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

Performance

ILF vs. EWZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Latin American 40 ETF (ILF) and iShares MSCI Brazil ETF (EWZ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-11.09%
-9.24%
ILF
EWZ

Returns By Period

In the year-to-date period, ILF achieves a -15.68% return, which is significantly higher than EWZ's -20.46% return. Over the past 10 years, ILF has outperformed EWZ with an annualized return of 0.04%, while EWZ has yielded a comparatively lower -0.04% annualized return.


ILF

YTD

-15.68%

1M

-5.24%

6M

-11.09%

1Y

-9.06%

5Y (annualized)

0.07%

10Y (annualized)

0.04%

EWZ

YTD

-20.46%

1M

-4.20%

6M

-9.24%

1Y

-14.71%

5Y (annualized)

-2.78%

10Y (annualized)

-0.04%

Key characteristics


ILFEWZ
Sharpe Ratio-0.51-0.73
Sortino Ratio-0.61-0.95
Omega Ratio0.930.89
Calmar Ratio-0.30-0.32
Martin Ratio-1.04-1.15
Ulcer Index8.70%12.85%
Daily Std Dev17.54%20.16%
Max Drawdown-67.48%-77.27%
Current Drawdown-28.39%-46.55%

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ILF vs. EWZ - Expense Ratio Comparison

ILF has a 0.48% expense ratio, which is lower than EWZ's 0.59% expense ratio.


EWZ
iShares MSCI Brazil ETF
Expense ratio chart for EWZ: 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 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%

Correlation

-0.50.00.51.00.9

The correlation between ILF and EWZ is 0.90, 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.

Risk-Adjusted Performance

ILF vs. EWZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Latin American 40 ETF (ILF) and iShares MSCI Brazil ETF (EWZ). 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 ILF, currently valued at -0.51, compared to the broader market0.002.004.00-0.51-0.73
The chart of Sortino ratio for ILF, currently valued at -0.61, compared to the broader market-2.000.002.004.006.008.0010.00-0.61-0.95
The chart of Omega ratio for ILF, currently valued at 0.93, compared to the broader market0.501.001.502.002.503.000.930.89
The chart of Calmar ratio for ILF, currently valued at -0.30, compared to the broader market0.005.0010.0015.00-0.30-0.32
The chart of Martin ratio for ILF, currently valued at -1.04, compared to the broader market0.0020.0040.0060.0080.00100.00-1.04-1.15
ILF
EWZ

The current ILF Sharpe Ratio is -0.51, which is comparable to the EWZ Sharpe Ratio of -0.73. The chart below compares the historical Sharpe Ratios of ILF and EWZ, 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-0.500.000.50JuneJulyAugustSeptemberOctoberNovember
-0.51
-0.73
ILF
EWZ

Dividends

ILF vs. EWZ - Dividend Comparison

ILF's dividend yield for the trailing twelve months is around 6.38%, less than EWZ's 7.93% yield.


TTM20232022202120202019201820172016201520142013
ILF
iShares Latin American 40 ETF
6.38%4.61%12.72%8.47%1.88%3.09%3.12%1.81%1.59%3.25%2.32%3.32%
EWZ
iShares MSCI Brazil ETF
7.93%5.66%12.59%9.87%1.71%2.54%2.89%1.71%1.81%4.08%3.78%3.23%

Drawdowns

ILF vs. EWZ - Drawdown Comparison

The maximum ILF drawdown since its inception was -67.48%, smaller than the maximum EWZ drawdown of -77.27%. Use the drawdown chart below to compare losses from any high point for ILF and EWZ. For additional features, visit the drawdowns tool.


-45.00%-40.00%-35.00%-30.00%-25.00%-20.00%JuneJulyAugustSeptemberOctoberNovember
-28.39%
-46.55%
ILF
EWZ

Volatility

ILF vs. EWZ - Volatility Comparison

The current volatility for iShares Latin American 40 ETF (ILF) is 4.25%, while iShares MSCI Brazil ETF (EWZ) has a volatility of 5.65%. This indicates that ILF experiences smaller price fluctuations and is considered to be less risky than EWZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.25%
5.65%
ILF
EWZ