Data Source: from January 2001 to March 2023 (~22 years)
Consolidated Returns as of 31 March 2023
Consolidated Returns as of 31 March 2023
ETF: iShares MSCI Brazil ETF (EWZ)
In the last 20 Years, the iShares MSCI Brazil ETF (EWZ) ETF obtained a 9.86% compound annual return, with a 33.69% standard deviation.
In 2022, the ETF granted a 12.89% dividend yield. If you are interested in getting periodic income, please refer to the iShares MSCI Brazil ETF (EWZ) ETF: Dividend Yield page.
The ETF is related to the following investment themes:
- Asset Class: Equity
- Size: Large Cap
- Style: Blend
- Region: Latin America
- Country: Brazil
Historical Returns as of Mar 31, 2023
Historical returns and Metrics of iShares MSCI Brazil ETF (EWZ) ETF.
Returns and metrics are calculated based on monthly returns, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends
ISHARES MSCI BRAZIL ETF (EWZ) ETF
Portfolio Metrics
Data Source: 1 January 2001 - 31 March 2023 (~22 years)
Swipe left to see all data
| Metrics as of Mar 31, 2023 | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y |
MAX
(~22Y) |
|
| Portfolio Return (%) |
0.40 | -2.11 | -0.54 | -18.35 | 13.44 | -4.07 | -2.65 | 9.86 | 5.86 |
| US Inflation (%) | 0.00 | 1.36 | 1.36 | 4.64 | 5.24 | 3.81 | 2.60 | 2.48 | 2.49 |
| Infl. Adjusted Return (%) |
0.40 | -3.42 | -1.88 | -21.97 | 7.80 | -7.59 | -5.12 | 7.20 | 3.28 |
| Waiting for updates, inflation of Mar 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | |||||||||
| RISK INDICATORS | |||||||||
| Standard Deviation (%) | 30.73 | 32.01 | 36.34 | 34.09 | 33.69 | 35.49 | |||
| Sharpe Ratio | -0.68 | 0.40 | -0.15 | -0.10 | 0.26 | 0.05 | |||
| Sortino Ratio | -0.89 | 0.55 | -0.20 | -0.14 | 0.36 | 0.07 | |||
| MAXIMUM DRAWDOWN | |||||||||
| Drawdown Depth (%) | -24.11 | -28.49 | -50.35 | -61.50 | -73.67 | -73.67 | |||
| Start (yyyy mm) | 2022 04 | 2021 07 | 2020 01 | 2014 09 | 2008 06 | 2008 06 | |||
| Bottom (yyyy mm) | 2022 06 | 2021 11 | 2020 03 | 2016 01 | 2016 01 | 2016 01 | |||
| Start to Bottom (# months) | 3 | 5 | 3 | 17 | 92 | 92 | |||
| Start to Recovery (# months) in progress |
> 12
|
9
|
> 39
|
64
|
> 178
|
> 178
|
|||
| ROLLING PERIOD RETURNS - Annualized | |||||||||
| Best Return (%) | 129.55 | 82.36 | 69.29 | 28.55 | 11.99 | ||||
| Worst Return (%) | -56.84 | -27.34 | -20.93 | -8.23 | 5.93 | ||||
| % Positive Periods | 57% | 58% | 62% | 51% | 100% | ||||
| MONTHS | |||||||||
| Positive | 1 | 2 | 3 | 6 | 20 | 31 | 60 | 133 | 143 |
| Negative | 0 | 1 | 3 | 6 | 16 | 29 | 60 | 107 | 124 |
| % Positive | 100% | 67% | 50% | 50% | 56% | 52% | 50% | 55% | 54% |
| WITHDRAWAL RATES (WR) | |||||||||
| Safe WR (%) | 45.59 | 16.29 | 6.75 | 23.21 | 8.68 | ||||
| Perpetual WR (%) | 7.23 | 0.00 | 0.00 | 6.71 | 3.18 | ||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the ETF
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the ETF. It's calculated by dividing the excess return of the ETF over the risk-free rate by the ETF standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
- Sortino Ratio: another measure of risk-adjusted performance of the ETF. It's a modification of the Sharpe Ratio (same formula but the denominator is the ETF downside standard deviation).
- Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
- Rolling Returns: returns over a time frame (best, worst, % of positive returns).
- Pos./Neg. Months: number of months with positive/negative return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Correlations as of Mar 31, 2023
Monthly correlations of iShares MSCI Brazil ETF (EWZ) ETF vs the main Asset Classes, over different timeframes.
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
Columns are sortable (click on table header to sort).
ISHARES MSCI BRAZIL ETF (EWZ) ETF
Monthly correlations as of 31 March 2023
Swipe left to see all data
| Correlation vs EWZ | |||||
|---|---|---|---|---|---|
|
|
|||||
| Asset Class | 1 Year | 5 Years | 10 Years | Since Jan 2001 |
|
|
US Total Stock Market VTI |
0.72
|
0.50
|
0.46
|
0.60
|
|
|
US Large Cap SPY |
0.71
|
0.49
|
0.46
|
0.60
|
|
|
US Small Cap IJR |
0.71
|
0.51
|
0.42
|
0.54
|
|
|
US REITs VNQ |
0.51
|
0.48
|
0.37
|
0.42
|
|
|
US Technology QQQ |
0.61
|
0.36
|
0.34
|
0.50
|
|
|
Preferred Stocks PFF |
0.54
|
0.50
|
0.42
|
0.34
|
|
|
EAFE Stocks EFA |
0.57
|
0.55
|
0.54
|
0.66
|
|
|
World All Countries VT |
0.67
|
0.55
|
0.55
|
0.69
|
|
|
Emerging Markets EEM |
0.38
|
0.55
|
0.67
|
0.78
|
|
|
Europe VGK |
0.57
|
0.57
|
0.53
|
0.66
|
|
|
Pacific VPL |
0.56
|
0.49
|
0.51
|
0.59
|
|
|
Latin America FLLA |
0.98
|
0.98
|
0.97
|
0.95
|
|
|
US Total Bond Market BND |
0.46
|
0.15
|
0.17
|
0.07
|
|
|
Long Term Treasuries TLT |
0.29
|
-0.17
|
-0.09
|
-0.19
|
|
|
US Cash BIL |
0.04
|
-0.15
|
-0.05
|
0.00
|
|
|
TIPS TIP |
0.44
|
0.18
|
0.28
|
0.17
|
|
|
Invest. Grade Bonds LQD |
0.52
|
0.38
|
0.36
|
0.25
|
|
|
High Yield Bonds HYG |
0.72
|
0.59
|
0.56
|
0.54
|
|
|
International Bonds BNDX |
0.44
|
0.23
|
0.17
|
0.12
|
|
|
Emerg. Market Bonds EMB |
0.51
|
0.59
|
0.58
|
0.59
|
|
|
Gold GLD |
0.12
|
0.23
|
0.27
|
0.31
|
|
|
Commodities DBC |
0.45
|
0.52
|
0.51
|
0.48
|
|
Capital Growth as of Mar 31, 2023
Capital growth, returns, stats are calculated assuming a reinvestment of dividends.
If you are interested in getting periodic income, please refer to the iShares MSCI Brazil ETF (EWZ) ETF: Dividend Yield page.
An investment of 1000$, since April 2003,
now would be worth 6556.29$, with a total return of 555.63% (9.86% annualized).
The Inflation Adjusted Capital now would be 4014.32$, with a net total return of 301.43% (7.20% annualized).
The Inflation Adjusted Capital now would be 4014.32$, with a net total return of 301.43% (7.20% annualized).
An investment of 1000$, since January 2001,
now would be worth 3547.43$, with a total return of 254.74% (5.86% annualized).
The Inflation Adjusted Capital now would be 2051.76$, with a net total return of 105.18% (3.28% annualized).
The Inflation Adjusted Capital now would be 2051.76$, with a net total return of 105.18% (3.28% annualized).
Readings that may interest you
Drawdowns
Worst drawdowns since April 2003.
