CEMS.DE vs. ZPRW.DE
Compare and contrast key facts about iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE) and SPDR MSCI Europe Value UCITS ETF (ZPRW.DE).
CEMS.DE and ZPRW.DE are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CEMS.DE is a passively managed fund by iShares that tracks the performance of the MSCI Europe Enhanced Value. It was launched on Jan 16, 2015. ZPRW.DE is a passively managed fund by State Street that tracks the performance of the MSCI Europe Value Exposure Select. It was launched on Feb 18, 2015. Both CEMS.DE and ZPRW.DE are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CEMS.DE or ZPRW.DE.
Key characteristics
| CEMS.DE | ZPRW.DE | |
|---|---|---|
| YTD Return | 7.97% | 7.52% |
| 1Y Return | 14.59% | 13.89% |
| 3Y Return (Ann) | 5.93% | 5.75% |
| 5Y Return (Ann) | 6.89% | 7.15% |
| Sharpe Ratio | 1.20 | 1.16 |
| Sortino Ratio | 1.63 | 1.59 |
| Omega Ratio | 1.21 | 1.21 |
| Calmar Ratio | 1.54 | 1.65 |
| Martin Ratio | 5.55 | 6.27 |
| Ulcer Index | 2.37% | 2.02% |
| Daily Std Dev | 11.03% | 10.96% |
| Max Drawdown | -40.20% | -39.54% |
| Current Drawdown | -4.35% | -3.14% |
Correlation
The correlation between CEMS.DE and ZPRW.DE is 0.99, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
CEMS.DE vs. ZPRW.DE - Performance Comparison
In the year-to-date period, CEMS.DE achieves a 7.97% return, which is significantly higher than ZPRW.DE's 7.52% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CEMS.DE vs. ZPRW.DE - Expense Ratio Comparison
CEMS.DE has a 0.25% expense ratio, which is higher than ZPRW.DE's 0.20% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
CEMS.DE vs. ZPRW.DE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE) and SPDR MSCI Europe Value UCITS ETF (ZPRW.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.
Dividends
CEMS.DE vs. ZPRW.DE - Dividend Comparison
Neither CEMS.DE nor ZPRW.DE has paid dividends to shareholders.
Drawdowns
CEMS.DE vs. ZPRW.DE - Drawdown Comparison
The maximum CEMS.DE drawdown since its inception was -40.20%, roughly equal to the maximum ZPRW.DE drawdown of -39.54%. Use the drawdown chart below to compare losses from any high point for CEMS.DE and ZPRW.DE. For additional features, visit the drawdowns tool.
Volatility
CEMS.DE vs. ZPRW.DE - Volatility Comparison
iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE) and SPDR MSCI Europe Value UCITS ETF (ZPRW.DE) have volatilities of 4.50% and 4.57%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.