Data Source: from January 1997 to November 2022 (~26 years)
Consolidated Returns as of 30 November 2022
Live Update: Dec 07 2022, 11:59AM Eastern Time
Category: Stocks
ETF: iShares MSCI Japan ETF (EWJ)
ETF • LIVE PERFORMANCE (USD currency)
0.38%
1 Day
Dec 07 2022, 11:59AM Eastern Time
1.79%
Current Month
December 2022

In the last 25 Years, the iShares MSCI Japan ETF (EWJ) ETF obtained a 2.57% compound annual return, with a 17.83% standard deviation.

In 2021, the ETF granted a 2.07% dividend yield. If you are interested in getting periodic income, please refer to the iShares MSCI Japan ETF (EWJ) ETF: Dividend Yield page.

The ETF is related to the following investment themes:

  • Asset Class: Equity
  • Size: Large Cap
  • Style: Blend
  • Region: Developed Asia Pacific
  • Country: Japan

Historical Returns as of Nov 30, 2022

Historical returns and Metrics of iShares MSCI Japan ETF (EWJ) ETF.

Returns and metrics are calculated based on monthly returns, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends
ISHARES MSCI JAPAN ETF (EWJ) ETF
Portfolio Metrics
Data Source: 1 January 1997 - 30 November 2022 (~26 years)
Swipe left to see all data
Metrics as of Nov 30, 2022
1M 3M 6M 1Y 3Y 5Y 10Y 20Y MAX
(~26Y)
Portfolio
Return (%)
11.62 4.12 -2.18 -13.92 -0.30 0.28 5.77 4.72 1.62
US Inflation (%) 0.00 0.62 1.96 7.22 5.03 3.85 2.61 2.52 2.46
Infl. Adjusted
Return (%)
11.62 3.48 -4.05 -19.72 -5.08 -3.44 3.07 2.15 -0.82
Waiting for updates, inflation of Nov 2022 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 20.49 16.91 15.43 14.18 15.86 18.09
Sharpe Ratio -0.73 -0.05 -0.05 0.37 0.23 -0.13
Sortino Ratio -1.13 -0.07 -0.07 0.51 0.32 -0.18
MAXIMUM DRAWDOWN
Drawdown Depth (%) -26.33 -28.85 -28.85 -28.85 -48.88 -57.84
Start (yyyy mm) 2022 01 2021 10 2021 10 2021 10 2007 03 2000 04
Bottom (yyyy mm) 2022 09 2022 09 2022 09 2022 09 2009 02 2003 04
Start to Bottom (# months) 9 12 12 12 24 37
Start to Recovery (# months) in progress
> 11
> 14
> 14
> 14
120
205
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 75.03 32.55 16.28 8.06 5.41
Worst Return (%) -40.40 -24.82 -9.10 -3.73 0.03
% Positive Periods 58% 72% 64% 84% 100%
MONTHS
Positive 1 2 3 5 17 30 69 136 166
Negative 0 1 3 7 19 30 51 104 145
% Positive 100% 67% 50% 42% 47% 50% 58% 57% 53%
WITHDRAWAL RATES (WR)
Safe WR (%) 35.93 19.98 13.99 7.23 3.12
Perpetual WR (%) 0.00 0.00 2.98 2.11 0.00
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 Japan ETF (EWJ) 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 JAPAN ETF (EWJ) ETF
Monthly correlations as of 30 November 2022
Swipe left to see all data
Correlation vs EWJ
 
