FREM.L vs. EMVL.L
FREM.L (Franklin EM Multi-Factor Equity UCITS ETF USD (Acc)) and EMVL.L (iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc)) are both Emerging Markets Equities funds - FREM.L tracks the LibertyQ Emerging Markets Index-NR while EMVL.L tracks the MSCI EM NR USD. Both are passively managed. Over the past 5 years, FREM.L returned 6.96%/yr vs 14.50%/yr for EMVL.L. Their correlation of 0.89 suggests significant overlap in exposure. FREM.L charges 0.30%/yr vs 0.40%/yr for EMVL.L.
Performance
FREM.L vs. EMVL.L - Performance Comparison
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Returns By Period
In the year-to-date period, FREM.L achieves a 11.87% return, which is significantly lower than EMVL.L's 27.71% return.
FREM.L
- 1D
- -0.71%
- 1M
- -3.96%
- 6M
- 7.88%
- YTD
- 11.87%
- 1Y
- 21.67%
- 3Y*
- 16.78%
- 5Y*
- 6.96%
- 10Y*
- —
EMVL.L
- 1D
- -1.78%
- 1M
- -12.08%
- 6M
- 19.62%
- YTD
- 27.71%
- 1Y
- 52.30%
- 3Y*
- 30.85%
- 5Y*
- 14.50%
- 10Y*
- —
FREM.L vs. EMVL.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
FREM.L Franklin EM Multi-Factor Equity UCITS ETF USD (Acc) | 11.87% | 27.77% | 6.27% | 12.53% | -19.30% | 7.08% | 1.89% | 11.43% | -1.27% |
EMVL.L iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc) | 27.71% | 43.13% | 14.49% | 18.37% | -16.29% | 5.29% | 7.72% | 17.64% | -2.10% |
Correlation
The correlation between FREM.L and EMVL.L is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.84 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.84 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since Dec 6, 2018 | 0.89 |
The correlation between FREM.L and EMVL.L has been stable across timeframes, ranging from 0.84 to 0.89 - a consistent structural relationship.
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Return for Risk
FREM.L vs. EMVL.L — Risk / Return Rank
FREM.L
EMVL.L
FREM.L vs. EMVL.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Franklin EM Multi-Factor Equity UCITS ETF USD (Acc) (FREM.L) and iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc) (EMVL.L). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FREM.L | EMVL.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.79 | ||
| Sortino ratioReturn per unit of downside risk | -0.74 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.38 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 2.05 | 3.48 | -1.43 |
| Martin ratioReturn relative to average drawdown | 6.30 | 11.16 | -4.86 |
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Drawdowns
FREM.L vs. EMVL.L - Drawdown Comparison
The maximum FREM.L drawdown since its inception was -39.05%, which is greater than EMVL.L's maximum drawdown of -34.95%. Use the drawdown chart below to compare losses from any high point for FREM.L and EMVL.L.
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Drawdown Indicators
| FREM.L | EMVL.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.05% | -34.95% | -4.10% |
Max Drawdown (1Y)Largest decline over 1 year | -10.52% | -14.94% | +4.42% |
Max Drawdown (3Y)Largest decline over 3 years | -12.98% | -16.42% | +3.44% |
Max Drawdown (5Y)Largest decline over 5 years | -29.99% | -31.61% | +1.62% |
Current DrawdownCurrent decline from peak | -5.08% | -14.94% | +9.86% |
Average DrawdownAverage peak-to-trough decline | -10.94% | -9.52% | -1.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.43% | 4.67% | -1.24% |
Volatility
FREM.L vs. EMVL.L - Volatility Comparison
The current volatility for Franklin EM Multi-Factor Equity UCITS ETF USD (Acc) (FREM.L) is 4.29%, while iShares Edge MSCI EM Value Factor UCITS ETF USD(Acc) (EMVL.L) has a volatility of 10.20%. This indicates that FREM.L experiences smaller price fluctuations and is considered to be less risky than EMVL.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FREM.L | EMVL.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.29% | 10.20% | -5.91% |
Volatility (6M)Calculated over the trailing 6-month period | 13.63% | 21.35% | -7.72% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.55% | 23.92% | -8.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.34% | 20.72% | -5.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.94% | 21.39% | -4.45% |
FREM.L vs. EMVL.L - Expense Ratio Comparison
FREM.L has a 0.30% expense ratio, which is lower than EMVL.L's 0.40% expense ratio.
Dividends
FREM.L vs. EMVL.L - Dividend Comparison
Neither FREM.L nor EMVL.L has paid dividends to shareholders.
Frequently Asked Questions
FREM.L and EMVL.L have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, FREM.L is cheaper at 0.30% per year. The better choice depends on whether you care most about return, fees, risk, or income.
FREM.L is cheaper with a 0.30% expense ratio, compared with 0.40% for EMVL.L.
FREM.L tracks LibertyQ Emerging Markets Index-NR, while EMVL.L tracks MSCI EM NR USD. They also come from different issuers: Franklin and iShares. Their fees differ too: 0.30% for FREM.L and 0.40% for EMVL.L.
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