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.
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.
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SCZ vs. IWM - Performance Comparison
Key characteristics
SCZ:
0.27
IWM:
-0.20
SCZ:
0.48
IWM:
-0.14
SCZ:
1.06
IWM:
0.98
SCZ:
0.21
IWM:
-0.22
SCZ:
0.79
IWM:
-0.62
SCZ:
4.83%
IWM:
6.54%
SCZ:
14.16%
IWM:
20.43%
SCZ:
-61.86%
IWM:
-59.05%
SCZ:
-10.92%
IWM:
-17.26%
Returns By Period
In the year-to-date period, SCZ achieves a 4.63% return, which is significantly higher than IWM's -9.51% return. Over the past 10 years, SCZ has underperformed IWM with an annualized return of 5.15%, while IWM has yielded a comparatively higher 6.23% annualized return.
SCZ
4.63%
1.08%
-3.70%
4.27%
10.79%
5.15%
IWM
-9.51%
-6.84%
-7.96%
-3.13%
14.62%
6.23%
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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.
Risk-Adjusted Performance
SCZ vs. IWM — Risk-Adjusted Performance Rank
SCZ
IWM
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 3.34%, more than IWM's 1.24% yield.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SCZ iShares MSCI EAFE Small-Cap ETF | 3.63% | 3.50% | 2.95% | 1.99% | 2.96% | 1.52% | 3.51% | 2.79% | 2.38% | 2.82% | 2.06% | 2.61% |
IWM iShares Russell 2000 ETF | 1.36% | 1.15% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% | 1.26% |
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 7.86%, while iShares Russell 2000 ETF (IWM) has a volatility of 9.85%. 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.
User Portfolios with SCZ or IWM
Recent discussions
Going forward performance roughly coinciding with historically optimized portfolios on this site?
I'm quite new to the site, but I am concerned that a portfolio optimized with past data may have no bearing at all on its future performance. Has anyone been around long enough to speak to this concern. Have you outperformed a relevant benchmark with actual invested money?
Also, if you've been here awhile, what tools on the site do you find most useful?
Thanks for reading!
Bob Peticolas
Transactional Portfolio Use
I am trying to understand how to make the best use of transactional portfolios. At first I thought it is useful when tracking the performance of a self-managed fund. You add cash to it, transact in equities, adding each transaction to the portfolio. It then shows you its performance wrt. to a benchmark. The broker does this for you anyway, but the whole reason I started evaluating Portfolioslab is so that I can separate my single broker account into thematic baskets ("thematic funds") and track their performance individually.
The transactional portfolio in Portfolioslab does not seem to work that way. It does not consider the changes in cash position, ie. any profit/loss made on equity transactions. It does not seem to be suited for track the assets of a fund, so to speak. What good is transactional portfolio then?
EG
How is Sharpe ratio calculated?
The highest sharpe ratio portfolioi in User portfolios holds only ultrashort treasuries and show a sharpe ratio of 7+. But my understanding is the Sharpe ratio is the return less the risk-free rate divided by the standard deviation of returns. But short-term treasuries ARE the risk free rate, so the Sharpe ratio should be zero since the risk free rate minus the risk free rate is zero. So are you simply ignoring the risk-free rate and dividing returns by the standard deviation???
Addendum:
Just input my portfolio and asked that your site optimize it for Sharpe ratio. I have ready cash in USFR, and ETF that holds US floating rate notes exclusively. The optimization recommended I put over 99% in USFR. However, the interest rate on floating rate notes is based on the three month treasury, so again, USFR has a Sharpe ratio of zero! Please correct this!
Bob Peticolas