PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
HEZU vs. EWT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between HEZU and EWT is 0.59, 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.


-0.50.00.51.00.6

Performance

HEZU vs. EWT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Currency Hedged MSCI Eurozone ETF (HEZU) and iShares MSCI Taiwan ETF (EWT). The values are adjusted to include any dividend payments, if applicable.

120.00%130.00%140.00%150.00%160.00%170.00%180.00%JulyAugustSeptemberOctoberNovemberDecember
135.54%
161.22%
HEZU
EWT

Key characteristics

Sharpe Ratio

HEZU:

0.88

EWT:

0.97

Sortino Ratio

HEZU:

1.28

EWT:

1.40

Omega Ratio

HEZU:

1.15

EWT:

1.18

Calmar Ratio

HEZU:

1.13

EWT:

1.21

Martin Ratio

HEZU:

3.70

EWT:

4.33

Ulcer Index

HEZU:

2.92%

EWT:

4.77%

Daily Std Dev

HEZU:

12.26%

EWT:

21.36%

Max Drawdown

HEZU:

-38.80%

EWT:

-64.26%

Current Drawdown

HEZU:

-3.43%

EWT:

-7.87%

Returns By Period

In the year-to-date period, HEZU achieves a 9.80% return, which is significantly lower than EWT's 13.85% return. Over the past 10 years, HEZU has underperformed EWT with an annualized return of 8.57%, while EWT has yielded a comparatively higher 10.91% annualized return.


HEZU

YTD

9.80%

1M

1.64%

6M

0.31%

1Y

9.84%

5Y*

8.61%

10Y*

8.57%

EWT

YTD

13.85%

1M

-2.32%

6M

-4.07%

1Y

18.27%

5Y*

12.17%

10Y*

10.91%

Compare stocks, funds, or ETFs

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


HEZU vs. EWT - Expense Ratio Comparison

HEZU has a 0.52% expense ratio, which is lower than EWT's 0.59% expense ratio.


EWT
iShares MSCI Taiwan ETF
Expense ratio chart for EWT: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
Expense ratio chart for HEZU: current value at 0.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.52%

Risk-Adjusted Performance

HEZU vs. EWT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI Eurozone ETF (HEZU) and iShares MSCI Taiwan ETF (EWT). 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 HEZU, currently valued at 0.88, compared to the broader market0.002.004.000.880.97
The chart of Sortino ratio for HEZU, currently valued at 1.28, compared to the broader market-2.000.002.004.006.008.0010.001.281.40
The chart of Omega ratio for HEZU, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.18
The chart of Calmar ratio for HEZU, currently valued at 1.13, compared to the broader market0.005.0010.0015.001.131.21
The chart of Martin ratio for HEZU, currently valued at 3.70, compared to the broader market0.0020.0040.0060.0080.00100.003.704.33
HEZU
EWT

The current HEZU Sharpe Ratio is 0.88, which is comparable to the EWT Sharpe Ratio of 0.97. The chart below compares the historical Sharpe Ratios of HEZU and EWT, 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 Ratio1.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.88
0.97
HEZU
EWT

Dividends

HEZU vs. EWT - Dividend Comparison

HEZU's dividend yield for the trailing twelve months is around 3.51%, more than EWT's 0.37% yield.


TTM20232022202120202019201820172016201520142013
HEZU
iShares Currency Hedged MSCI Eurozone ETF
2.79%2.52%23.25%2.25%2.32%5.40%3.47%1.92%3.11%2.68%1.15%0.00%
EWT
iShares MSCI Taiwan ETF
0.37%12.01%18.82%2.64%1.83%2.49%3.16%2.81%2.39%3.12%1.93%1.82%

Drawdowns

HEZU vs. EWT - Drawdown Comparison

The maximum HEZU drawdown since its inception was -38.80%, smaller than the maximum EWT drawdown of -64.26%. Use the drawdown chart below to compare losses from any high point for HEZU and EWT. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.43%
-7.87%
HEZU
EWT

Volatility

HEZU vs. EWT - Volatility Comparison

The current volatility for iShares Currency Hedged MSCI Eurozone ETF (HEZU) is 2.59%, while iShares MSCI Taiwan ETF (EWT) has a volatility of 5.83%. This indicates that HEZU experiences smaller price fluctuations and is considered to be less risky than EWT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
2.59%
5.83%
HEZU
EWT
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab