SBS vs. EWO
SBS (Companhia de Saneamento Básico do Estado de São Paulo - SABESP) is a stock, while EWO (iShares MSCI Austria ETF) is Europe Equities fund tracking the MSCI Austria Investable Market Index. Over the past 10 years, SBS returned 16.84%/yr vs 14.00%/yr for EWO. At a 0.34 correlation, their price movements are largely independent.
Performance
SBS vs. EWO - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with SBS having a 14.02% return and EWO slightly higher at 14.52%. Over the past 10 years, SBS has outperformed EWO with an annualized return of 16.84%, while EWO has yielded a comparatively lower 14.00% annualized return.
SBS
- 1D
- -2.35%
- 1M
- -17.83%
- YTD
- 14.02%
- 6M
- 6.93%
- 1Y
- 38.88%
- 3Y*
- 40.81%
- 5Y*
- 32.43%
- 10Y*
- 16.84%
EWO
- 1D
- -1.79%
- 1M
- 5.62%
- YTD
- 14.52%
- 6M
- 21.29%
- 1Y
- 43.71%
- 3Y*
- 33.18%
- 5Y*
- 14.75%
- 10Y*
- 14.00%
SBS vs. EWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SBS Companhia de Saneamento Básico do Estado de São Paulo - SABESP | 14.02% | 80.60% | -4.21% | 46.89% | 48.42% | -13.79% | -40.98% | 91.22% | -20.37% | 23.83% |
EWO iShares MSCI Austria ETF | 14.52% | 74.21% | 4.05% | 20.63% | -21.95% | 31.50% | -3.67% | 17.05% | -22.88% | 52.47% |
Correlation
The correlation between SBS and EWO is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.37 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.29 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.28 |
Correlation (All Time) Calculated using the full available price history since May 13, 2002 | 0.34 |
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Return for Risk
SBS vs. EWO — Risk / Return Rank
SBS
EWO
SBS vs. EWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Companhia de Saneamento Básico do Estado de São Paulo - SABESP (SBS) and iShares MSCI Austria ETF (EWO). 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.
| SBS | EWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.22 | ||
| Sortino ratioReturn per unit of downside risk | -1.49 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.40 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 1.64 | 3.12 | -1.47 |
| Martin ratioReturn relative to average drawdown | 5.35 | 10.58 | -5.23 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SBS | EWO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.16 | 2.38 | -1.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.88 | 0.68 | +0.21 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.39 | 0.61 | -0.23 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.35 | 0.27 | +0.08 |
Drawdowns
SBS vs. EWO - Drawdown Comparison
The maximum SBS drawdown since its inception was -76.49%, roughly equal to the maximum EWO drawdown of -75.69%. Use the drawdown chart below to compare losses from any high point for SBS and EWO.
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Drawdown Indicators
| SBS | EWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -76.49% | -75.69% | -0.80% |
Max Drawdown (1Y)Largest decline over 1 year | -23.75% | -14.08% | -9.67% |
Max Drawdown (3Y)Largest decline over 3 years | -23.79% | -16.75% | -7.04% |
Max Drawdown (5Y)Largest decline over 5 years | -30.35% | -41.82% | +11.47% |
Max Drawdown (10Y)Largest decline over 10 years | -61.91% | -58.10% | -3.81% |
Current DrawdownCurrent decline from peak | -23.75% | -1.79% | -21.96% |
Average DrawdownAverage peak-to-trough decline | -25.71% | -28.12% | +2.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.28% | 4.14% | +3.14% |
Volatility
SBS vs. EWO - Volatility Comparison
Companhia de Saneamento Básico do Estado de São Paulo - SABESP (SBS) has a higher volatility of 9.47% compared to iShares MSCI Austria ETF (EWO) at 6.71%. This indicates that SBS's price experiences larger fluctuations and is considered to be riskier than EWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SBS | EWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.47% | 6.71% | +2.76% |
Volatility (6M)Calculated over the trailing 6-month period | 25.58% | 15.08% | +10.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 33.82% | 18.52% | +15.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.89% | 21.84% | +15.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 43.57% | 22.86% | +20.71% |
Dividends
SBS vs. EWO - Dividend Comparison
SBS's dividend yield for the trailing twelve months is around 2.36%, more than EWO's 2.08% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EWO iShares MSCI Austria ETF | 2.08% | 2.38% | 7.40% | 5.66% | 4.75% | 2.42% | 0.98% | 3.11% | 4.04% | 2.03% | 1.99% | 1.51% |
SBS Companhia de Saneamento Básico do Estado de São Paulo - SABESP | 2.36% | 4.68% | 1.96% | 1.66% | 1.88% | 0.97% | 2.93% | 1.99% | 3.86% | 2.76% | 0.65% | 1.91% |
Frequently Asked Questions
SBS and EWO have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SBS has higher volatility (9.47%) compared to EWO (6.71%). In terms of maximum drawdown, SBS dropped -76.49% vs EWO's -75.69%.
EWO currently has the higher Sharpe Ratio (2.38 vs 1.16), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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