Data Source: from January 2004 to December 2022 (~19 years)
Consolidated Returns as of 31 December 2022
Category: Stocks
ETF: iShares MSCI South Africa ETF (EZA)

In the last 15 Years, the iShares MSCI South Africa ETF (EZA) ETF obtained a 1.06% compound annual return, with a 26.85% standard deviation.

In 2022, the ETF granted a 3.60% dividend yield. If you are interested in getting periodic income, please refer to the iShares MSCI South Africa ETF (EZA) ETF: Dividend Yield page.

The ETF is related to the following investment themes:

  • Asset Class: Equity
  • Size: Large Cap
  • Style: Blend
  • Region: North America
  • Country: U.S.

Historical Returns as of Dec 31, 2022

Historical returns and Metrics of iShares MSCI South Africa ETF (EZA) ETF.

Returns and metrics are calculated based on monthly returns, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends
ISHARES MSCI SOUTH AFRICA ETF (EZA) ETF
Portfolio Metrics
Data Source: 1 January 2004 - 31 December 2022 (~19 years)
Swipe left to see all data
Metrics as of Dec 31, 2022
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~19Y)
Portfolio
Return (%)
-3.13 19.47 1.34 -5.12 -0.99 -4.47 -1.18 5.82
US Inflation (%) -0.31 0.00 0.16 6.45 4.92 3.78 2.60 2.54
Infl. Adjusted
Return (%)
-2.83 19.48 1.17 -10.88 -5.63 -7.95 -3.68 3.20
Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 29.66 29.84 27.26 24.32 26.66
Sharpe Ratio -0.22 -0.05 -0.20 -0.07 0.07
Sortino Ratio -0.32 -0.07 -0.27 -0.10 0.09
MAXIMUM DRAWDOWN
Drawdown Depth (%) -33.64 -42.14 -53.99 -53.99 -57.08
Start (yyyy mm) 2022 04 2020 01 2018 02 2018 02 2007 11
Bottom (yyyy mm) 2022 09 2020 03 2020 03 2020 03 2009 02
Start to Bottom (# months) 6 3 26 26 16
Start to Recovery (# months) in progress
> 9
14
> 59
> 59
38
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 84.57 38.45 18.87 13.10
Worst Return (%) -52.86 -15.09 -11.63 -3.71
% Positive Periods 59% 65% 70% 84%
MONTHS
Positive 0 2 2 6 20 28 63 127
Negative 1 1 4 6 16 32 57 101
% Positive 0% 67% 33% 50% 56% 47% 53% 56%
WITHDRAWAL RATES (WR)
Safe WR (%) 30.54 14.86 8.14 10.97
Perpetual WR (%) 0.00 0.00 0.00 3.10
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 Dec 31, 2022

Monthly correlations of iShares MSCI South Africa ETF (EZA) 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 SOUTH AFRICA ETF (EZA) ETF
Monthly correlations as of 31 December 2022
Swipe left to see all data
Correlation vs EZA
 
Asset Class 1 Year 5 Years 10 Years Since
Jan 2004
US Total Stock Market
VTI
0.64
0.68
0.59
0.67
US Large Cap
SPY
0.66
0.67
0.58
0.66
US Small Cap
IJR
0.56
0.71
0.55
0.64
US REITs
VNQ
0.55
0.58
0.51
0.57
US Technology
QQQ
0.60
0.52
0.47
0.57
Preferred Stocks
PFF
0.57
0.61
0.52
0.44
EAFE Stocks
EFA
0.79
0.80
0.72
0.79
World All Countries
VT
0.74
0.77
0.70
0.77
Emerging Markets
EEM
0.77
0.83
0.82
0.86
Europe
VGK
0.76
0.79
0.69
0.75
Pacific
VPL
0.78
0.78
0.72
0.78
Latin America
FLLA
0.68
0.77
0.74
0.79
US Total Bond Market
BND
0.63
0.26
0.29
0.24
Long Term Treasuries
TLT
0.60
-0.16
-0.02
-0.07
US Cash
BIL
0.12
-0.21
-0.12
-0.02
TIPS
TIP
0.57
0.32
0.38
0.34
Invest. Grade Bonds
LQD
0.68
0.49
0.48
0.38
High Yield Bonds
HYG
0.61
0.68
0.62
0.57
International Bonds
BNDX
0.61
0.30
0.28
0.23
Emerg. Market Bonds
EMB
0.73
0.70
0.68
0.65
Gold
GLD
0.59
0.33
0.31
0.38
Commodities
DBC
0.52
0.57
0.48
0.53

Capital Growth as of Dec 31, 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 South Africa ETF (EZA) ETF: Dividend Yield page.

An investment of 1000$, since January 2008, now would be worth 1171.76$, with a total return of 17.18% (1.06% annualized).

The Inflation Adjusted Capital now would be 829.23$, with a net total return of -17.08% (-1.24% annualized).
An investment of 1000$, since January 2004, now would be worth 2928.40$, with a total return of 192.84% (5.82% annualized).

The Inflation Adjusted Capital now would be 1818.43$, with a net total return of 81.84% (3.20% annualized).

Drawdowns

Worst drawdowns since January 2008.

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Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-53.99% Feb 2018 Mar 2020 26 in progress 33 59
-50.47% Jan 2008 Feb 2009 14 Mar 2010 13 27
-34.95% May 2015 Feb 2016 10 Dec 2017 22 32
-25.52% May 2011 Sep 2011 5 Aug 2014 35 40
-12.47% Apr 2010 Jun 2010 3 Jul 2010 1 4
-12.17% Jan 2011 Jan 2011 1 Apr 2011 3 4
-9.14% Sep 2014 Sep 2014 1 Apr 2015 7 8
-3.71% Aug 2010 Aug 2010 1 Sep 2010 1 2
-1.49% Nov 2010 Nov 2010 1 Dec 2010 1 2

Worst drawdowns since January 2004.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-57.08% Nov 2007 Feb 2009 16 Dec 2010 22 38
-53.99% Feb 2018 Mar 2020 26 in progress 33 59
-34.95% May 2015 Feb 2016 10 Dec 2017 22 32
-25.52% May 2011 Sep 2011 5 Aug 2014 35 40
-24.39% May 2006 Sep 2006 5 Mar 2007 6 11
-14.76% Apr 2004 Apr 2004 1 Sep 2004 5 6
-14.09% Mar 2005 May 2005 3 Aug 2005 3 6
-12.17% Jan 2011 Jan 2011 1 Apr 2011 3 4
-9.18% Oct 2005 Oct 2005 1 Dec 2005 2 3
-9.14% Sep 2014 Sep 2014 1 Apr 2015 7 8
-6.71% Feb 2006 Feb 2006 1 Mar 2006 1 2
-6.53% Jan 2005 Jan 2005 1 Feb 2005 1 2
-6.13% May 2007 Jul 2007 3 Sep 2007 2 5
-0.98% Jan 2004 Jan 2004 1 Feb 2004 1 2

Rolling Returns ( more details)

iShares MSCI South Africa ETF (EZA) ETF: annualized rolling and average returns

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Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
8.81 84.57
Apr 2020 - Mar 2021
-52.86
Nov 2007 - Oct 2008
41.01%
2 Years
6.68 55.72
Mar 2009 - Feb 2011
-30.49
Apr 2018 - Mar 2020
35.12%
3 Years
4.76 38.45
May 2004 - Apr 2007
-15.09
Apr 2017 - Mar 2020
34.72%
5 Years
3.96 18.87
Mar 2009 - Feb 2014
-11.63
Apr 2015 - Mar 2020
30.18%
7 Years
4.00 20.04
May 2004 - Apr 2011
-7.18
Apr 2013 - Mar 2020
24.83%
10 Years
3.72 13.10
May 2004 - Apr 2014
-3.71
Apr 2010 - Mar 2020
15.60%
15 Years
3.69 8.36
May 2004 - Apr 2019
-0.73
Nov 2007 - Oct 2022
4.08%
(*) 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 South Africa ETF (EZA) ETF: Rolling Returns page.

Seasonality

iShares MSCI South Africa ETF (EZA) 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
3.57
80%
-1.72
40%
-4.72
40%
0.13
40%
0.71
60%
-2.09
40%
1.26
40%
-4.54
20%
-3.63
0%
0.04
80%
6.55
60%
3.77
60%
 Capital Growth on monthly avg returns
100
103.57
101.79
96.99
97.11
97.80
95.76
96.97
92.56
89.21
89.24
95.09
98.67
Best 14.2
2019
5.3
2021
6.8
2021
10.4
2020
7.6
2021
6.9
2020
6.5
2020
2.1
2021
-0.6
2020
5.4
2022
17.0
2022
11.1
2020
Worst -9.0
2020
-9.8
2020
-29.5
2020
-13.7
2022
-6.6
2019
-10.2
2022
-5.5
2019
-10.3
2018
-9.5
2022
-10.0
2018
-4.6
2021
-3.1
2022
Monthly Seasonality over the period Jan 2018 - Dec 2022
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.70
60%
-0.42
50%
-0.15
50%
1.90
70%
-1.99
50%
-0.16
60%
1.94
60%
-3.57
30%
-2.47
20%
1.73
80%
2.26
40%
2.08
60%
 Capital Growth on monthly avg returns
100
100.70
100.27
100.13
102.03
100.00
99.85
101.78
98.15
95.73
97.39
99.59
101.66
Best 14.2
2019
7.7
2014
18.3
2016
10.4
2020
7.6
2021
8.4
2016
9.2
2016
3.9
2017
8.5
2013
6.6
2014
17.0
2022
11.1
2020
Worst -10.5
2014
-9.8
2020
-29.5
2020
-13.7
2022
-9.8
2016
-10.2
2022
-5.5
2019
-10.3
2018
-9.5
2022
-10.0
2018
-8.1
2016
-11.0
2015
Monthly Seasonality over the period Jan 2013 - Dec 2022
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
-0.84
47%
0.43
63%
2.09
58%
2.02
63%
-1.66
42%
-0.65
53%
2.55
68%
-1.42
42%
-0.80
42%
0.87
68%
2.77
53%
3.94
68%
 Capital Growth on monthly avg returns
100
99.16
99.59
101.68
103.73
102.01
101.35
103.93
102.45
101.64
102.52
105.36
109.51
Best 17.0
2006
8.3
2005
21.4
2009
10.8
2008
18.4
2009
8.4
2016
15.2
2010
7.5
2005
15.1
2010
15.4
2007
17.0
2022
14.3
2010
Worst -13.9
2009
-9.8
2020
-29.5
2020
-14.8
2004
-15.6
2006
-10.2
2022
-5.5
2019
-10.3
2018
-17.9
2011
-29.6
2008
-8.1
2016
-11.0
2015
Monthly Seasonality over the period Jan 2004 - Dec 2022

