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EEM vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EEM and SPY is 0.75, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

EEM vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Emerging Markets ETF (EEM) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

400.00%500.00%600.00%700.00%800.00%900.00%1,000.00%NovemberDecember2025FebruaryMarchApril
493.90%
852.56%
EEM
SPY

Key characteristics

Sharpe Ratio

EEM:

0.52

SPY:

0.51

Sortino Ratio

EEM:

0.87

SPY:

0.86

Omega Ratio

EEM:

1.11

SPY:

1.13

Calmar Ratio

EEM:

0.37

SPY:

0.55

Martin Ratio

EEM:

1.64

SPY:

2.26

Ulcer Index

EEM:

6.04%

SPY:

4.55%

Daily Std Dev

EEM:

19.26%

SPY:

20.08%

Max Drawdown

EEM:

-66.43%

SPY:

-55.19%

Current Drawdown

EEM:

-17.74%

SPY:

-9.89%

Returns By Period

In the year-to-date period, EEM achieves a 3.90% return, which is significantly higher than SPY's -5.76% return. Over the past 10 years, EEM has underperformed SPY with an annualized return of 2.38%, while SPY has yielded a comparatively higher 12.16% annualized return.


EEM

YTD

3.90%

1M

-0.73%

6M

-2.08%

1Y

8.06%

5Y*

5.93%

10Y*

2.38%

SPY

YTD

-5.76%

1M

-0.90%

6M

-4.30%

1Y

9.72%

5Y*

15.76%

10Y*

12.16%

*Annualized

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EEM vs. SPY - Expense Ratio Comparison

EEM has a 0.68% expense ratio, which is higher than SPY's 0.09% expense ratio.


Expense ratio chart for EEM: current value is 0.68%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EEM: 0.68%
Expense ratio chart for SPY: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPY: 0.09%

Risk-Adjusted Performance

EEM vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EEM
The Risk-Adjusted Performance Rank of EEM is 5757
Overall Rank
The Sharpe Ratio Rank of EEM is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of EEM is 6161
Sortino Ratio Rank
The Omega Ratio Rank of EEM is 5757
Omega Ratio Rank
The Calmar Ratio Rank of EEM is 5454
Calmar Ratio Rank
The Martin Ratio Rank of EEM is 5555
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6363
Overall Rank
The Sharpe Ratio Rank of SPY is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6161
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6464
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6666
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EEM vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Emerging Markets ETF (EEM) and SPDR S&P 500 ETF (SPY). 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.


The chart of Sharpe ratio for EEM, currently valued at 0.52, compared to the broader market-1.000.001.002.003.004.00
EEM: 0.52
SPY: 0.51
The chart of Sortino ratio for EEM, currently valued at 0.87, compared to the broader market-2.000.002.004.006.008.00
EEM: 0.87
SPY: 0.86
The chart of Omega ratio for EEM, currently valued at 1.11, compared to the broader market0.501.001.502.002.50
EEM: 1.11
SPY: 1.13
The chart of Calmar ratio for EEM, currently valued at 0.37, compared to the broader market0.002.004.006.008.0010.0012.00
EEM: 0.37
SPY: 0.55
The chart of Martin ratio for EEM, currently valued at 1.64, compared to the broader market0.0020.0040.0060.00
EEM: 1.64
SPY: 2.26

The current EEM Sharpe Ratio is 0.52, which is comparable to the SPY Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of EEM and SPY, 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.52
0.51
EEM
SPY

Dividends

EEM vs. SPY - Dividend Comparison

EEM's dividend yield for the trailing twelve months is around 2.34%, more than SPY's 1.30% yield.


TTM20242023202220212020201920182017201620152014
EEM
iShares MSCI Emerging Markets ETF
2.34%2.43%2.63%2.50%1.99%1.45%2.76%2.24%1.89%1.89%2.49%2.23%
SPY
SPDR S&P 500 ETF
1.30%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

EEM vs. SPY - Drawdown Comparison

The maximum EEM drawdown since its inception was -66.43%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EEM and SPY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-17.74%
-9.89%
EEM
SPY

Volatility

EEM vs. SPY - Volatility Comparison

The current volatility for iShares MSCI Emerging Markets ETF (EEM) is 11.35%, while SPDR S&P 500 ETF (SPY) has a volatility of 15.12%. This indicates that EEM experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
11.35%
15.12%
EEM
SPY