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QAT vs. ENOR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


QATENOR
YTD Return6.27%1.13%
1Y Return13.80%11.01%
3Y Return (Ann)-0.29%-4.48%
5Y Return (Ann)4.62%3.85%
10Y Return (Ann)0.37%2.02%
Sharpe Ratio1.000.61
Sortino Ratio1.480.91
Omega Ratio1.181.11
Calmar Ratio0.460.44
Martin Ratio3.712.71
Ulcer Index3.77%4.11%
Daily Std Dev14.09%18.29%
Max Drawdown-45.21%-55.37%
Current Drawdown-18.71%-14.68%

Correlation

-0.50.00.51.00.3

The correlation between QAT and ENOR is 0.28, 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

QAT vs. ENOR - Performance Comparison

In the year-to-date period, QAT achieves a 6.27% return, which is significantly higher than ENOR's 1.13% return. Over the past 10 years, QAT has underperformed ENOR with an annualized return of 0.37%, while ENOR has yielded a comparatively higher 2.02% 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
11.57%
0.76%
QAT
ENOR

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QAT vs. ENOR - Expense Ratio Comparison

QAT has a 0.59% expense ratio, which is higher than ENOR's 0.53% expense ratio.


QAT
iShares MSCI Qatar ETF
Expense ratio chart for QAT: 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 ENOR: current value at 0.53% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.53%

Risk-Adjusted Performance

QAT vs. ENOR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Qatar ETF (QAT) and iShares MSCI Norway ETF (ENOR). 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.


QAT
Sharpe ratio
The chart of Sharpe ratio for QAT, currently valued at 1.00, compared to the broader market0.002.004.006.001.00
Sortino ratio
The chart of Sortino ratio for QAT, currently valued at 1.48, compared to the broader market0.005.0010.001.48
Omega ratio
The chart of Omega ratio for QAT, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for QAT, currently valued at 0.46, compared to the broader market0.005.0010.0015.0020.000.46
Martin ratio
The chart of Martin ratio for QAT, currently valued at 3.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.71
ENOR
Sharpe ratio
The chart of Sharpe ratio for ENOR, currently valued at 0.61, compared to the broader market0.002.004.006.000.61
Sortino ratio
The chart of Sortino ratio for ENOR, currently valued at 0.91, compared to the broader market0.005.0010.000.91
Omega ratio
The chart of Omega ratio for ENOR, currently valued at 1.11, compared to the broader market1.001.502.002.503.001.11
Calmar ratio
The chart of Calmar ratio for ENOR, currently valued at 0.44, compared to the broader market0.005.0010.0015.0020.000.44
Martin ratio
The chart of Martin ratio for ENOR, currently valued at 2.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.71

QAT vs. ENOR - Sharpe Ratio Comparison

The current QAT Sharpe Ratio is 1.00, which is higher than the ENOR Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of QAT and ENOR, 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-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
1.00
0.61
QAT
ENOR

Dividends

QAT vs. ENOR - Dividend Comparison

QAT's dividend yield for the trailing twelve months is around 4.19%, less than ENOR's 5.43% yield.


TTM20232022202120202019201820172016201520142013
QAT
iShares MSCI Qatar ETF
4.19%3.92%4.78%2.33%2.63%3.57%4.63%4.10%3.51%4.49%0.00%0.00%
ENOR
iShares MSCI Norway ETF
5.43%5.06%4.02%2.24%2.39%3.15%2.79%2.47%2.96%3.24%4.52%0.63%

Drawdowns

QAT vs. ENOR - Drawdown Comparison

The maximum QAT drawdown since its inception was -45.21%, smaller than the maximum ENOR drawdown of -55.37%. Use the drawdown chart below to compare losses from any high point for QAT and ENOR. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-18.71%
-14.68%
QAT
ENOR

Volatility

QAT vs. ENOR - Volatility Comparison

iShares MSCI Qatar ETF (QAT) has a higher volatility of 4.70% compared to iShares MSCI Norway ETF (ENOR) at 4.20%. This indicates that QAT's price experiences larger fluctuations and is considered to be riskier than ENOR 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
4.70%
4.20%
QAT
ENOR