthcare

4.9%
5.6%

Basic Materials

3.7%
3.4%

Energy

3.4%
0.9%

Consumer Defensive

3.1%
3.3%

Utilities

1.5%
1.0%

Real Estate

1.2%
1.9%

Industrials

GSJY
24.9%
EWJ
24.5%

Technology

GSJY
20.2%
EWJ
21.7%

Financial Services

GSJY
18.1%
EWJ
17.0%

Consumer Cyclical

GSJY
12.7%
EWJ
11.9%

Communication Services

GSJY
6.4%
EWJ
8.9%

Healthcare

GSJY
4.9%
EWJ
5.6%

Basic Materials

GSJY
3.7%
EWJ
3.4%

Energy

GSJY
3.4%
EWJ
0.9%

Consumer Defensive

GSJY
3.1%
EWJ
3.3%

Utilities

GSJY
1.5%
EWJ
1.0%

Real Estate

GSJY
1.2%
EWJ
1.9%

Compare stocks, funds, or ETFs

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

Goldman Sachs ActiveBeta Japan Equity ETF

iShares MSCI Japan ETF

Often compared with GSJY:
GSJY vs. DXJSGSJY vs. JPMGSJY vs. EUE.LGSJY vs. GSEUGSJY vs. EWJVGSJY vs. FLJPGSJY vs. ^GSPC
Often compared with EWJ:
EWJ vs. DXJEWJ vs. ^N225EWJ vs. EWJVEWJ vs. EWYEWJ vs. FLJPEWJ vs. HEWJEWJ vs. JPXN

Return for Risk

GSJY vs. EWJ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
GSJY
GSJY Risk / Return Rank: 5858
Overall Rank
GSJY Sharpe Ratio Rank: 5858
Sharpe Ratio Rank
GSJY Sortino Ratio Rank: 5858
Sortino Ratio Rank
GSJY Omega Ratio Rank: 6060
Omega Ratio Rank
GSJY Calmar Ratio Rank: 5757
Calmar Ratio Rank
GSJY Martin Ratio Rank: 5555
Martin Ratio Rank
EWJ
EWJ Risk / Return Rank: 6262
Overall Rank
EWJ Sharpe Ratio Rank: 6161
Sharpe Ratio Rank
EWJ Sortino Ratio Rank: 6161
Sortino Ratio Rank
EWJ Omega Ratio Rank: 6363
Omega Ratio Rank
EWJ Calmar Ratio Rank: 6363
Calmar Ratio Rank
EWJ Martin Ratio Rank: 6060
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GSJY vs. EWJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) and iShares MSCI Japan ETF (EWJ). 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.

GSJYEWJDifference
Sharpe ratioReturn per unit of total volatility
1.56
1.63

-0.07

Sortino ratioReturn per unit of downside risk
2.19
2.28

-0.09

Omega ratioGain probability vs. loss probability

1.29

1.30

-0.01

Calmar ratioReturn relative to maximum drawdown

2.25

2.49

-0.24

Martin ratioReturn relative to average drawdown

7.37

8.33

-0.96

GSJY vs. EWJ - Sharpe Ratio Comparison

The current GSJY Sharpe Ratio is 1.56, which is comparable to the EWJ Sharpe Ratio of 1.63. The chart below compares the historical Sharpe Ratios of GSJY and EWJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

GSJY vs. EWJ - Drawdown Comparison

The maximum GSJY drawdown since its inception was -32.53%, smaller than the maximum EWJ drawdown of -60.93%. Use the drawdown chart below to compare losses from any high point for GSJY and EWJ.

Loading charts...

Drawdown Indicators

GSJYEWJDifference

Max Drawdown

Largest peak-to-trough decline

-32.53%

-60.93%

+28.40%

Max Drawdown (1Y)

Largest decline over 1 year

-14.08%

-13.59%

-0.49%

Max Drawdown (3Y)

Largest decline over 3 years

-14.96%

-14.68%

-0.28%

Max Drawdown (5Y)

Largest decline over 5 years

-32.53%

-33.14%

+0.61%

Max Drawdown (10Y)

Largest decline over 10 years

-32.53%

-33.14%

+0.61%

Current Drawdown

Current decline from peak

-3.63%

-4.38%

+0.75%

Average Drawdown

Average peak-to-trough decline

-7.54%

-21.67%

+14.13%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.29%

4.05%

+0.24%

Volatility

GSJY vs. EWJ - Volatility Comparison

The current volatility for Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) is 6.77%, while iShares MSCI Japan ETF (EWJ) has a volatility of 7.67%. This indicates that GSJY experiences smaller price fluctuations and is considered to be less risky than EWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

GSJYEWJDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.77%

7.67%

-0.90%

Volatility (6M)

Calculated over the trailing 6-month period

16.73%

17.04%

-0.31%

Volatility (1Y)

Calculated over the trailing 1-year period

20.39%

20.80%

-0.41%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.28%

18.54%

-0.26%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.09%

17.35%

-0.26%

GSJY vs. EWJ - Expense Ratio Comparison

GSJY has a 0.25% expense ratio, which is lower than EWJ's 0.49% expense ratio.

Dividends

GSJY vs. EWJ - Dividend Comparison

GSJY's dividend yield for the trailing twelve months is around 2.05%, less than EWJ's 3.84% yield.

PositionTTM20252024202320222021202020192018201720162015
EWJ
iShares MSCI Japan ETF		3.84%4.52%2.34%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%
GSJY
Goldman Sachs ActiveBeta Japan Equity ETF		2.05%1.99%1.64%2.11%2.13%1.73%1.22%2.79%3.28%1.70%2.09%0.00%

Frequently Asked Questions

With a correlation of 0.99, GSJY and EWJ move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

EWJ has higher volatility (7.67%) compared to GSJY (6.77%). In terms of maximum drawdown, GSJY dropped -32.53% vs EWJ's -60.93%.

On 10-year performance, GSJY leads with 9.08% vs 9.06% for EWJ. On fees, GSJY is cheaper at 0.25% per year. On volatility, GSJY has been the lower-risk option at 6.77%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, GSJY has performed better with a 9.08% return vs 9.06%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

GSJY is cheaper with a 0.25% expense ratio, compared with 0.49% for EWJ.

EWJ has the higher dividend yield at 3.84%, compared with 2.05% for GSJY.

GSJY tracks Goldman Sachs ActiveBeta Japan Equity Index, while EWJ tracks MSCI Japan Index. They also come from different issuers: Goldman Sachs and iShares. Their fees differ too: 0.25% for GSJY and 0.49% for EWJ.

EWJ currently has the higher Sharpe Ratio (1.63 vs 1.56), 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.

Portfolio Optimizer

Find the right allocation for GSJY and EWJ

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer