CEMS.DE vs. ZPRL.DE
CEMS.DE (iShares Edge MSCI Europe Value Factor UCITS ETF) and ZPRL.DE (SPDR EURO STOXX Low Volatility UCITS ETF) are both Europe Equities funds - CEMS.DE tracks the MSCI Europe Enhanced Value while ZPRL.DE tracks the EURO STOXX® Low Risk Weighted 100. Both are passively managed. Over the past 10 years, CEMS.DE returned 10.71%/yr vs 6.55%/yr for ZPRL.DE. Their correlation of 0.81 suggests significant overlap in exposure. CEMS.DE charges 0.25%/yr vs 0.30%/yr for ZPRL.DE.
Performance
CEMS.DE vs. ZPRL.DE - Performance Comparison
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Returns By Period
In the year-to-date period, CEMS.DE achieves a 13.72% return, which is significantly higher than ZPRL.DE's 5.19% return. Over the past 10 years, CEMS.DE has outperformed ZPRL.DE with an annualized return of 10.71%, while ZPRL.DE has yielded a comparatively lower 6.55% annualized return.
CEMS.DE
- 1D
- 0.10%
- 1M
- 2.64%
- YTD
- 13.72%
- 6M
- 16.98%
- 1Y
- 32.08%
- 3Y*
- 21.63%
- 5Y*
- 14.47%
- 10Y*
- 10.71%
ZPRL.DE
- 1D
- 0.22%
- 1M
- -1.72%
- YTD
- 5.19%
- 6M
- 6.76%
- 1Y
- 5.48%
- 3Y*
- 11.19%
- 5Y*
- 7.05%
- 10Y*
- 6.55%
CEMS.DE vs. ZPRL.DE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CEMS.DE iShares Edge MSCI Europe Value Factor UCITS ETF | 13.72% | 35.97% | 9.93% | 13.90% | -4.54% | 26.62% | -8.86% | 23.48% | -14.04% | 10.16% |
ZPRL.DE SPDR EURO STOXX Low Volatility UCITS ETF | 5.19% | 18.48% | 7.41% | 12.34% | -14.65% | 17.34% | -5.25% | 22.05% | -8.17% | 15.38% |
Correlation
The correlation between CEMS.DE and ZPRL.DE is 0.72, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.72 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.79 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.80 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.79 |
Correlation (All Time) Calculated using the full available price history since Jan 21, 2015 | 0.81 |
The correlation between CEMS.DE and ZPRL.DE has been stable across timeframes, ranging from 0.72 to 0.81 - a consistent structural relationship.
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Return for Risk
CEMS.DE vs. ZPRL.DE — Risk / Return Rank
CEMS.DE
ZPRL.DE
CEMS.DE vs. ZPRL.DE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE) and SPDR EURO STOXX Low Volatility UCITS ETF (ZPRL.DE). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| CEMS.DE | ZPRL.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.75 | ||
| Sortino ratioReturn per unit of downside risk | +2.37 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.11 | +0.31 |
| Calmar ratioReturn relative to maximum drawdown | 3.29 | 0.72 | +2.57 |
| Martin ratioReturn relative to average drawdown | 12.37 | 2.02 | +10.35 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CEMS.DE | ZPRL.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.37 | 0.62 | +1.75 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.94 | 0.59 | +0.35 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.61 | 0.48 | +0.13 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.53 | -0.05 |
Drawdowns
CEMS.DE vs. ZPRL.DE - Drawdown Comparison
The maximum CEMS.DE drawdown since its inception was -40.20%, which is greater than ZPRL.DE's maximum drawdown of -35.35%. Use the drawdown chart below to compare losses from any high point for CEMS.DE and ZPRL.DE.
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Drawdown Indicators
| CEMS.DE | ZPRL.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.20% | -35.35% | -4.85% |
Max Drawdown (1Y)Largest decline over 1 year | -9.99% | -7.97% | -2.02% |
Max Drawdown (3Y)Largest decline over 3 years | -17.57% | -9.37% | -8.20% |
Max Drawdown (5Y)Largest decline over 5 years | -19.55% | -23.37% | +3.82% |
Max Drawdown (10Y)Largest decline over 10 years | -40.20% | -35.35% | -4.85% |
Current DrawdownCurrent decline from peak | -1.26% | -3.70% | +2.44% |
Average DrawdownAverage peak-to-trough decline | -7.49% | -5.39% | -2.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.66% | 2.84% | -0.18% |
Volatility
CEMS.DE vs. ZPRL.DE - Volatility Comparison
iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE) has a higher volatility of 4.65% compared to SPDR EURO STOXX Low Volatility UCITS ETF (ZPRL.DE) at 2.90%. This indicates that CEMS.DE's price experiences larger fluctuations and is considered to be riskier than ZPRL.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CEMS.DE | ZPRL.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.65% | 2.90% | +1.75% |
Volatility (6M)Calculated over the trailing 6-month period | 11.17% | 7.65% | +3.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.87% | 9.22% | +4.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.23% | 11.89% | +3.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.43% | 13.60% | +3.83% |
CEMS.DE vs. ZPRL.DE - Expense Ratio Comparison
CEMS.DE has a 0.25% expense ratio, which is lower than ZPRL.DE's 0.30% expense ratio.
Dividends
CEMS.DE vs. ZPRL.DE - Dividend Comparison
Neither CEMS.DE nor ZPRL.DE has paid dividends to shareholders.
Frequently Asked Questions
CEMS.DE and ZPRL.DE have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, CEMS.DE is cheaper at 0.25% per year. The better choice depends on whether you care most about return, fees, risk, or income.
CEMS.DE is cheaper with a 0.25% expense ratio, compared with 0.30% for ZPRL.DE.
CEMS.DE tracks MSCI Europe Enhanced Value, while ZPRL.DE tracks EURO STOXX® Low Risk Weighted 100. They also come from different issuers: iShares and State Street. Their fees differ too: 0.25% for CEMS.DE and 0.30% for ZPRL.DE.
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