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XLE vs. EWJ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

XLE vs. EWJ

Last updated Jun 13, 2026

XLE (State Street Energy Select Sector SPDR ETF) and EWJ (iShares MSCI Japan ETF) are both exchange-traded funds - XLE is a Energy Equities fund tracking the Energy Select Sector Index, while EWJ is a Japan Equities fund tracking the MSCI Japan Index. Both are passively managed. Over the past 10 years, XLE returned 9.91%/yr vs 9.55%/yr for EWJ. At a 0.39 correlation, their price movements are largely independent. XLE charges 0.08%/yr vs 0.49%/yr for EWJ.

Performance

XLE vs. EWJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street Energy Select Sector SPDR ETF (XLE) and iShares MSCI Japan ETF (EWJ). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, XLE achieves a 29.56% return, which is significantly higher than EWJ's 14.83% return. Both investments have delivered pretty close results over the past 10 years, with XLE having a 9.91% annualized return and EWJ not far behind at 9.55%.

XLE

1D
0.75%
1M
-0.90%
YTD
29.56%
6M
28.37%
1Y
34.84%
3Y*
16.18%
5Y*
20.12%
10Y*
9.91%

EWJ

1D
0.57%
1M
0.71%
YTD
14.83%
6M
14.50%
1Y
31.74%
3Y*
16.57%
5Y*
8.56%
10Y*
9.55%
*Multi-year figures are annualized to reflect compound growth (CAGR)

XLE vs. EWJ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
XLE
State Street Energy Select Sector SPDR ETF		29.56%7.88%5.56%-0.63%64.32%53.28%-32.67%11.74%-18.22%-0.89%
EWJ
iShares MSCI Japan ETF		14.83%25.84%7.03%20.29%-17.72%1.16%15.40%19.34%-14.10%24.27%

Correlation

The correlation between XLE and EWJ is -0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.02

Correlation (3Y)
Calculated over the trailing 3-year period

0.15

Correlation (5Y)
Calculated over the trailing 5-year period

0.25

Correlation (10Y)
Calculated over the trailing 10-year period

0.36

Correlation (All Time)
Calculated using the full available price history since Dec 22, 1998

0.39

The correlation between XLE and EWJ shifts across timeframes, from -0.02 (1 year) to 0.39 (all time), reflecting how their relationship changes across market environments.

XLE vs. EWJ - Sectors Allocation Comparison

Sectors
XLE
EWJ

Energy

100.0%
1.1%

Basic Materials

-

3.0%

Communication Services

-

7.9%

Consumer Cyclical

-

12.2%

Consumer Defensive

-

3.6%

Financial Services

-

17.5%

Healthcare

-

6.3%

Industrials

-

26.0%

Real Estate

-

2.3%

Technology

-

19.1%

Utilities

-

1.1%

Energy

XLE
100.0%
EWJ
1.1%

Basic Materials

XLE

-

EWJ
3.0%

Communication Services

XLE

-

EWJ
7.9%

Consumer Cyclical

XLE

-

EWJ
12.2%

Consumer Defensive

XLE

-

EWJ
3.6%

Financial Services

XLE

-

EWJ
17.5%

Healthcare

XLE

-

EWJ
6.3%

Industrials

XLE

-

EWJ
26.0%

Real Estate

XLE

-

EWJ
2.3%

Technology

XLE

-

EWJ
19.1%

Utilities

XLE

-

EWJ
1.1%

Compare stocks, funds, or ETFs

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

State Street Energy Select Sector SPDR ETF

iShares MSCI Japan ETF

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Often compared with EWJ:
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Return for Risk

XLE vs. EWJ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
XLE
XLE Risk / Return Rank: 6161
Overall Rank
XLE Sharpe Ratio Rank: 6464
Sharpe Ratio Rank
XLE Sortino Ratio Rank: 5858
Sortino Ratio Rank
XLE Omega Ratio Rank: 5454
Omega Ratio Rank
XLE Calmar Ratio Rank: 7171
Calmar Ratio Rank
XLE Martin Ratio Rank: 5656
Martin Ratio Rank
EWJ
EWJ Risk / Return Rank: 5151
Overall Rank
EWJ Sharpe Ratio Rank: 5050
Sharpe Ratio Rank
EWJ Sortino Ratio Rank: 5252
Sortino Ratio Rank
EWJ Omega Ratio Rank: 5151
Omega Ratio Rank
EWJ Calmar Ratio Rank: 5151
Calmar Ratio Rank
EWJ Martin Ratio Rank: 5151
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

