PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TCIEX vs. EWL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TCIEX vs. EWL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TIAA-CREF International Equity Index Fund Institutional Class (TCIEX) and iShares MSCI Switzerland ETF (EWL). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.19%
-0.06%
TCIEX
EWL

Returns By Period

In the year-to-date period, TCIEX achieves a 4.39% return, which is significantly higher than EWL's -0.20% return. Over the past 10 years, TCIEX has underperformed EWL with an annualized return of 5.06%, while EWL has yielded a comparatively higher 5.93% annualized return.


TCIEX

YTD

4.39%

1M

-4.76%

6M

-2.60%

1Y

10.92%

5Y (annualized)

5.72%

10Y (annualized)

5.06%

EWL

YTD

-0.20%

1M

-7.54%

6M

-0.29%

1Y

7.65%

5Y (annualized)

6.14%

10Y (annualized)

5.93%

Key characteristics


TCIEXEWL
Sharpe Ratio0.770.66
Sortino Ratio1.150.99
Omega Ratio1.141.11
Calmar Ratio1.180.69
Martin Ratio3.672.43
Ulcer Index2.85%3.39%
Daily Std Dev13.56%12.44%
Max Drawdown-60.62%-51.62%
Current Drawdown-8.72%-10.71%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


TCIEX vs. EWL - Expense Ratio Comparison

TCIEX has a 0.05% expense ratio, which is lower than EWL's 0.50% expense ratio.


EWL
iShares MSCI Switzerland ETF
Expense ratio chart for EWL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for TCIEX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.8

The correlation between TCIEX and EWL is 0.79, 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

TCIEX vs. EWL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF International Equity Index Fund Institutional Class (TCIEX) and iShares MSCI Switzerland ETF (EWL). 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.


Sharpe ratio
The chart of Sharpe ratio for TCIEX, currently valued at 0.77, compared to the broader market-1.000.001.002.003.004.005.000.770.66
The chart of Sortino ratio for TCIEX, currently valued at 1.15, compared to the broader market0.005.0010.001.150.99
The chart of Omega ratio for TCIEX, currently valued at 1.14, compared to the broader market1.002.003.004.001.141.11
The chart of Calmar ratio for TCIEX, currently valued at 1.18, compared to the broader market0.005.0010.0015.0020.0025.001.180.69
The chart of Martin ratio for TCIEX, currently valued at 3.67, compared to the broader market0.0020.0040.0060.0080.00100.003.672.43
TCIEX
EWL

The current TCIEX Sharpe Ratio is 0.77, which is comparable to the EWL Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of TCIEX and EWL, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.77
0.66
TCIEX
EWL

Dividends

TCIEX vs. EWL - Dividend Comparison

TCIEX's dividend yield for the trailing twelve months is around 3.01%, more than EWL's 2.16% yield.


TTM20232022202120202019201820172016201520142013
TCIEX
TIAA-CREF International Equity Index Fund Institutional Class
3.01%3.14%2.82%3.02%1.96%3.08%3.42%2.78%2.95%3.05%3.94%2.83%
EWL
iShares MSCI Switzerland ETF
2.16%2.12%2.04%1.73%1.45%1.85%2.56%2.05%2.75%2.58%2.49%1.83%

Drawdowns

TCIEX vs. EWL - Drawdown Comparison

The maximum TCIEX drawdown since its inception was -60.62%, which is greater than EWL's maximum drawdown of -51.62%. Use the drawdown chart below to compare losses from any high point for TCIEX and EWL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.72%
-10.71%
TCIEX
EWL

Volatility

TCIEX vs. EWL - Volatility Comparison

TIAA-CREF International Equity Index Fund Institutional Class (TCIEX) and iShares MSCI Switzerland ETF (EWL) have volatilities of 3.75% and 3.90%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.75%
3.90%
TCIEX
EWL