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GSJY vs. EWJV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GSJY and EWJV is 0.85, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

GSJY vs. EWJV - 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 Value ETF (EWJV). The values are adjusted to include any dividend payments, if applicable.

30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
38.28%
51.24%
GSJY
EWJV

Key characteristics

Sharpe Ratio

GSJY:

0.62

EWJV:

0.73

Sortino Ratio

GSJY:

0.95

EWJV:

1.06

Omega Ratio

GSJY:

1.12

EWJV:

1.14

Calmar Ratio

GSJY:

0.93

EWJV:

1.05

Martin Ratio

GSJY:

2.66

EWJV:

3.45

Ulcer Index

GSJY:

4.07%

EWJV:

3.67%

Daily Std Dev

GSJY:

17.41%

EWJV:

17.39%

Max Drawdown

GSJY:

-32.53%

EWJV:

-30.05%

Current Drawdown

GSJY:

-7.17%

EWJV:

-6.66%

Returns By Period

In the year-to-date period, GSJY achieves a 7.46% return, which is significantly lower than EWJV's 9.09% return.


GSJY

YTD

7.46%

1M

0.14%

6M

3.29%

1Y

9.04%

5Y*

3.99%

10Y*

N/A

EWJV

YTD

9.09%

1M

-0.44%

6M

2.29%

1Y

11.11%

5Y*

6.16%

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.


GSJY vs. EWJV - Expense Ratio Comparison

GSJY has a 0.25% expense ratio, which is higher than EWJV's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


GSJY
Goldman Sachs ActiveBeta Japan Equity ETF
Expense ratio chart for GSJY: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for EWJV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

GSJY vs. EWJV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) and iShares MSCI Japan Value ETF (EWJV). 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 GSJY, currently valued at 0.62, compared to the broader market0.002.004.000.620.73
The chart of Sortino ratio for GSJY, currently valued at 0.95, compared to the broader market-2.000.002.004.006.008.0010.000.951.06
The chart of Omega ratio for GSJY, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.14
The chart of Calmar ratio for GSJY, currently valued at 0.93, compared to the broader market0.005.0010.0015.000.931.05
The chart of Martin ratio for GSJY, currently valued at 2.66, compared to the broader market0.0020.0040.0060.0080.00100.002.663.45
GSJY
EWJV

The current GSJY Sharpe Ratio is 0.62, which is comparable to the EWJV Sharpe Ratio of 0.73. The chart below compares the historical Sharpe Ratios of GSJY and EWJV, 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 Ratio0.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.62
0.73
GSJY
EWJV

Dividends

GSJY vs. EWJV - Dividend Comparison

GSJY's dividend yield for the trailing twelve months is around 1.97%, less than EWJV's 4.19% yield.


TTM20232022202120202019201820172016
GSJY
Goldman Sachs ActiveBeta Japan Equity ETF
1.97%2.12%2.13%1.73%1.12%2.79%3.28%1.70%2.09%
EWJV
iShares MSCI Japan Value ETF
4.19%3.32%2.71%2.47%1.97%4.29%0.00%0.00%0.00%

Drawdowns

GSJY vs. EWJV - Drawdown Comparison

The maximum GSJY drawdown since its inception was -32.53%, which is greater than EWJV's maximum drawdown of -30.05%. Use the drawdown chart below to compare losses from any high point for GSJY and EWJV. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.17%
-6.66%
GSJY
EWJV

Volatility

GSJY vs. EWJV - Volatility Comparison

Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) and iShares MSCI Japan Value ETF (EWJV) have volatilities of 4.77% and 4.66%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.77%
4.66%
GSJY
EWJV
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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.

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