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

Performance

KSA vs. VDE - Performance Comparison

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

-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
0.07%
2.99%
KSA
VDE

Returns By Period

In the year-to-date period, KSA achieves a -0.47% return, which is significantly lower than VDE's 16.37% return.


KSA

YTD

-0.47%

1M

-0.34%

6M

0.07%

1Y

7.05%

5Y (annualized)

8.69%

10Y (annualized)

N/A

VDE

YTD

16.37%

1M

5.80%

6M

2.99%

1Y

15.82%

5Y (annualized)

15.96%

10Y (annualized)

4.20%

Key characteristics


KSAVDE
Sharpe Ratio0.560.89
Sortino Ratio0.861.30
Omega Ratio1.111.16
Calmar Ratio0.371.19
Martin Ratio1.442.87
Ulcer Index5.21%5.56%
Daily Std Dev13.33%17.92%
Max Drawdown-40.56%-74.16%
Current Drawdown-13.79%-0.89%

Compare stocks, funds, or ETFs

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


KSA vs. VDE - Expense Ratio Comparison

KSA has a 0.74% expense ratio, which is higher than VDE's 0.10% 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 VDE: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.00.3

The correlation between KSA and VDE is 0.32, 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. VDE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Saudi Arabia ETF (KSA) and Vanguard Energy ETF (VDE). 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 0.56, compared to the broader market0.002.004.006.000.560.89
The chart of Sortino ratio for KSA, currently valued at 0.86, compared to the broader market-2.000.002.004.006.008.0010.0012.000.861.30
The chart of Omega ratio for KSA, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.16
The chart of Calmar ratio for KSA, currently valued at 0.37, compared to the broader market0.005.0010.0015.000.371.19
The chart of Martin ratio for KSA, currently valued at 1.44, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.442.87
KSA
VDE

The current KSA Sharpe Ratio is 0.56, which is lower than the VDE Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of KSA and VDE, 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
0.56
0.89
KSA
VDE

Dividends

KSA vs. VDE - Dividend Comparison

KSA's dividend yield for the trailing twelve months is around 2.78%, less than VDE's 3.01% yield.


TTM20232022202120202019201820172016201520142013
KSA
iShares MSCI Saudi Arabia ETF
2.78%2.44%1.93%1.58%1.76%2.15%2.51%2.30%3.06%0.04%0.00%0.00%
VDE
Vanguard Energy ETF
3.01%3.34%3.65%4.13%4.76%3.59%3.35%2.90%2.31%3.17%1.98%1.74%

Drawdowns

KSA vs. VDE - Drawdown Comparison

The maximum KSA drawdown since its inception was -40.56%, smaller than the maximum VDE drawdown of -74.16%. Use the drawdown chart below to compare losses from any high point for KSA and VDE. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-13.79%
-0.89%
KSA
VDE

Volatility

KSA vs. VDE - Volatility Comparison

The current volatility for iShares MSCI Saudi Arabia ETF (KSA) is 3.33%, while Vanguard Energy ETF (VDE) has a volatility of 5.20%. This indicates that KSA experiences smaller price fluctuations and is considered to be less risky than VDE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.33%
5.20%
KSA
VDE