Data Source: from January 2001 to November 2022 (~22 years)
Consolidated Returns as of 30 November 2022
Live Update: Dec 07 2022, 12:00PM Eastern Time
Category: Stocks
ETF: iShares MSCI Brazil ETF (EWZ)
ETF • LIVE PERFORMANCE (USD currency)
0.44%
1 Day
Dec 07 2022, 12:00PM Eastern Time
2.81%
Current Month
December 2022

In the last 20 Years, the iShares MSCI Brazil ETF (EWZ) ETF obtained a 11.03% compound annual return, with a 33.72% standard deviation.

In 2021, the ETF granted a 7.56% 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 Nov 30, 2022

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 - 30 November 2022 (~22 years)
Swipe left to see all data
Metrics as of Nov 30, 2022
1M 3M 6M 1Y 3Y 5Y 10Y 20Y MAX
(~22Y)
Portfolio
Return (%)
-3.64 3.15 -6.44 22.41 -4.25 0.35 -1.38 11.03 6.27
US Inflation (%) 0.00 0.62 1.96 7.22 5.03 3.85 2.61 2.52 2.49
Infl. Adjusted
Return (%)
-3.64 2.51 -8.24 14.17 -8.83 -3.38 -3.89 8.31 3.69
Waiting for updates, inflation of Nov 2022 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 33.61 40.14 36.50 33.95 33.72 35.63
Sharpe Ratio 0.64 -0.12 -0.02 -0.06 0.29 0.06
Sortino Ratio 0.79 -0.15 -0.03 -0.08 0.41 0.09
MAXIMUM DRAWDOWN
Drawdown Depth (%) -24.11 -50.35 -50.35 -61.64 -73.67 -73.67
Start (yyyy mm) 2022 04 2020 01 2020 01 2013 02 2008 06 2008 06
Bottom (yyyy mm) 2022 06 2020 03 2020 03 2016 01 2016 01 2016 01
Start to Bottom (# months) 3 3 3 36 92 92
Start to Recovery (# months) in progress
> 8
> 35
> 35
83
> 174
> 174
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% 63% 53% 100%
MONTHS
Positive 0 1 3 8 19 31 60 133 141
Negative 1 2 3 4 17 29 60 107 122
% Positive 0% 33% 50% 67% 53% 52% 50% 55% 54%
WITHDRAWAL RATES (WR)
Safe WR (%) 28.93 19.82 7.43 22.30 9.05
Perpetual WR (%) 0.00 0.00 0.00 7.67 3.56
Terms and Definitions
  • 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 Nov 30, 2022

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.

Columns are sortable (click on table header to sort).

ISHARES MSCI BRAZIL ETF (EWZ) ETF
Monthly correlations as of 30 November 2022
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
0.54
0.50
0.45
0.60
US Large Cap
SPY
0.55
0.49
0.44
0.60
US Small Cap
IJR
0.49
0.50
0.41
0.54
US REITs
VNQ
0.32
0.42
0.35
0.41
US Technology
QQQ
0.50
0.36
0.33
0.50
Preferred Stocks
PFF
0.32
0.47
0.42
0.33
EAFE Stocks
EFA
0.37
0.55
0.54
0.66
World All Countries
VT
0.49
0.55
0.54
0.69
Emerging Markets
EEM
0.14
0.55
0.66
0.77
Europe
VGK
0.37
0.57
0.53
0.66
Pacific
VPL
0.33
0.48
0.50
0.59
Latin America
FLLA
0.98
0.98
0.97
0.95
US Total Bond Market
BND
0.12
0.08
0.13
0.05
Long Term Treasuries
TLT
-0.02
-0.24
-0.13
-0.21
US Cash
BIL
-0.14
-0.14
-0.04
0.01
TIPS
TIP
0.28
0.14
0.26
0.16
Invest. Grade Bonds
LQD
0.22
0.34
0.34
0.24
High Yield Bonds
HYG
0.48
0.57
0.55
0.54
International Bonds
BNDX
0.16
0.18
0.15
0.11
Emerg. Market Bonds
EMB
0.29
0.57
0.56
0.59
Gold
GLD
-0.01
0.23
0.26
0.30
Commodities
DBC
0.59
0.51
0.50
0.48

Capital Growth as of Nov 30, 2022

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$, since December 2002, now would be worth 8108.73$, with a total return of 710.87% (11.03% annualized).

The Inflation Adjusted Capital now would be 4933.06$, with a net total return of 393.31% (8.31% annualized).
An investment of 1000$, since January 2001, now would be worth 3789.48$, with a total return of 278.95% (6.27% annualized).

The Inflation Adjusted Capital now would be 2212.56$, with a net total return of 121.26% (3.69% annualized).

Drawdowns

Worst drawdowns since December 2002.

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 82 174
-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
-6.64% Jan 2003 Feb 2003 2 Mar 2003 1 3
-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 82 174
-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
14.91 129.55
Dec 2008 - Nov 2009
-56.84
Mar 2008 - Feb 2009
43.25%
2 Years
11.94 87.02
Mar 2003 - Feb 2005
-33.01
Feb 2001 - Jan 2003
46.67%
3 Years
11.32 82.36
Oct 2002 - Sep 2005
-27.34
Feb 2013 - Jan 2016
41.67%
5 Years
10.18 69.29
Oct 2002 - Sep 2007
-20.93
Jan 2011 - Dec 2015
37.25%
7 Years
7.70 45.47
Oct 2002 - Sep 2009
-11.78
Jun 2008 - May 2015
46.67%
10 Years
5.64 28.55
Oct 2002 - Sep 2012
-8.23
Apr 2010 - Mar 2020
47.22%
15 Years
6.82 17.22
Oct 2002 - Sep 2017
-2.77
Nov 2007 - Oct 2022
9.52%
20 Years
8.52 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.
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
6.21
60%
-4.53
20%
-4.95
40%
-1.42
60%
2.41
80%
-1.60
60%
5.15
80%
-4.77
20%
-3.03
40%
4.70
60%
2.67
20%
6.60
80%
 Capital Growth on monthly avg returns
100
106.21
101.40
96.38
95.02
97.30
95.74
100.68
95.87
92.97
97.34
99.94
106.54
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
-2.6
2018
Monthly Seasonality over the period Dec 2017 - Nov 2022
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
2.07
50%
-1.23
50%
0.02
40%
2.54
70%
-2.69
40%
0.55
60%
3.49
70%
-2.23
40%
-2.82
50%
4.02
60%
-1.27
10%
2.10
60%
 Capital Growth on monthly avg returns
100
102.07
100.82
100.84
103.40
100.62
101.18
104.70
102.37
99.49
103.49
102.17
104.31
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 Dec 2012 - Nov 2022
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
1.42
45%
1.11
55%
0.18
45%
3.36
64%
-1.14
41%
-0.61
50%
1.05
68%
-0.31
45%
-1.63
55%
4.13
68%
0.97
32%
4.26
76%
 Capital Growth on monthly avg returns
100
101.42
102.54
102.72
106.17
104.96
104.32
105.41
105.08
103.36
107.63
108.68
113.30
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 - Nov 2022

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 - Nov 2022
141 Positive Months (54%) - 122 Negative Months (46%)
MONTHLY RETURNS TABLE
Jan 2001 - Nov 2022
(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
2022
+17.49 +9.92 12.6 4.0 15.0 -13.3 7.6 -18.6 6.0 5.2 -2.9 10.3 -3.6
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
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