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EELV vs. IEMG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EELV and IEMG is 0.88, 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.


-0.50.00.51.00.9

Performance

EELV vs. IEMG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P Emerging Markets Low Volatility ETF (EELV) and iShares Core MSCI Emerging Markets ETF (IEMG). The values are adjusted to include any dividend payments, if applicable.

30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
29.97%
46.20%
EELV
IEMG

Key characteristics

Sharpe Ratio

EELV:

0.49

IEMG:

0.76

Sortino Ratio

EELV:

0.75

IEMG:

1.15

Omega Ratio

EELV:

1.09

IEMG:

1.14

Calmar Ratio

EELV:

0.53

IEMG:

0.45

Martin Ratio

EELV:

1.61

IEMG:

3.02

Ulcer Index

EELV:

3.23%

IEMG:

3.80%

Daily Std Dev

EELV:

10.69%

IEMG:

15.07%

Max Drawdown

EELV:

-36.35%

IEMG:

-38.71%

Current Drawdown

EELV:

-9.31%

IEMG:

-14.91%

Returns By Period

In the year-to-date period, EELV achieves a 2.31% return, which is significantly lower than IEMG's 7.43% return. Over the past 10 years, EELV has underperformed IEMG with an annualized return of 2.92%, while IEMG has yielded a comparatively higher 3.95% annualized return.


EELV

YTD

2.31%

1M

-2.65%

6M

2.42%

1Y

4.31%

5Y*

3.75%

10Y*

2.92%

IEMG

YTD

7.43%

1M

-0.85%

6M

0.41%

1Y

9.36%

5Y*

2.51%

10Y*

3.95%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EELV vs. IEMG - Expense Ratio Comparison

EELV has a 0.30% expense ratio, which is higher than IEMG's 0.14% expense ratio.


EELV
Invesco S&P Emerging Markets Low Volatility ETF
Expense ratio chart for EELV: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for IEMG: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

EELV vs. IEMG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Emerging Markets Low Volatility ETF (EELV) and iShares Core MSCI Emerging Markets ETF (IEMG). 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.


Sharpe ratio
The chart of Sharpe ratio for EELV, currently valued at 0.49, compared to the broader market0.002.004.000.490.76
The chart of Sortino ratio for EELV, currently valued at 0.75, compared to the broader market-2.000.002.004.006.008.0010.000.751.15
The chart of Omega ratio for EELV, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.14
The chart of Calmar ratio for EELV, currently valued at 0.53, compared to the broader market0.005.0010.0015.000.530.45
The chart of Martin ratio for EELV, currently valued at 1.61, compared to the broader market0.0020.0040.0060.0080.00100.001.613.02
EELV
IEMG

The current EELV Sharpe Ratio is 0.49, which is lower than the IEMG Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of EELV and IEMG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.49
0.76
EELV
IEMG

Dividends

EELV vs. IEMG - Dividend Comparison

EELV's dividend yield for the trailing twelve months is around 3.08%, less than IEMG's 3.17% yield.


TTM20232022202120202019201820172016201520142013
EELV
Invesco S&P Emerging Markets Low Volatility ETF
3.08%4.00%3.46%4.34%2.82%3.14%5.50%2.91%2.30%2.53%3.25%2.10%
IEMG
iShares Core MSCI Emerging Markets ETF
3.17%2.89%2.70%3.06%1.87%3.15%2.76%2.34%2.28%2.52%2.30%1.76%

Drawdowns

EELV vs. IEMG - Drawdown Comparison

The maximum EELV drawdown since its inception was -36.35%, smaller than the maximum IEMG drawdown of -38.71%. Use the drawdown chart below to compare losses from any high point for EELV and IEMG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.31%
-14.91%
EELV
IEMG

Volatility

EELV vs. IEMG - Volatility Comparison

The current volatility for Invesco S&P Emerging Markets Low Volatility ETF (EELV) is 2.87%, while iShares Core MSCI Emerging Markets ETF (IEMG) has a volatility of 3.74%. This indicates that EELV experiences smaller price fluctuations and is considered to be less risky than IEMG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
2.87%
3.74%
EELV
IEMG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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