Consolidated Returns as of 31 March 2023
In the last 25 Years, the iShares MSCI Japan ETF (EWJ) ETF obtained a 3.01% compound annual return, with a 17.60% standard deviation.
In 2022, the ETF granted a 1.00% 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 Mar 31, 2023
Historical returns and Metrics of iShares MSCI Japan ETF (EWJ) ETF.
- No fees or capital gain taxes
- the reinvestment of dividends
Metrics as of Mar 31, 2023 | |||||||||
---|---|---|---|---|---|---|---|---|---|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y |
MAX
(~26Y) |
|
Portfolio Return (%) |
4.92 | 7.81 | 20.41 | -3.59 | 7.50 | 0.95 | 4.67 | 5.54 | 1.81 |
US Inflation (%) | 0.00 | 1.36 | 1.36 | 4.64 | 5.24 | 3.81 | 2.60 | 2.48 | 2.47 |
Infl. Adjusted Return (%) |
4.92 | 6.36 | 18.80 | -7.87 | 2.15 | -2.75 | 2.02 | 2.98 | -0.65 |
Waiting for updates, inflation of Mar 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | |||||||||
RISK INDICATORS | |||||||||
Standard Deviation (%) | 22.65 | 16.63 | 15.91 | 14.34 | 15.94 | 18.08 | |||
Sharpe Ratio | -0.27 | 0.41 | -0.02 | 0.28 | 0.28 | -0.12 | |||
Sortino Ratio | -0.39 | 0.59 | -0.02 | 0.39 | 0.38 | -0.17 | |||
MAXIMUM DRAWDOWN | |||||||||
Drawdown Depth (%) | -19.94 | -28.85 | -28.85 | -28.85 | -48.88 | -57.84 | |||
Start (yyyy mm) | 2022 04 | 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) | 6 | 12 | 12 | 12 | 24 | 37 | |||
Start to Recovery (# months) in progress |
> 12
|
> 18
|
> 18
|
> 18
|
120
|
205
|
|||
ROLLING PERIOD RETURNS - Annualized | |||||||||
Best Return (%) | 75.03 | 32.55 | 16.28 | 8.06 | 5.54 | ||||
Worst Return (%) | -40.40 | -24.82 | -9.10 | -3.73 | 0.03 | ||||
% Positive Periods | 57% | 72% | 64% | 84% | 100% | ||||
MONTHS | |||||||||
Positive | 1 | 2 | 4 | 6 | 18 | 30 | 67 | 137 | 168 |
Negative | 0 | 1 | 2 | 6 | 18 | 30 | 53 | 103 | 147 |
% Positive | 100% | 67% | 67% | 50% | 50% | 50% | 56% | 57% | 53% |
WITHDRAWAL RATES (WR) | |||||||||
Safe WR (%) | 40.39 | 19.12 | 12.47 | 8.38 | 3.01 | ||||
Perpetual WR (%) | 2.10 | 0.00 | 1.98 | 2.90 | 0.00 |
- 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 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.
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).
Correlation vs EWJ | |||||
---|---|---|---|---|---|
|
|||||
Asset Class | 1 Year | 5 Years | 10 Years | Since Jan 1997 |
|
US Total Stock Market VTI |
0.89
|
0.80
|
0.72
|
0.65
|
|
US Large Cap SPY |
0.90
|
0.79
|
0.72
|
0.65
|
|
US Small Cap IJR |
0.75
|
0.75
|
0.63
|
0.57
|
|
US REITs VNQ |
0.86
|
0.63
|
0.50
|
0.42
|
|
US Technology QQQ |
0.88
|
0.74
|
0.69
|
0.56
|
|
Preferred Stocks PFF |
0.80
|
0.67
|
0.54
|
0.37
|
|
EAFE Stocks EFA |
0.98
|
0.90
|
0.85
|
0.79
|
|
World All Countries VT |
0.96
|
0.85
|
0.80
|
0.73
|
|
Emerging Markets EEM |
0.90
|
0.77
|
0.71
|
0.65
|
|
Europe VGK |
0.94
|
0.84
|
0.76
|
0.64
|
|
Pacific VPL |
0.99
|
0.96
|
0.94
|
0.95
|
|
Latin America FLLA |
0.69
|
0.50
|
0.45
|
0.53
|
|
US Total Bond Market BND |
0.95
|
0.48
|
0.34
|
0.14
|
|
Long Term Treasuries TLT |
0.86
|
0.10
|
0.03
|
-0.07
|
|
US Cash BIL |
0.29
|
-0.04
|
-0.05
|
-0.06
|
|
TIPS TIP |
0.86
|
0.50
|
0.37
|
0.19
|
|
Invest. Grade Bonds LQD |
0.97
|
0.63
|
0.48
|
0.27
|
|
High Yield Bonds HYG |
0.90
|
0.75
|
0.66
|
0.50
|
|
International Bonds BNDX |
0.90
|
0.47
|
0.32
|
0.18
|
|
Emerg. Market Bonds EMB |
0.98
|
0.69
|
0.61
|
0.50
|
|
Gold GLD |
0.68
|
0.19
|
-0.01
|
0.15
|
|
Commodities DBC |
0.41
|
0.46
|
0.33
|
0.35
|
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 Japan ETF (EWJ) ETF: Dividend Yield page.