Monthly/Yearly Returns

iShares MSCI South Africa ETF (EZA) ETF data source starts from January 2004: 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 2004 - Dec 2022
127 Positive Months (56%) - 101 Negative Months (44%)
MONTHLY RETURNS TABLE
Jan 2004 - Dec 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
-5.12 -10.88 9.3 3.8 5.5 -13.7 0.9 -10.2 -0.1 -6.1 -9.5 5.4 17.0 -3.1
2021
+7.92 +0.82 0.2 5.3 6.8 -0.1 7.6 -7.1 -0.9 2.1 -4.8 0.0 -4.6 4.4
2020
-5.19 -6.47 -9.0 -9.8 -29.5 10.4 7.1 6.9 6.5 -1.0 -0.6 0.3 10.9 11.1
2019
+9.62 +7.17 14.2 -6.8 -2.5 8.2 -6.6 6.0 -5.5 -7.4 -0.9 4.5 -0.1 8.9
2018
-25.23 -26.63 3.1 -1.1 -3.7 -4.2 -5.5 -6.1 6.3 -10.3 -2.2 -10.0 9.5 -2.5
2017
+36.04 +33.23 4.8 0.2 0.4 6.0 1.7 -3.8 6.0 3.9 -6.0 2.0 6.9 10.3
2016
+16.75 +14.38 -1.9 -2.2 18.3 5.1 -9.8 8.4 9.2 -9.1 6.7 -1.4 -8.1 4.1
2015
-26.03 -26.57 4.3 1.3 -2.1 5.5 -8.0 1.5 -4.8 -7.7 -6.6 6.1 -6.3 -11.0
2014
+2.75 +1.97 -10.5 7.7 6.5 1.3 0.9 2.5 0.6 2.1 -9.1 6.6 -0.5 -3.5
2013
-7.51 -8.88 -7.5 -2.6 -1.0 0.5 -8.2 0.3 2.0 -2.3 8.5 3.8 -2.2 2.0
2012
+21.06 +18.98 8.9 4.8 -1.1 -0.4 -9.2 4.3 0.9 0.5 3.0 -1.7 -1.4 12.5
2011
-15.73 -18.15 -12.2 5.8 5.1 5.4 -5.2 -1.3 -1.8 -1.4 -17.9 12.1 2.2 -4.1
2010
+36.94 +34.92 -6.0 1.3 13.4 -1.1 -5.8 -6.0 15.2 -3.7 15.1 0.8 -1.5 14.3
2009
+51.55 +47.54 -13.9 -7.6 21.4 9.0 18.4 0.7 5.3 4.8 5.0 -5.3 8.1 1.9
2008
-37.70 -37.75 -9.8 1.0 -4.5 10.8 3.4 -10.1 1.2 -4.4 -10.9 -29.6 2.3 12.0
2007
+15.49 +10.97 0.6 0.2 4.7 7.6 -1.6 -2.5 -2.1 1.9 6.3 15.4 -8.0 -5.8
2006
+19.70 +16.73 17.0 -6.7 7.3 4.9 -15.6 -3.8 1.5 -0.7 -7.6 11.6 7.6 7.4
2005
+25.86 +21.71 -6.5 8.3 -9.1 -2.0 -3.5 4.8 8.6 7.5 8.7 -9.2 7.4 11.7
2004
+43.63 +39.10 -1.0 5.5 3.9 -14.8 7.5 3.2 0.3 4.2 7.7 5.2 13.4 4.2
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