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THD vs. EPU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between THD and EPU is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

THD vs. EPU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Thailand ETF (THD) and iShares MSCI Peru ETF (EPU). The values are adjusted to include any dividend payments, if applicable.

140.00%160.00%180.00%200.00%220.00%JulyAugustSeptemberOctoberNovemberDecember
178.29%
153.64%
THD
EPU

Key characteristics

Sharpe Ratio

THD:

-0.04

EPU:

1.28

Sortino Ratio

THD:

0.07

EPU:

1.85

Omega Ratio

THD:

1.01

EPU:

1.22

Calmar Ratio

THD:

-0.02

EPU:

2.05

Martin Ratio

THD:

-0.08

EPU:

5.09

Ulcer Index

THD:

8.37%

EPU:

5.01%

Daily Std Dev

THD:

17.29%

EPU:

19.89%

Max Drawdown

THD:

-64.22%

EPU:

-60.62%

Current Drawdown

THD:

-29.59%

EPU:

-7.88%

Returns By Period

In the year-to-date period, THD achieves a -4.02% return, which is significantly lower than EPU's 23.49% return. Over the past 10 years, THD has underperformed EPU with an annualized return of -0.20%, while EPU has yielded a comparatively higher 5.68% annualized return.


THD

YTD

-4.02%

1M

-4.94%

6M

10.31%

1Y

-2.87%

5Y*

-4.78%

10Y*

-0.20%

EPU

YTD

23.49%

1M

-4.52%

6M

2.81%

1Y

24.18%

5Y*

6.36%

10Y*

5.68%

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THD vs. EPU - Expense Ratio Comparison

Both THD and EPU have an expense ratio of 0.59%.


THD
iShares MSCI Thailand ETF
Expense ratio chart for THD: 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 EPU: 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

THD vs. EPU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Thailand ETF (THD) and iShares MSCI Peru ETF (EPU). 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 THD, currently valued at -0.04, compared to the broader market0.002.004.00-0.041.28
The chart of Sortino ratio for THD, currently valued at 0.07, compared to the broader market-2.000.002.004.006.008.0010.000.071.85
The chart of Omega ratio for THD, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.22
The chart of Calmar ratio for THD, currently valued at -0.02, compared to the broader market0.005.0010.0015.00-0.022.05
The chart of Martin ratio for THD, currently valued at -0.08, compared to the broader market0.0020.0040.0060.0080.00100.00-0.085.09
THD
EPU

The current THD Sharpe Ratio is -0.04, which is lower than the EPU Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of THD and EPU, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.04
1.28
THD
EPU

Dividends

THD vs. EPU - Dividend Comparison

THD's dividend yield for the trailing twelve months is around 3.21%, less than EPU's 5.70% yield.


TTM20232022202120202019201820172016201520142013
THD
iShares MSCI Thailand ETF
3.21%2.92%2.41%3.16%2.31%2.42%2.57%2.16%2.61%3.58%2.34%2.93%
EPU
iShares MSCI Peru ETF
5.70%4.17%5.56%3.13%1.91%2.67%1.53%3.30%0.85%1.91%1.66%1.72%

Drawdowns

THD vs. EPU - Drawdown Comparison

The maximum THD drawdown since its inception was -64.22%, which is greater than EPU's maximum drawdown of -60.62%. Use the drawdown chart below to compare losses from any high point for THD and EPU. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-29.59%
-7.88%
THD
EPU

Volatility

THD vs. EPU - Volatility Comparison

The current volatility for iShares MSCI Thailand ETF (THD) is 4.61%, while iShares MSCI Peru ETF (EPU) has a volatility of 5.40%. This indicates that THD experiences smaller price fluctuations and is considered to be less risky than EPU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.61%
5.40%
THD
EPU
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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