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ILF vs. EWW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ILFEWW
YTD Return-13.14%-23.04%
1Y Return-2.12%-10.95%
3Y Return (Ann)8.04%4.15%
5Y Return (Ann)0.13%5.16%
10Y Return (Ann)0.61%-0.43%
Sharpe Ratio-0.04-0.41
Sortino Ratio0.07-0.41
Omega Ratio1.010.95
Calmar Ratio-0.02-0.37
Martin Ratio-0.09-0.71
Ulcer Index8.05%14.18%
Daily Std Dev18.01%24.46%
Max Drawdown-67.48%-64.95%
Current Drawdown-26.23%-26.00%

Correlation

-0.50.00.51.00.8

The correlation between ILF and EWW is 0.76, 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.

Performance

ILF vs. EWW - Performance Comparison

In the year-to-date period, ILF achieves a -13.14% return, which is significantly higher than EWW's -23.04% return. Over the past 10 years, ILF has outperformed EWW with an annualized return of 0.61%, while EWW has yielded a comparatively lower -0.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.30%
-22.52%
ILF
EWW

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ILF vs. EWW - Expense Ratio Comparison

ILF has a 0.48% expense ratio, which is lower than EWW's 0.49% expense ratio.


EWW
iShares MSCI Mexico ETF
Expense ratio chart for EWW: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for ILF: current value at 0.48% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.48%

Risk-Adjusted Performance

ILF vs. EWW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Latin American 40 ETF (ILF) and iShares MSCI Mexico ETF (EWW). 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.


ILF
Sharpe ratio
The chart of Sharpe ratio for ILF, currently valued at -0.04, compared to the broader market0.002.004.00-0.04
Sortino ratio
The chart of Sortino ratio for ILF, currently valued at 0.07, compared to the broader market0.005.0010.000.07
Omega ratio
The chart of Omega ratio for ILF, currently valued at 1.01, compared to the broader market1.001.502.002.503.003.501.01
Calmar ratio
The chart of Calmar ratio for ILF, currently valued at -0.02, compared to the broader market0.005.0010.0015.0020.00-0.02
Martin ratio
The chart of Martin ratio for ILF, currently valued at -0.09, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.09
EWW
Sharpe ratio
The chart of Sharpe ratio for EWW, currently valued at -0.41, compared to the broader market0.002.004.00-0.41
Sortino ratio
The chart of Sortino ratio for EWW, currently valued at -0.41, compared to the broader market0.005.0010.00-0.41
Omega ratio
The chart of Omega ratio for EWW, currently valued at 0.95, compared to the broader market1.001.502.002.503.003.500.95
Calmar ratio
The chart of Calmar ratio for EWW, currently valued at -0.37, compared to the broader market0.005.0010.0015.0020.00-0.37
Martin ratio
The chart of Martin ratio for EWW, currently valued at -0.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.71

ILF vs. EWW - Sharpe Ratio Comparison

The current ILF Sharpe Ratio is -0.04, which is higher than the EWW Sharpe Ratio of -0.41. The chart below compares the historical Sharpe Ratios of ILF and EWW, 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 Ratio-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
-0.04
-0.41
ILF
EWW

Dividends

ILF vs. EWW - Dividend Comparison

ILF's dividend yield for the trailing twelve months is around 6.19%, more than EWW's 2.90% yield.


TTM20232022202120202019201820172016201520142013
ILF
iShares Latin American 40 ETF
6.19%4.61%12.72%8.47%1.88%3.09%3.12%1.80%1.59%3.24%2.31%3.30%
EWW
iShares MSCI Mexico ETF
2.90%2.19%3.63%2.06%1.42%2.91%2.29%2.21%1.76%2.31%1.22%1.93%

Drawdowns

ILF vs. EWW - Drawdown Comparison

The maximum ILF drawdown since its inception was -67.48%, roughly equal to the maximum EWW drawdown of -64.95%. Use the drawdown chart below to compare losses from any high point for ILF and EWW. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%JuneJulyAugustSeptemberOctoberNovember
-26.23%
-26.00%
ILF
EWW

Volatility

ILF vs. EWW - Volatility Comparison

iShares Latin American 40 ETF (ILF) and iShares MSCI Mexico ETF (EWW) have volatilities of 4.02% and 4.17%, 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.


4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
4.02%
4.17%
ILF
EWW