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ESGE vs. SPEM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ESGE vs. SPEM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI EM ETF (ESGE) and SPDR Portfolio Emerging Markets ETF (SPEM). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.84%
4.15%
ESGE
SPEM

Returns By Period

In the year-to-date period, ESGE achieves a 8.67% return, which is significantly lower than SPEM's 12.77% return.


ESGE

YTD

8.67%

1M

-4.58%

6M

2.84%

1Y

12.15%

5Y (annualized)

2.60%

10Y (annualized)

N/A

SPEM

YTD

12.77%

1M

-3.85%

6M

4.15%

1Y

16.62%

5Y (annualized)

4.87%

10Y (annualized)

3.97%

Key characteristics


ESGESPEM
Sharpe Ratio0.711.09
Sortino Ratio1.101.60
Omega Ratio1.131.20
Calmar Ratio0.360.73
Martin Ratio3.395.40
Ulcer Index3.31%2.96%
Daily Std Dev15.85%14.65%
Max Drawdown-41.07%-64.41%
Current Drawdown-20.21%-7.85%

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ESGE vs. SPEM - Expense Ratio Comparison

ESGE has a 0.25% expense ratio, which is higher than SPEM's 0.11% 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%.


ESGE
iShares ESG Aware MSCI EM ETF
Expense ratio chart for ESGE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for SPEM: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Correlation

-0.50.00.51.00.9

The correlation between ESGE and SPEM is 0.95, 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.

Risk-Adjusted Performance

ESGE vs. SPEM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EM ETF (ESGE) and SPDR Portfolio Emerging Markets ETF (SPEM). 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 ESGE, currently valued at 0.71, compared to the broader market0.002.004.006.000.711.09
The chart of Sortino ratio for ESGE, currently valued at 1.10, compared to the broader market-2.000.002.004.006.008.0010.0012.001.101.60
The chart of Omega ratio for ESGE, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.20
The chart of Calmar ratio for ESGE, currently valued at 0.36, compared to the broader market0.005.0010.0015.000.360.73
The chart of Martin ratio for ESGE, currently valued at 3.39, compared to the broader market0.0020.0040.0060.0080.00100.003.395.40
ESGE
SPEM

The current ESGE Sharpe Ratio is 0.71, which is lower than the SPEM Sharpe Ratio of 1.09. The chart below compares the historical Sharpe Ratios of ESGE and SPEM, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.71
1.09
ESGE
SPEM

Dividends

ESGE vs. SPEM - Dividend Comparison

ESGE's dividend yield for the trailing twelve months is around 2.52%, which matches SPEM's 2.53% yield.


TTM20232022202120202019201820172016201520142013
ESGE
iShares ESG Aware MSCI EM ETF
2.52%2.65%2.68%2.66%1.31%2.59%2.18%1.86%0.27%0.00%0.00%0.00%
SPEM
SPDR Portfolio Emerging Markets ETF
2.53%2.80%3.38%3.14%1.92%2.94%2.34%1.12%1.51%2.40%2.26%1.91%

Drawdowns

ESGE vs. SPEM - Drawdown Comparison

The maximum ESGE drawdown since its inception was -41.07%, smaller than the maximum SPEM drawdown of -64.41%. Use the drawdown chart below to compare losses from any high point for ESGE and SPEM. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-20.21%
-7.85%
ESGE
SPEM

Volatility

ESGE vs. SPEM - Volatility Comparison

iShares ESG Aware MSCI EM ETF (ESGE) has a higher volatility of 4.86% compared to SPDR Portfolio Emerging Markets ETF (SPEM) at 4.37%. This indicates that ESGE's price experiences larger fluctuations and is considered to be riskier than SPEM 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%JuneJulyAugustSeptemberOctoberNovember
4.86%
4.37%
ESGE
SPEM