uploads///Comparison of Quarterly Mean Return and Volatility of The EWJ and Its Top Performers on October

Analysis of the iShares MSCI Japan ETF and Its Top Performers


Nov. 20 2020, Updated 3:15 p.m. ET

Volatility versus mean return

In a statistical analysis of the iShares MSCI Japan ETF (EWJ), we’ll know about the volatility and mean return. Volatility shows the fluctuation in periodic returns from average returns. This is known as the total risk in the portfolio. The mean return shows the average daily return of the ETF. Let’s analyze the EWJ last quarter volatility and mean return with compared to its top performers last quarter volatility and mean return.

Article continues below advertisement

Compariosn of 3Q15 quarterly mean return and volatility 

In 3Q15 the mean quarterly return of the EWJ was -0.17%, and its quarterly volatility was 9.9%, showing that it can fluctuate 9.9% above or below from the mean return. The graph above shows the comparison between the EWJ’s 3Q15 mean return and volatility with its top performers on October 27. Here’s a quick breakdown:

  • Japan Airport Terminal’s mean return was -0.43%, and its volatility was 21.5% for 3Q15. If we compare it to the ETF, we can see that it’s more volatile than the ETF, and its mean return is more negative than the ETF’s mean return.
  • JSR Corporation’s (JSCPY) mean return was -0.34%, and its volatility was 14.7% for 3Q15. Compared to the ETF, it’s more volatile, with a more negative return, though it is less riskier than Japan Airport Terminal.
  • ONO Pharmaceuticals’ mean return was 0.10% and its volatility was 19.2 for 3Q15. Compared to the ETF, it’s more volatile, but its quarterly mean return is higher than the ETF mean return.

Among the three intraday outperformers, the mean-return-to-volatility ratio is highest for ONO Pharmaceuticals in the third quarter. The ratio explains the return earned per unit of total risk on a daily basis for 3Q15.

The stocks with high weight in the ETF include Toyota Motor (TM), Mitsubishi UFJ Financial Group (MTU), Honda Motor (HMC), SoftBank Group (SFTBY) and Sumitomo Mitsui Financial Group (SMFG). These stocks returned -0.50%, -1.3%, -1.1%, -0.7%, and -1.4%, respectively.

In the next part of the series, we’ll analyze how the iShares MSCI Japan ETF, the FEZ ETF, and the SPY ETF performed on October 27.


More From Market Realist

  • Open sign on a sidewalk
    Macroeconomic Analysis
    Top Reopening Stocks to Play the Shifting Market Sentiment
  • Morgan Stanley sign and stock numbers
    Macroeconomic Analysis
    Morgan Stanley's Buyback Stock Picks in 2021
  • Black Wall Street sign is sign of ethical investing
    Macroeconomic Analysis
    Ethical Investing Stocks and Funds for Your 2021 Portfolio
  • New York City skyline and Goldman Sachs logo
    Macroeconomic Analysis
    Goldman Sachs: Options Trade Picks to Play Earnings Season Volatility
  • CONNECT with Market Realist
  • Link to Facebook
  • Link to Twitter
  • Link to Instagram
  • Link to Email Subscribe
Market Realist Logo
Do Not Sell My Personal Information

© Copyright 2021 Market Realist. Market Realist is a registered trademark. All Rights Reserved. People may receive compensation for some links to products and services on this website. Offers may be subject to change without notice.