The Inflation Adjusted Capital now would be 1132.93$, with a net total return of 13.29% (0.50% annualized).
The Inflation Adjusted Capital now would be 843.18$, with a net total return of -15.68% (-0.65% annualized).
Drawdowns
Worst drawdowns since April 1998.
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-57.84% | Apr 2000 | Apr 2003 | 37 | Apr 2017 | 168 | 205 |
-28.85% | Oct 2021 | Sep 2022 | 12 | in progress | 6 | 18 |
-23.54% | May 1998 | Aug 1998 | 4 | Jan 1999 | 5 | 9 |
-18.62% | Feb 2018 | Mar 2020 | 26 | Nov 2020 | 8 | 34 |
-6.90% | Jan 2000 | Feb 2000 | 2 | Mar 2000 | 1 | 3 |
-5.73% | May 1999 | May 1999 | 1 | Jun 1999 | 1 | 2 |
-3.57% | Feb 1999 | Feb 1999 | 1 | Mar 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.
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 | 6 | 18 |
-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
Rolling Period |
Return (*) | Negative Periods |
||
---|---|---|---|---|
Average (%) | Best (%) | Worst (%) | ||
1 Year |
3.90 |
75.03 Oct 1998 - Sep 1999 |
-40.40 Mar 2008 - Feb 2009 |
42.76% |
2 Years |
3.64 |
35.98 Sep 1998 - Aug 2000 |
-29.00 Feb 2000 - Jan 2002 |
33.90% |
3 Years |
3.14 |
32.55 May 2003 - Apr 2006 |
-24.82 Apr 2000 - Mar 2003 |
27.86% |
5 Years |
2.69 |
16.28 May 2003 - Apr 2008 |
-9.10 Aug 1997 - Jul 2002 |
35.94% |
7 Years |
3.10 |
8.74 Nov 2012 - Oct 2019 |
-3.54 Aug 1997 - Jul 2004 |
20.26% |
10 Years |
2.84 |
8.06 Oct 2011 - Sep 2021 |
-3.73 Jan 2000 - Dec 2009 |
15.82% |
15 Years |
2.46 |
7.16 May 2003 - Apr 2018 |
-1.62 Aug 1997 - Jul 2012 |
10.29% |
20 Years |
2.95 |
5.54 Apr 2003 - Mar 2023 |
0.03 Apr 2000 - Mar 2020 |
0.00% |
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?
For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
1.44
40% |
-2.55
40% |
-0.57
60% |
-0.74
40% |
0.83
60% |
-1.22
20% |
1.04
40% |
0.57
40% |
0.87
80% |
-1.45
40% |
4.27
80% |
-0.29
60% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
101.44
|
98.85
|
98.29
|
97.57
|
98.38
|
97.17
|
98.19
|
98.75
|
99.61
|
98.16
|
102.36
|
102.06
|
Best |
7.8 2023 |
1.8 2021 |
4.9 2023 |
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 Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
0.62
50% |
-0.98
50% |
0.09
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% |
-0.43
50% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
100.62
|
99.63
|
99.72
|
100.30
|
101.19
|
101.27
|
102.56
|
101.90
|
103.11
|
104.04
|
106.16
|
105.70
|
Best |
7.8 2023 |
7.5 2015 |
4.9 2023 |
8.3 2013 |
7.1 2020 |
4.7 2014 |
6.3 2022 |
6.8 2020 |
9.7 2013 |
7.9 2015 |
11.6 2022 |
5.3 2020 |
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 Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
-0.45
52% |
-0.23
59% |
1.06
56% |
1.11
58% |
-0.13
50% |
0.88
54% |
-0.38
46% |
-0.89
38% |
0.15
54% |
0.23
50% |
0.76
65% |
1.34
58% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
99.55
|
99.32
|
100.37
|
101.49
|
101.36
|
102.24
|
101.86
|
100.95
|
101.10
|
101.34
|
102.11
|
103.47
|
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/Yearly Returns
iShares MSCI Japan ETF (EWJ) ETF data source starts from January 1997: let's focus on monthly and yearly returns.
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
2023 |
+7.81 | +6.36 | 7.8 | -4.7 | 4.9 | |||||||||
2022 |
-17.72 | -22.71 | -4.3 | -1.8 | -2.1 | -8.1 | 1.7 | -7.4 | 6.3 | -4.6 | -8.8 | 2.3 | 11.6 | -2.2 |
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 |