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -73.67% | Jun 2008 | Jan 2016 | 92 | in progress | 86 | 178 |
| -16.82% | Jan 2004 | May 2004 | 5 | Aug 2004 | 3 | 8 |
| -16.50% | May 2006 | May 2006 | 1 | Nov 2006 | 6 | 7 |
| -12.81% | Mar 2005 | Apr 2005 | 2 | Jul 2005 | 3 | 5 |
| -9.34% | Nov 2007 | Jan 2008 | 3 | Apr 2008 | 3 | 6 |
| -5.22% | Oct 2005 | Oct 2005 | 1 | Nov 2005 | 1 | 2 |
| -3.36% | Feb 2006 | Mar 2006 | 2 | Apr 2006 | 1 | 3 |
| -3.22% | Aug 2007 | Aug 2007 | 1 | Sep 2007 | 1 | 2 |
| -3.15% | Jan 2005 | Jan 2005 | 1 | Feb 2005 | 1 | 2 |
| -3.03% | Feb 2007 | Feb 2007 | 1 | Mar 2007 | 1 | 2 |
| -0.09% | Jun 2003 | Jun 2003 | 1 | Jul 2003 | 1 | 2 |
Worst drawdowns since January 2001.
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -73.67% | Jun 2008 | Jan 2016 | 92 | in progress | 86 | 178 |
| -67.43% | Feb 2001 | Sep 2002 | 20 | Sep 2004 | 24 | 44 |
| -16.50% | May 2006 | May 2006 | 1 | Nov 2006 | 6 | 7 |
| -12.81% | Mar 2005 | Apr 2005 | 2 | Jul 2005 | 3 | 5 |
| -9.34% | Nov 2007 | Jan 2008 | 3 | Apr 2008 | 3 | 6 |
| -5.22% | Oct 2005 | Oct 2005 | 1 | Nov 2005 | 1 | 2 |
| -3.36% | Feb 2006 | Mar 2006 | 2 | Apr 2006 | 1 | 3 |
| -3.22% | Aug 2007 | Aug 2007 | 1 | Sep 2007 | 1 | 2 |
| -3.15% | Jan 2005 | Jan 2005 | 1 | Feb 2005 | 1 | 2 |
| -3.03% | Feb 2007 | Feb 2007 | 1 | Mar 2007 | 1 | 2 |
Rolling Returns ( more details)
iShares MSCI Brazil ETF (EWZ) ETF: annualized rolling and average returns
Swipe left to see all data
| Rolling Period |
Return (*) | Negative Periods |
||
|---|---|---|---|---|
| Average (%) | Best (%) | Worst (%) | ||
| 1 Year |
14.66 |
129.55 Dec 2008 - Nov 2009 |
-56.84 Mar 2008 - Feb 2009 |
43.36% |
| 2 Years |
11.76 |
87.02 Mar 2003 - Feb 2005 |
-33.01 Feb 2001 - Jan 2003 |
46.31% |
| 3 Years |
11.11 |
82.36 Oct 2002 - Sep 2005 |
-27.34 Feb 2013 - Jan 2016 |
42.24% |
| 5 Years |
9.92 |
69.29 Oct 2002 - Sep 2007 |
-20.93 Jan 2011 - Dec 2015 |
38.46% |
| 7 Years |
7.73 |
45.47 Oct 2002 - Sep 2009 |
-11.78 Jun 2008 - May 2015 |
45.65% |
| 10 Years |
5.42 |
28.55 Oct 2002 - Sep 2012 |
-8.23 Apr 2010 - Mar 2020 |
48.65% |
| 15 Years |
6.38 |
17.22 Oct 2002 - Sep 2017 |
-3.39 Mar 2008 - Feb 2023 |
13.64% |
| 20 Years |
8.78 |
11.99 Oct 2002 - Sep 2022 |
5.93 Feb 2001 - Jan 2021 |
0.00% |
(*) Annualized rolling and average returns over full calendar month periods
If you need a deeper detail about rolling returns, please refer to the iShares MSCI Brazil ETF (EWZ) ETF: Rolling Returns page.
