SCZ vs. IWM
Compare and contrast key facts about iShares MSCI EAFE Small-Cap ETF (SCZ) and iShares Russell 2000 ETF (IWM).
SCZ and IWM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SCZ is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Small Cap Index. It was launched on Dec 10, 2007. IWM is a passively managed fund by iShares that tracks the performance of the Russell 2000 Index. It was launched on May 22, 2000. Both SCZ and IWM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SCZ or IWM.
Performance
SCZ vs. IWM - Performance Comparison
Returns By Period
In the year-to-date period, SCZ achieves a 1.77% return, which is significantly lower than IWM's 14.83% return. Over the past 10 years, SCZ has underperformed IWM with an annualized return of 5.35%, while IWM has yielded a comparatively higher 8.43% annualized return.
SCZ
1.77%
-5.32%
-2.30%
11.72%
3.13%
5.35%
IWM
14.83%
0.77%
10.49%
31.53%
8.96%
8.43%
Key characteristics
| SCZ | IWM | |
|---|---|---|
| Sharpe Ratio | 0.79 | 1.40 |
| Sortino Ratio | 1.17 | 2.05 |
| Omega Ratio | 1.14 | 1.24 |
| Calmar Ratio | 0.46 | 1.16 |
| Martin Ratio | 3.75 | 7.77 |
| Ulcer Index | 2.91% | 3.78% |
| Daily Std Dev | 13.89% | 21.07% |
| Max Drawdown | -61.86% | -59.05% |
| Current Drawdown | -14.64% | -5.47% |
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SCZ vs. IWM - Expense Ratio Comparison
SCZ has a 0.40% expense ratio, which is higher than IWM's 0.19% expense ratio.
Correlation
The correlation between SCZ and IWM is 0.72, 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.
Risk-Adjusted Performance
SCZ vs. IWM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Small-Cap ETF (SCZ) and iShares Russell 2000 ETF (IWM). 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.
Dividends
SCZ vs. IWM - Dividend Comparison
SCZ's dividend yield for the trailing twelve months is around 2.78%, more than IWM's 1.12% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SCZ iShares MSCI EAFE Small-Cap ETF | 2.78% | 2.95% | 1.99% | 2.96% | 1.52% | 3.51% | 2.79% | 2.38% | 2.82% | 2.06% | 2.61% | 2.40% |
IWM iShares Russell 2000 ETF | 1.12% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% | 1.26% | 1.23% |
Drawdowns
SCZ vs. IWM - Drawdown Comparison
The maximum SCZ drawdown since its inception was -61.86%, roughly equal to the maximum IWM drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for SCZ and IWM. For additional features, visit the drawdowns tool.
Volatility
SCZ vs. IWM - Volatility Comparison
The current volatility for iShares MSCI EAFE Small-Cap ETF (SCZ) is 3.98%, while iShares Russell 2000 ETF (IWM) has a volatility of 7.67%. This indicates that SCZ experiences smaller price fluctuations and is considered to be less risky than IWM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.