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

Key characteristics


QATUAE
YTD Return6.27%5.68%
1Y Return13.80%8.64%
3Y Return (Ann)-0.29%2.30%
5Y Return (Ann)4.62%5.90%
10Y Return (Ann)0.37%0.57%
Sharpe Ratio1.000.64
Sortino Ratio1.480.96
Omega Ratio1.181.12
Calmar Ratio0.460.36
Martin Ratio3.712.03
Ulcer Index3.77%4.52%
Daily Std Dev14.09%14.41%
Max Drawdown-45.21%-60.44%
Current Drawdown-18.71%-14.09%

Correlation

-0.50.00.51.00.4

The correlation between QAT and UAE is 0.35, 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. UAE - Performance Comparison

In the year-to-date period, QAT achieves a 6.27% return, which is significantly higher than UAE's 5.68% return. Over the past 10 years, QAT has underperformed UAE with an annualized return of 0.37%, while UAE has yielded a comparatively higher 0.57% 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%
8.01%
QAT
UAE

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QAT vs. UAE - Expense Ratio Comparison

Both QAT and UAE have an expense ratio of 0.59%.


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 UAE: 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

QAT vs. UAE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Qatar ETF (QAT) and iShares MSCI UAE ETF (UAE). 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
UAE
Sharpe ratio
The chart of Sharpe ratio for UAE, currently valued at 0.64, compared to the broader market0.002.004.006.000.64
Sortino ratio
The chart of Sortino ratio for UAE, currently valued at 0.96, compared to the broader market0.005.0010.000.96
Omega ratio
The chart of Omega ratio for UAE, currently valued at 1.12, compared to the broader market1.001.502.002.503.001.12
Calmar ratio
The chart of Calmar ratio for UAE, currently valued at 0.36, compared to the broader market0.005.0010.0015.0020.000.36
Martin ratio
The chart of Martin ratio for UAE, currently valued at 2.03, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.03

QAT vs. UAE - Sharpe Ratio Comparison

The current QAT Sharpe Ratio is 1.00, which is higher than the UAE Sharpe Ratio of 0.64. The chart below compares the historical Sharpe Ratios of QAT and UAE, 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
0.64
QAT
UAE

Dividends

QAT vs. UAE - Dividend Comparison

QAT's dividend yield for the trailing twelve months is around 4.19%, more than UAE's 4.12% yield.


TTM2023202220212020201920182017201620152014
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%
UAE
iShares MSCI UAE ETF
4.12%3.25%2.67%4.88%4.75%3.54%5.56%3.38%4.74%3.77%2.58%

Drawdowns

QAT vs. UAE - Drawdown Comparison

The maximum QAT drawdown since its inception was -45.21%, smaller than the maximum UAE drawdown of -60.44%. Use the drawdown chart below to compare losses from any high point for QAT and UAE. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%JuneJulyAugustSeptemberOctoberNovember
-18.71%
-14.09%
QAT
UAE

Volatility

QAT vs. UAE - Volatility Comparison

iShares MSCI Qatar ETF (QAT) has a higher volatility of 4.70% compared to iShares MSCI UAE ETF (UAE) at 4.35%. This indicates that QAT's price experiences larger fluctuations and is considered to be riskier than UAE 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
4.70%
4.35%
QAT
UAE