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KSA vs. EZA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

KSA vs. EZA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Saudi Arabia ETF (KSA) and iShares MSCI South Africa ETF (EZA). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
0.14%
9.64%
KSA
EZA

Returns By Period

In the year-to-date period, KSA achieves a -0.57% return, which is significantly lower than EZA's 15.80% return.


KSA

YTD

-0.57%

1M

-0.43%

6M

0.14%

1Y

7.41%

5Y (annualized)

8.72%

10Y (annualized)

N/A

EZA

YTD

15.80%

1M

-5.74%

6M

9.64%

1Y

21.45%

5Y (annualized)

3.50%

10Y (annualized)

0.09%

Key characteristics


KSAEZA
Sharpe Ratio0.600.87
Sortino Ratio0.911.36
Omega Ratio1.121.16
Calmar Ratio0.390.63
Martin Ratio1.534.00
Ulcer Index5.19%5.43%
Daily Std Dev13.35%25.01%
Max Drawdown-40.56%-64.64%
Current Drawdown-13.87%-13.75%

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KSA vs. EZA - Expense Ratio Comparison

KSA has a 0.74% expense ratio, which is higher than EZA's 0.59% expense ratio.


KSA
iShares MSCI Saudi Arabia ETF
Expense ratio chart for KSA: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%
Expense ratio chart for EZA: 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%

Correlation

-0.50.00.51.00.4

The correlation between KSA and EZA is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

KSA vs. EZA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Saudi Arabia ETF (KSA) and iShares MSCI South Africa ETF (EZA). 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 KSA, currently valued at 0.60, compared to the broader market0.002.004.000.600.87
The chart of Sortino ratio for KSA, currently valued at 0.91, compared to the broader market-2.000.002.004.006.008.0010.000.911.36
The chart of Omega ratio for KSA, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.16
The chart of Calmar ratio for KSA, currently valued at 0.39, compared to the broader market0.005.0010.0015.000.390.63
The chart of Martin ratio for KSA, currently valued at 1.53, compared to the broader market0.0020.0040.0060.0080.00100.001.534.00
KSA
EZA

The current KSA Sharpe Ratio is 0.60, which is lower than the EZA Sharpe Ratio of 0.87. The chart below compares the historical Sharpe Ratios of KSA and EZA, 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 Ratio0.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.60
0.87
KSA
EZA

Dividends

KSA vs. EZA - Dividend Comparison

KSA's dividend yield for the trailing twelve months is around 2.79%, more than EZA's 2.38% yield.


TTM20232022202120202019201820172016201520142013
KSA
iShares MSCI Saudi Arabia ETF
2.79%2.44%1.93%1.58%1.76%2.15%2.51%2.30%3.06%0.04%0.00%0.00%
EZA
iShares MSCI South Africa ETF
2.38%2.84%3.90%2.05%5.51%12.27%3.81%1.55%4.10%3.03%2.20%2.44%

Drawdowns

KSA vs. EZA - Drawdown Comparison

The maximum KSA drawdown since its inception was -40.56%, smaller than the maximum EZA drawdown of -64.64%. Use the drawdown chart below to compare losses from any high point for KSA and EZA. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-13.87%
-13.75%
KSA
EZA

Volatility

KSA vs. EZA - Volatility Comparison

The current volatility for iShares MSCI Saudi Arabia ETF (KSA) is 3.49%, while iShares MSCI South Africa ETF (EZA) has a volatility of 7.48%. This indicates that KSA experiences smaller price fluctuations and is considered to be less risky than EZA 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%JuneJulyAugustSeptemberOctoberNovember
3.49%
7.48%
KSA
EZA