XLE vs. EWJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street Energy Select Sector SPDR ETF (XLE) and iShares MSCI Japan ETF (EWJ). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

XLEEWJDifference
Sharpe ratioReturn per unit of total volatility
1.82
1.52

+0.29

Sortino ratioReturn per unit of downside risk
2.40
2.21

+0.19

Omega ratioGain probability vs. loss probability

1.30

1.28

+0.01

Calmar ratioReturn relative to maximum drawdown

3.10

2.27

+0.83

Martin ratioReturn relative to average drawdown

8.63

7.62

+1.01

XLE vs. EWJ - Sharpe Ratio Comparison

The current XLE Sharpe Ratio is 1.82, which is comparable to the EWJ Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of XLE and EWJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

XLE vs. EWJ - Drawdown Comparison

The maximum XLE drawdown since its inception was -71.26%, which is greater than EWJ's maximum drawdown of -60.93%. Use the drawdown chart below to compare losses from any high point for XLE and EWJ.

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Drawdown Indicators

XLEEWJDifference

Max Drawdown

Largest peak-to-trough decline

-71.26%

-60.93%

-10.33%

Max Drawdown (1Y)

Largest decline over 1 year

-12.05%

-13.59%

+1.54%

Max Drawdown (3Y)

Largest decline over 3 years

-20.14%

-14.68%

-5.46%

Max Drawdown (5Y)

Largest decline over 5 years

-26.04%

-33.14%

+7.10%

Max Drawdown (10Y)

Largest decline over 10 years

-66.81%

-33.14%

-33.67%

Current Drawdown

Current decline from peak

-8.01%

-1.51%

-6.50%

Average Drawdown

Average peak-to-trough decline

-17.97%

-21.72%

+3.75%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.32%

4.04%

+0.28%

Volatility

XLE vs. EWJ - Volatility Comparison

State Street Energy Select Sector SPDR ETF (XLE) has a higher volatility of 7.26% compared to iShares MSCI Japan ETF (EWJ) at 6.31%. This indicates that XLE's price experiences larger fluctuations and is considered to be riskier than EWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

XLEEWJDifference

Volatility (1M)

Calculated over the trailing 1-month period

7.26%

6.31%

+0.95%

Volatility (6M)

Calculated over the trailing 6-month period

16.79%

15.96%

+0.83%

Volatility (1Y)

Calculated over the trailing 1-year period

20.57%

20.23%

+0.34%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

26.05%

18.38%

+7.67%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

29.58%

17.33%

+12.25%

XLE vs. EWJ - Expense Ratio Comparison

XLE has a 0.08% expense ratio, which is lower than EWJ's 0.49% expense ratio.

Dividends

XLE vs. EWJ - Dividend Comparison

XLE's dividend yield for the trailing twelve months is around 2.59%, less than EWJ's 3.94% yield.

PositionTTM20252024202320222021202020192018201720162015
EWJ
iShares MSCI Japan ETF		3.94%4.52%2.34%2.03%1.23%2.08%1.04%2.03%1.71%1.25%1.95%1.27%
XLE
State Street Energy Select Sector SPDR ETF		2.59%3.28%3.36%3.55%3.68%4.21%5.62%6.72%3.54%3.03%2.26%3.39%

Frequently Asked Questions

XLE and EWJ have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

XLE has higher volatility (7.26%) compared to EWJ (6.31%). In terms of maximum drawdown, XLE dropped -71.26% vs EWJ's -60.93%.

On 10-year performance, XLE leads with 9.91% vs 9.55% for EWJ. On fees, XLE is cheaper at 0.08% per year. On volatility, EWJ has been the lower-risk option at 6.31%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, XLE has performed better with a 9.91% return vs 9.55%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

XLE is cheaper with a 0.08% expense ratio, compared with 0.49% for EWJ.

EWJ has the higher dividend yield at 3.94%, compared with 2.59% for XLE.

XLE is categorized as Energy Equities, while EWJ is Japan Equities. XLE tracks Energy Select Sector Index, while EWJ tracks MSCI Japan Index. They also come from different issuers: State Street and iShares. Their fees differ too: 0.08% for XLE and 0.49% for EWJ.

XLE currently has the higher Sharpe Ratio (1.82 vs 1.52), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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