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

Key characteristics


NORWEWD
YTD Return0.79%2.69%
1Y Return12.50%26.59%
3Y Return (Ann)-4.51%-3.26%
5Y Return (Ann)6.82%7.57%
10Y Return (Ann)4.01%5.46%
Sharpe Ratio0.701.44
Sortino Ratio1.052.01
Omega Ratio1.131.25
Calmar Ratio0.540.95
Martin Ratio3.206.13
Ulcer Index4.10%4.42%
Daily Std Dev18.67%18.76%
Max Drawdown-35.62%-74.27%
Current Drawdown-14.84%-9.60%

Correlation

-0.50.00.51.00.8

The correlation between NORW and EWD is 0.82, 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

NORW vs. EWD - Performance Comparison

In the year-to-date period, NORW achieves a 0.79% return, which is significantly lower than EWD's 2.69% return. Over the past 10 years, NORW has underperformed EWD with an annualized return of 4.01%, while EWD has yielded a comparatively higher 5.46% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.45%
-0.79%
NORW
EWD

Compare stocks, funds, or ETFs

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


NORW vs. EWD - Expense Ratio Comparison

NORW has a 0.50% expense ratio, which is lower than EWD's 0.55% expense ratio.


EWD
iShares MSCI Sweden ETF
Expense ratio chart for EWD: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
Expense ratio chart for NORW: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Risk-Adjusted Performance

NORW vs. EWD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X MSCI Norway ETF (NORW) and iShares MSCI Sweden ETF (EWD). 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.


NORW
Sharpe ratio
The chart of Sharpe ratio for NORW, currently valued at 0.70, compared to the broader market-2.000.002.004.000.70
Sortino ratio
The chart of Sortino ratio for NORW, currently valued at 1.05, compared to the broader market0.005.0010.001.05
Omega ratio
The chart of Omega ratio for NORW, currently valued at 1.13, compared to the broader market1.001.502.002.503.001.13
Calmar ratio
The chart of Calmar ratio for NORW, currently valued at 0.54, compared to the broader market0.005.0010.0015.000.54
Martin ratio
The chart of Martin ratio for NORW, currently valued at 3.20, compared to the broader market0.0020.0040.0060.0080.00100.003.20
EWD
Sharpe ratio
The chart of Sharpe ratio for EWD, currently valued at 1.44, compared to the broader market-2.000.002.004.001.44
Sortino ratio
The chart of Sortino ratio for EWD, currently valued at 2.01, compared to the broader market0.005.0010.002.01
Omega ratio
The chart of Omega ratio for EWD, currently valued at 1.25, compared to the broader market1.001.502.002.503.001.25
Calmar ratio
The chart of Calmar ratio for EWD, currently valued at 0.95, compared to the broader market0.005.0010.0015.000.95
Martin ratio
The chart of Martin ratio for EWD, currently valued at 6.13, compared to the broader market0.0020.0040.0060.0080.00100.006.13

NORW vs. EWD - Sharpe Ratio Comparison

The current NORW Sharpe Ratio is 0.70, which is lower than the EWD Sharpe Ratio of 1.44. The chart below compares the historical Sharpe Ratios of NORW and EWD, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.70
1.44
NORW
EWD

Dividends

NORW vs. EWD - Dividend Comparison

NORW's dividend yield for the trailing twelve months is around 5.26%, more than EWD's 4.04% yield.


TTM20232022202120202019201820172016201520142013
NORW
Global X MSCI Norway ETF
5.26%5.27%4.01%2.42%1.13%2.47%3.54%3.64%3.78%2.95%3.85%2.58%
EWD
iShares MSCI Sweden ETF
4.04%2.41%3.68%5.46%0.98%4.15%5.17%3.23%3.91%4.08%3.92%3.47%

Drawdowns

NORW vs. EWD - Drawdown Comparison

The maximum NORW drawdown since its inception was -35.62%, smaller than the maximum EWD drawdown of -74.27%. Use the drawdown chart below to compare losses from any high point for NORW and EWD. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-14.84%
-9.60%
NORW
EWD

Volatility

NORW vs. EWD - Volatility Comparison

The current volatility for Global X MSCI Norway ETF (NORW) is 5.44%, while iShares MSCI Sweden ETF (EWD) has a volatility of 5.86%. This indicates that NORW experiences smaller price fluctuations and is considered to be less risky than EWD 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
5.44%
5.86%
NORW
EWD