EPHE vs. SPY
Compare and contrast key facts about iShares MSCI Philippines ETF (EPHE) and State Street SPDR S&P 500 ETF (SPY).
EPHE and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EPHE is a passively managed fund by iShares that tracks the performance of the MSCI Philippines Investable Market Index. It was launched on Sep 28, 2010. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both EPHE and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
EPHE vs. SPY - Performance Comparison
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EPHE vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EPHE iShares MSCI Philippines ETF | -0.36% | 1.56% | -1.41% | 1.27% | -15.87% | -2.23% | -3.95% | 8.50% | -17.50% | 20.20% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, EPHE achieves a -0.36% return, which is significantly higher than SPY's -4.37% return. Over the past 10 years, EPHE has underperformed SPY with an annualized return of -2.64%, while SPY has yielded a comparatively higher 13.98% annualized return.
EPHE
- 1D
- 3.11%
- 1M
- -11.04%
- YTD
- -0.36%
- 6M
- 0.77%
- 1Y
- 0.11%
- 3Y*
- -0.62%
- 5Y*
- -1.44%
- 10Y*
- -2.64%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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EPHE vs. SPY - Expense Ratio Comparison
EPHE has a 0.59% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
EPHE vs. SPY — Risk / Return Rank
EPHE
SPY
EPHE vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Philippines ETF (EPHE) and State Street 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.
| EPHE | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.01 | 0.93 | -0.92 |
Sortino ratioReturn per unit of downside risk | 0.15 | 1.45 | -1.30 |
Omega ratioGain probability vs. loss probability | 1.02 | 1.22 | -0.21 |
Calmar ratioReturn relative to maximum drawdown | 0.09 | 1.53 | -1.44 |
Martin ratioReturn relative to average drawdown | 0.19 | 7.30 | -7.11 |
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
| EPHE | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.01 | 0.93 | -0.92 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.08 | 0.69 | -0.77 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.12 | 0.78 | -0.90 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.05 | 0.56 | -0.51 |
Correlation
The correlation between EPHE and SPY is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
EPHE vs. SPY - Dividend Comparison
EPHE's dividend yield for the trailing twelve months is around 2.12%, more than SPY's 1.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EPHE iShares MSCI Philippines ETF | 2.12% | 2.11% | 2.32% | 2.01% | 1.73% | 1.05% | 0.72% | 0.78% | 0.45% | 0.36% | 0.71% | 1.03% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
EPHE vs. SPY - Drawdown Comparison
The maximum EPHE drawdown since its inception was -53.82%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EPHE and SPY.
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Drawdown Indicators
| EPHE | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.82% | -55.19% | +1.37% |
Max Drawdown (1Y)Largest decline over 1 year | -16.22% | -12.05% | -4.17% |
Max Drawdown (5Y)Largest decline over 5 years | -32.96% | -24.50% | -8.46% |
Max Drawdown (10Y)Largest decline over 10 years | -51.62% | -33.72% | -17.90% |
Current DrawdownCurrent decline from peak | -34.12% | -6.24% | -27.88% |
Average DrawdownAverage peak-to-trough decline | -20.83% | -9.09% | -11.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.42% | 2.52% | +4.90% |
Volatility
EPHE vs. SPY - Volatility Comparison
iShares MSCI Philippines ETF (EPHE) has a higher volatility of 7.53% compared to State Street SPDR S&P 500 ETF (SPY) at 5.31%. This indicates that EPHE's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EPHE | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.53% | 5.31% | +2.22% |
Volatility (6M)Calculated over the trailing 6-month period | 14.10% | 9.47% | +4.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.60% | 19.05% | +1.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.11% | 17.06% | +1.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.34% | 17.92% | +4.42% |