Asset Class 1 Year 5 Years 10 Years Since
Jan 1997
US Total Stock Market
VTI
0.87
0.80
0.71
0.65
US Large Cap
SPY
0.87
0.79
0.70
0.65
US Small Cap
IJR
0.82
0.77
0.64
0.57
US REITs
VNQ
0.77
0.59
0.49
0.41
US Technology
QQQ
0.85
0.73
0.67
0.55
Preferred Stocks
PFF
0.87
0.66
0.54
0.37
EAFE Stocks
EFA
0.97
0.90
0.84
0.78
World All Countries
VT
0.94
0.85
0.79
0.72
Emerging Markets
EEM
0.85
0.76
0.69
0.65
Europe
VGK
0.94
0.84
0.74
0.64
Pacific
VPL
0.99
0.96
0.94
0.95
Latin America
FLLA
0.47
0.50
0.44
0.52
US Total Bond Market
BND
0.93
0.40
0.27
0.11
Long Term Treasuries
TLT
0.81
0.00
-0.04
-0.09
US Cash
BIL
0.30
-0.09
-0.10
-0.06
TIPS
TIP
0.83
0.45
0.33
0.18
Invest. Grade Bonds
LQD
0.97
0.57
0.42
0.25
High Yield Bonds
HYG
0.89
0.73
0.64
0.49
International Bonds
BNDX
0.89
0.39
0.28
0.17
Emerg. Market Bonds
EMB
0.96
0.67
0.58
0.49
Gold
GLD
0.53
0.13
-0.06
0.14
Commodities
DBC
0.22
0.47
0.32
0.35

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 Japan ETF (EWJ) ETF: Dividend Yield page.

An investment of 1000$, since December 1997, now would be worth 1886.82$, with a total return of 88.68% (2.57% annualized).

The Inflation Adjusted Capital now would be 1022.52$, with a net total return of 2.25% (0.09% annualized).
An investment of 1000$, since January 1997, now would be worth 1517.27$, with a total return of 51.73% (1.62% annualized).

The Inflation Adjusted Capital now would be 807.48$, with a net total return of -19.25% (-0.82% annualized).

Drawdowns

Worst drawdowns since December 1997.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-57.84% Apr 2000 Apr 2003 37 Apr 2017 168 205
-29.52% Mar 1998 Aug 1998 6 Mar 1999 7 13
-28.85% Oct 2021 Sep 2022 12 in progress 2 14
-18.62% Feb 2018 Mar 2020 26 Nov 2020 8 34
-6.90% Jan 2000 Feb 2000 2 Mar 2000 1 3
-5.94% Dec 1997 Dec 1997 1 Jan 1998 1 2
-5.73% May 1999 May 1999 1 Jun 1999 1 2
-1.61% Apr 2021 Apr 2021 1 May 2021 1 2
-1.42% Jun 2021 Jul 2021 2 Aug 2021 1 3
-0.84% Jan 2021 Jan 2021 1 Feb 2021 1 2
-0.10% Aug 1999 Aug 1999 1 Sep 1999 1 2
-0.09% Aug 2017 Aug 2017 1 Sep 2017 1 2

Worst drawdowns since January 1997.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-57.84% Apr 2000 Apr 2003 37 Apr 2017 168 205
-44.15% Jul 1997 Aug 1998 14 Oct 1999 14 28
-28.85% Oct 2021 Sep 2022 12 in progress 2 14
-18.62% Feb 2018 Mar 2020 26 Nov 2020 8 34
-11.96% Jan 1997 Mar 1997 3 May 1997 2 5
-6.90% Jan 2000 Feb 2000 2 Mar 2000 1 3
-1.61% Apr 2021 Apr 2021 1 May 2021 1 2
-1.42% Jun 2021 Jul 2021 2 Aug 2021 1 3
-0.84% Jan 2021 Jan 2021 1 Feb 2021 1 2
-0.09% Aug 2017 Aug 2017 1 Sep 2017 1 2

