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

Key characteristics


KSAEZA
YTD Return0.78%20.98%
1Y Return10.19%26.28%
3Y Return (Ann)1.23%4.10%
5Y Return (Ann)9.85%4.49%
Sharpe Ratio0.841.22
Sortino Ratio1.231.84
Omega Ratio1.161.21
Calmar Ratio0.500.91
Martin Ratio2.215.85
Ulcer Index5.05%5.30%
Daily Std Dev13.36%25.16%
Max Drawdown-40.56%-64.64%
Current Drawdown-12.71%-9.89%

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.

Performance

KSA vs. EZA - Performance Comparison

In the year-to-date period, KSA achieves a 0.78% return, which is significantly lower than EZA's 20.98% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
-1.61%
21.10%
KSA
EZA

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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%

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.


KSA
Sharpe ratio
The chart of Sharpe ratio for KSA, currently valued at 0.84, compared to the broader market0.002.004.000.84
Sortino ratio
The chart of Sortino ratio for KSA, currently valued at 1.23, compared to the broader market0.005.0010.001.23
Omega ratio
The chart of Omega ratio for KSA, currently valued at 1.16, compared to the broader market1.001.502.002.503.003.501.16
Calmar ratio
The chart of Calmar ratio for KSA, currently valued at 0.50, compared to the broader market0.005.0010.0015.0020.000.50
Martin ratio
The chart of Martin ratio for KSA, currently valued at 2.21, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.21
EZA
Sharpe ratio
The chart of Sharpe ratio for EZA, currently valued at 1.22, compared to the broader market0.002.004.001.22
Sortino ratio
The chart of Sortino ratio for EZA, currently valued at 1.84, compared to the broader market0.005.0010.001.84
Omega ratio
The chart of Omega ratio for EZA, currently valued at 1.21, compared to the broader market1.001.502.002.503.003.501.21
Calmar ratio
The chart of Calmar ratio for EZA, currently valued at 0.91, compared to the broader market0.005.0010.0015.0020.000.91
Martin ratio
The chart of Martin ratio for EZA, currently valued at 5.85, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.85

KSA vs. EZA - Sharpe Ratio Comparison

The current KSA Sharpe Ratio is 0.84, which is lower than the EZA Sharpe Ratio of 1.22. 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
0.84
1.22
KSA
EZA

Dividends

KSA vs. EZA - Dividend Comparison

KSA's dividend yield for the trailing twelve months is around 2.75%, more than EZA's 2.28% yield.


TTM20232022202120202019201820172016201520142013
KSA
iShares MSCI Saudi Arabia ETF
2.75%2.44%1.93%1.58%1.76%2.15%2.51%2.30%3.05%0.04%0.00%0.00%
EZA
iShares MSCI South Africa ETF
2.28%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
-12.71%
-9.89%
KSA
EZA

Volatility

KSA vs. EZA - Volatility Comparison

The current volatility for iShares MSCI Saudi Arabia ETF (KSA) is 2.96%, while iShares MSCI South Africa ETF (EZA) has a volatility of 5.00%. 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
2.96%
5.00%
KSA
EZA