Seasonality
iShares MSCI Brazil ETF (EWZ) ETF: in which months is it better to invest?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
4.87
60% |
-6.07
20% |
-4.61
60% |
-1.42
60% |
2.41
80% |
-1.60
60% |
5.15
80% |
-4.77
20% |
-3.03
40% |
4.70
60% |
2.67
20% |
4.59
60% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
104.87
|
98.50
|
93.96
|
92.63
|
94.86
|
93.34
|
98.15
|
93.47
|
90.63
|
94.90
|
97.43
|
101.91
|
| Best |
18.8 2019 |
4.0 2022 |
15.0 2022 |
6.3 2021 |
10.2 2020 |
7.1 2020 |
13.1 2020 |
5.2 2022 |
3.9 2018 |
19.0 2018 |
23.8 2020 |
13.4 2019 |
| Worst |
-7.8 2020 |
-12.3 2020 |
-38.6 2020 |
-13.3 2022 |
-15.8 2018 |
-18.6 2022 |
-7.7 2021 |
-10.1 2018 |
-11.7 2021 |
-8.7 2021 |
-4.8 2019 |
-4.4 2022 |
Monthly Seasonality over the period Apr 2018 - Mar 2023
Swipe left to see all data
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
2.76
50% |
-1.95
50% |
0.18
50% |
2.54
70% |
-2.69
40% |
0.55
60% |
3.49
70% |
-2.23
40% |
-2.82
50% |
4.02
60% |
-1.27
10% |
0.71
50% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
102.76
|
100.76
|
100.94
|
103.51
|
100.73
|
101.28
|
104.81
|
102.48
|
99.59
|
103.60
|
102.28
|
103.01
|
| Best |
18.8 2019 |
4.5 2014 |
28.4 2016 |
15.4 2015 |
10.2 2020 |
19.5 2016 |
13.1 2020 |
10.7 2014 |
13.0 2013 |
19.0 2018 |
23.8 2020 |
13.4 2019 |
| Worst |
-12.2 2014 |
-12.3 2020 |
-38.6 2020 |
-13.3 2022 |
-15.8 2018 |
-18.6 2022 |
-12.5 2015 |
-13.3 2015 |
-19.1 2014 |
-8.7 2021 |
-11.3 2016 |
-11.6 2014 |
Monthly Seasonality over the period Apr 2013 - Mar 2023
Swipe left to see all data
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
1.72
48% |
0.62
52% |
0.19
48% |
3.36
64% |
-1.14
41% |
-0.61
50% |
1.05
68% |
-0.31
45% |
-1.63
55% |
4.13
68% |
0.97
32% |
3.86
73% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
101.72
|
102.35
|
102.54
|
105.99
|
104.78
|
104.14
|
105.23
|
104.90
|
103.18
|
107.45
|
108.49
|
112.68
|
| Best |
23.9 2006 |
18.2 2002 |
28.4 2016 |
21.0 2003 |
22.4 2009 |
19.5 2016 |
13.8 2010 |
15.3 2002 |
19.5 2007 |
28.3 2002 |
23.8 2020 |
17.2 2003 |
| Worst |
-13.3 2010 |
-12.3 2020 |
-38.6 2020 |
-14.9 2004 |
-16.5 2006 |
-19.8 2002 |
-28.0 2002 |
-13.3 2015 |
-28.1 2002 |
-33.1 2008 |
-11.3 2016 |
-11.6 2014 |
Monthly Seasonality over the period Jan 2001 - Mar 2023
Monthly/Yearly Returns
iShares MSCI Brazil ETF (EWZ) ETF data source starts from January 2001: let's focus on monthly and yearly returns.