Rolling Returns ( more details)

iShares MSCI Japan ETF (EWJ) ETF: annualized rolling and average returns

Swipe left to see all data
Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
4.08 75.03
Oct 1998 - Sep 1999
-40.40
Mar 2008 - Feb 2009
42.00%
2 Years
3.79 35.98
Sep 1998 - Aug 2000
-29.00
Feb 2000 - Jan 2002
32.99%
3 Years
3.14 32.55
May 2003 - Apr 2006
-24.82
Apr 2000 - Mar 2003
27.90%
5 Years
2.73 16.28
May 2003 - Apr 2008
-9.10
Aug 1997 - Jul 2002
35.71%
7 Years
3.07 8.74
Nov 2012 - Oct 2019
-3.54
Aug 1997 - Jul 2004
20.61%
10 Years
2.79 8.06
Oct 2011 - Sep 2021
-3.73
Jan 2000 - Dec 2009
16.15%
15 Years
2.47 7.16
May 2003 - Apr 2018
-1.62
Aug 1997 - Jul 2012
10.61%
20 Years
2.83 5.41
Feb 2002 - Jan 2022
0.03
Apr 2000 - Mar 2020
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 Japan ETF (EWJ) ETF: Rolling Returns page.

Seasonality

iShares MSCI Japan ETF (EWJ) 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
0.89
40%
-2.21
40%
-1.68
40%
-0.74
40%
0.83
60%
-1.22
20%
1.04
40%
0.57
40%
0.87
80%
-1.45
40%
4.27
80%
0.30
80%
 Capital Growth on monthly avg returns
100
100.89
98.66
97.00
96.29
97.08
95.90
96.90
97.45
98.30
96.88
101.01
101.31
Best 7.1
2019
1.8
2021
0.7
2019
4.8
2020
7.1
2020
4.5
2019
6.3
2022
6.8
2020
5.2
2019
3.4
2019
11.6
2022
5.3
2020
Worst -4.3
2022
-8.3
2020
-6.7
2020
-8.1
2022
-4.9
2019
-7.4
2022
-1.1
2020
-4.6
2022
-8.8
2022
-8.9
2018
-3.0
2021
-7.7
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
0.06
50%
-0.27
60%
0.17
60%
0.59
60%
0.88
70%
0.08
40%
1.28
60%
-0.65
30%
1.19
70%
0.90
60%
2.03
70%
0.35
60%
 Capital Growth on monthly avg returns
100
100.06
99.79
99.97
100.55
101.44
101.52
102.81
102.15
103.37
104.30
106.42
106.79
Best 7.1
2019
7.5
2015
5.8
2013
8.3
2013
7.1
2020
4.7
2014
6.3
2022
6.8
2020
9.7
2013
7.9
2015
11.6
2022
5.6
2012
Worst -6.7
2014
-8.3
2020
-6.7
2020
-8.1
2022
-7.4
2013
-7.4
2022
-1.1
2020
-6.3
2015
-8.8
2022
-8.9
2018
-3.6
2014
-7.7
2018
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
-0.77
50%
-0.06
62%
0.91
54%
1.11
58%
-0.13
50%
0.88
54%
-0.38
46%
-0.89
38%
0.15
54%
0.23
50%
0.76
65%
1.48
60%
 Capital Growth on monthly avg returns
100
99.23
99.17
100.08
101.19
101.06
101.94
101.56
100.65
100.80
101.04
101.81
103.31
Best 12.0
1998
7.5
2015
13.6
1999
9.6
2001
10.1
2009
10.5
1999
7.5
1999
9.2
2003
9.7
2013
21.1
1998
11.6
2022
11.6
2008
Worst -12.0
2009
-12.6
2009
-11.2
1998
-8.1
2022
-8.7
2012
-7.5
2008
-11.1
2000
-16.4
1998
-8.8
2022
-15.6
2008
-7.4
2000
-8.0
2001
Monthly Seasonality over the period Jan 1997 - Nov 2022

