Data Source: from January 2004 to December 2022 (~19 years)
Consolidated Returns as of 31 December 2022
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 | ||||
- 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.
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$, with a net total return of -17.08% (-1.24% annualized).
The Inflation Adjusted Capital now would be 829.23$, 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$, with a net total return of 81.84% (3.20% annualized).
The Inflation Adjusted Capital now would be 1818.43$, with a net total return of 81.84% (3.20% annualized).
Readings that may interest you
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.
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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.
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)
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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 |