We are providing two different views:
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 2001 - Mar 2023
143 Positive Months (54%) - 124 Negative Months (46%)
MONTHLY RETURNS TABLE
Jan 2001 - Mar 2023
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2023 |
-2.11 | -3.42 | 8.5 | -10.1 | 0.4 | |||||||||
| 2022 |
+12.35 | +5.54 | 12.6 | 4.0 | 15.0 | -13.3 | 7.6 | -18.6 | 6.0 | 5.2 | -2.9 | 10.3 | -3.6 | -4.4 |
| 2021 |
-17.27 | -22.71 | -7.8 | -6.7 | 4.9 | 6.3 | 9.4 | 5.8 | -7.7 | -2.7 | -11.7 | -8.7 | -1.1 | 4.2 |
| 2020 |
-20.33 | -21.40 | -7.8 | -12.3 | -38.6 | 4.7 | 10.2 | 7.1 | 13.1 | -8.4 | -7.2 | -2.9 | 23.8 | 12.3 |
| 2019 |
+27.65 | +24.80 | 18.8 | -5.2 | -4.7 | 1.0 | 0.6 | 6.3 | 1.8 | -7.9 | 2.8 | 5.9 | -4.8 | 13.4 |
| 2018 |
-2.57 | -4.39 | 15.2 | -2.4 | -1.3 | -5.7 | -15.8 | -8.6 | 12.6 | -10.1 | 3.9 | 19.0 | -0.9 | -2.6 |
| 2017 |
+23.65 | +21.10 | 10.6 | 2.3 | -0.7 | -0.8 | -5.4 | -2.1 | 10.7 | 5.8 | 4.2 | -3.6 | -3.7 | 5.6 |
| 2016 |
+64.47 | +61.13 | -4.1 | 3.3 | 28.4 | 12.2 | -13.8 | 19.5 | 10.1 | 0.8 | 0.6 | 11.9 | -11.3 | 0.8 |
| 2015 |
-41.74 | -42.17 | -6.2 | 3.1 | -11.3 | 15.4 | -10.9 | 3.5 | -12.5 | -13.3 | -11.8 | 4.2 | -1.5 | -7.1 |
| 2014 |
-15.52 | -16.15 | -12.2 | 4.5 | 9.9 | 4.4 | -1.2 | 4.8 | 1.5 | 10.7 | -19.1 | -0.5 | -3.2 | -11.6 |
| 2013 |
-17.52 | -18.74 | 1.5 | -2.9 | -1.2 | 1.2 | -7.7 | -12.2 | -0.8 | -2.6 | 13.0 | 4.7 | -6.4 | -3.6 |
| 2012 |
+0.42 | -1.30 | 14.3 | 5.5 | -6.5 | -6.8 | -13.6 | 1.4 | 1.5 | 0.5 | 2.5 | -1.3 | -3.3 | 9.5 |
| 2011 |
-24.17 | -26.35 | -5.4 | 1.5 | 4.4 | 0.3 | -3.2 | -1.0 | -3.8 | -7.2 | -20.6 | 19.9 | -5.4 | -2.1 |
| 2010 |
+7.74 | +6.15 | -13.3 | 5.7 | 7.7 | -1.9 | -12.1 | -2.3 | 13.8 | -3.7 | 13.6 | 0.1 | -2.8 | 7.0 |
| 2009 |
+121.86 | +115.99 | 1.5 | -3.7 | 10.2 | 19.6 | 22.4 | -3.3 | 8.7 | 1.1 | 16.2 | 1.8 | 11.1 | 0.7 |
| 2008 |
-54.30 | -54.34 | -5.2 | 9.2 | -7.8 | 17.3 | 9.9 | -9.4 | -9.0 | -9.7 | -23.3 | -33.1 | -6.6 | 4.2 |
| 2007 |
+74.76 | +67.91 | 0.9 | -3.0 | 7.4 | 6.8 | 12.8 | 3.6 | 3.5 | -3.2 | 19.5 | 16.4 | -5.4 | 1.1 |
| 2006 |
+43.30 | +39.75 | 23.9 | -0.3 | -3.1 | 10.8 | -16.5 | 5.9 | 0.9 | -0.8 | -1.8 | 9.1 | 5.7 | 7.8 |
| 2005 |
+52.65 | +47.61 | -3.1 | 16.3 | -9.1 | -4.1 | 8.9 | 4.3 | 2.2 | 10.7 | 18.6 | -5.2 | 7.0 | 0.4 |
| 2004 |
+33.61 | +29.40 | -6.1 | 4.6 | 0.6 | -14.9 | -1.1 | 4.0 | 7.1 | 8.1 | 8.9 | 1.3 | 11.0 | 8.9 |
| 2003 |
+116.89 | +112.88 | -1.4 | -5.3 | 12.1 | 21.0 | 5.1 | -0.1 | 2.9 | 12.3 | 3.5 | 10.1 | 5.7 | 17.2 |
| 2002 |
-36.31 | -37.79 | -9.1 | 18.2 | -3.1 | -1.4 | -7.3 | -19.8 | -28.0 | 15.3 | -28.1 | 28.3 | -1.6 | 10.6 |
| 2001 |
-18.81 | -20.05 | 13.6 | -12.0 | -9.2 | 1.8 | -3.4 | -2.4 | -11.7 | -8.0 | -17.0 | 3.3 | 18.8 | 12.5 |