Monthly/Yearly Returns

iShares MSCI Japan ETF (EWJ) ETF data source starts from January 1997: 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 1997 - Nov 2022
166 Positive Months (53%) - 145 Negative Months (47%)
MONTHLY RETURNS TABLE
Jan 1997 - 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
-15.85 -21.28 -4.3 -1.8 -2.1 -8.1 1.7 -7.4 6.3 -4.6 -8.8 2.3 11.6
2021
+1.17 -5.49 -0.8 1.8 0.4 -1.6 1.7 -0.8 -0.6 1.9 2.7 -2.6 -3.0 2.3
2020
+15.41 +13.86 -2.5 -8.3 -6.7 4.8 7.1 -0.1 -1.1 6.8 1.8 -1.4 10.6 5.3
2019
+19.33 +16.66 7.1 0.1 0.7 1.3 -4.9 4.5 -0.4 -0.8 5.2 3.4 1.3 0.9
2018
-14.10 -15.71 5.0 -3.0 -0.6 -0.1 -1.5 -2.3 1.1 -0.5 3.5 -8.9 0.9 -7.7
2017
+24.27 +21.71 3.5 1.3 0.5 0.7 2.8 1.3 2.1 -0.1 1.8 5.3 2.1 0.7
2016
+2.78 +0.69 -5.1 -5.3 4.8 0.1 3.2 -1.7 4.9 1.8 2.1 0.7 -1.2 -0.9
2015
+9.17 +8.38 2.2 7.5 1.5 2.6 1.5 -1.3 0.9 -6.3 -5.8 7.9 0.5 -1.4
2014
-6.24 -6.94 -6.7 2.5 -2.4 -2.2 4.5 4.7 -0.3 -1.7 -0.3 2.5 -3.6 -2.7
2013
+25.97 +24.10 2.3 2.4 5.8 8.3 -7.4 3.9 0.0 -3.1 9.7 -0.1 1.3 1.4
2012
+9.22 +7.35 4.8 4.6 1.9 -4.3 -8.7 6.9 -4.5 0.8 1.2 -1.2 3.0 5.6
2011
-14.78 -17.23 0.2 5.5 -10.5 2.0 -2.5 2.4 2.7 -8.0 -4.0 -0.6 0.3 -2.3
2010
+13.59 +11.92 1.0 1.0 5.0 -0.5 -8.5 -2.6 4.7 -2.6 5.4 1.3 2.5 7.0
2009
+3.13 +0.40 -12.0 -12.6 7.2 7.7 10.1 1.2 4.7 3.5 -2.7 -3.9 0.1 2.8
2008
-26.96 -27.03 -4.3 -1.5 -1.3 7.4 2.0 -7.5 -3.8 -4.9 -6.6 -15.6 -3.8 11.6
2007
-5.50 -9.21 0.7 3.1 -1.3 -2.0 2.2 -0.6 -0.6 -2.5 1.9 0.1 -2.0 -4.6
2006
+5.85 +3.22 3.7 -1.6 4.3 2.8 -5.4 -2.6 -0.5 1.0 -1.2 2.0 0.0 3.6
2005
+24.34 +20.23 -3.0 2.1 -3.0 -2.3 -1.3 0.2 1.1 8.6 9.5 -0.7 2.9 9.0
2004
+13.74 +10.15 0.2 0.5 11.9 -6.7 -1.5 6.3 -7.3 1.4 -2.8 2.4 3.8 6.3
2003
+38.73 +36.18 -2.6 1.0 -5.6 -0.8 5.9 7.1 4.5 9.2 5.5 5.5 -3.0 7.6
2002
-9.86 -11.95 -7.4 4.6 9.0 3.7 6.2 -5.9 -6.8 -0.6 -6.1 -5.7 3.6 -2.9
2001
-30.31 -31.37 -0.6 -4.3 -2.8 9.6 -2.9 -6.1 -8.1 -2.8 -8.1 -0.1 -0.1 -8.0
2000
-26.39 -28.81 -5.7 -1.2 8.6 -7.6 -5.7 5.7 -11.1 6.6 -4.9 -4.2 -7.4 -1.0
1999
+60.88 +56.67 2.4 -3.6 13.6 4.3 -5.7 10.5 7.5 -0.1 4.2 6.3 3.0 7.7
1998
+4.03 +2.38 12.0 1.1 -11.2 3.8 -6.1 1.3 -3.8 -16.4 1.6 21.1 3.2 2.6
1997
-24.36 -25.63 -10.0 2.1 -4.2 6.0 9.7 5.6 -1.3 -9.8 -1.0 -9.5 -6.7 -5.9
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