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UAE vs. EWZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


UAEEWZ
YTD Return5.68%-17.86%
1Y Return8.64%-6.78%
3Y Return (Ann)2.30%7.21%
5Y Return (Ann)5.90%-2.68%
10Y Return (Ann)0.57%0.68%
Sharpe Ratio0.64-0.28
Sortino Ratio0.96-0.26
Omega Ratio1.120.97
Calmar Ratio0.36-0.12
Martin Ratio2.03-0.47
Ulcer Index4.52%12.09%
Daily Std Dev14.41%20.57%
Max Drawdown-60.44%-77.27%
Current Drawdown-14.09%-44.80%

Correlation

-0.50.00.51.00.3

The correlation between UAE and EWZ is 0.31, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

UAE vs. EWZ - Performance Comparison

In the year-to-date period, UAE achieves a 5.68% return, which is significantly higher than EWZ's -17.86% return. Over the past 10 years, UAE has underperformed EWZ with an annualized return of 0.57%, while EWZ has yielded a comparatively higher 0.68% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-15.00%-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.01%
-11.18%
UAE
EWZ

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UAE vs. EWZ - Expense Ratio Comparison

Both UAE and EWZ have an expense ratio of 0.59%.


UAE
iShares MSCI UAE ETF
Expense ratio chart for UAE: 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 EWZ: 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

UAE vs. EWZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI UAE ETF (UAE) and iShares MSCI Brazil ETF (EWZ). 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.


UAE
Sharpe ratio
The chart of Sharpe ratio for UAE, currently valued at 0.64, compared to the broader market0.002.004.006.000.64
Sortino ratio
The chart of Sortino ratio for UAE, currently valued at 0.96, compared to the broader market0.005.0010.000.96
Omega ratio
The chart of Omega ratio for UAE, currently valued at 1.12, compared to the broader market1.001.502.002.503.003.501.12
Calmar ratio
The chart of Calmar ratio for UAE, currently valued at 0.36, compared to the broader market0.005.0010.0015.0020.000.36
Martin ratio
The chart of Martin ratio for UAE, currently valued at 2.03, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.03
EWZ
Sharpe ratio
The chart of Sharpe ratio for EWZ, currently valued at -0.28, compared to the broader market0.002.004.006.00-0.28
Sortino ratio
The chart of Sortino ratio for EWZ, currently valued at -0.26, compared to the broader market0.005.0010.00-0.26
Omega ratio
The chart of Omega ratio for EWZ, currently valued at 0.97, compared to the broader market1.001.502.002.503.003.500.97
Calmar ratio
The chart of Calmar ratio for EWZ, currently valued at -0.24, compared to the broader market0.005.0010.0015.0020.00-0.24
Martin ratio
The chart of Martin ratio for EWZ, currently valued at -0.47, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.47

UAE vs. EWZ - Sharpe Ratio Comparison

The current UAE Sharpe Ratio is 0.64, which is higher than the EWZ Sharpe Ratio of -0.28. The chart below compares the historical Sharpe Ratios of UAE and EWZ, 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-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
0.64
-0.28
UAE
EWZ

Dividends

UAE vs. EWZ - Dividend Comparison

UAE's dividend yield for the trailing twelve months is around 4.12%, less than EWZ's 7.68% yield.


TTM20232022202120202019201820172016201520142013
UAE
iShares MSCI UAE ETF
4.12%3.25%2.67%4.88%4.75%3.54%5.56%3.38%4.74%3.77%2.58%0.00%
EWZ
iShares MSCI Brazil ETF
7.68%5.66%12.59%9.87%1.71%2.54%2.89%1.71%1.81%4.07%3.77%3.22%

Drawdowns

UAE vs. EWZ - Drawdown Comparison

The maximum UAE drawdown since its inception was -60.44%, smaller than the maximum EWZ drawdown of -77.27%. Use the drawdown chart below to compare losses from any high point for UAE and EWZ. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-14.09%
-21.18%
UAE
EWZ

Volatility

UAE vs. EWZ - Volatility Comparison

The current volatility for iShares MSCI UAE ETF (UAE) is 4.35%, while iShares MSCI Brazil ETF (EWZ) has a volatility of 6.30%. This indicates that UAE experiences smaller price fluctuations and is considered to be less risky than EWZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.35%
6.30%
UAE
EWZ