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HEEM vs. SPHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between HEEM and SPHD is 0.48, 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.


-0.50.00.51.00.5

Performance

HEEM vs. SPHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Currency Hedged MSCI Emerging Markets ETF (HEEM) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
3.00%
9.16%
HEEM
SPHD

Key characteristics

Sharpe Ratio

HEEM:

1.04

SPHD:

1.73

Sortino Ratio

HEEM:

1.55

SPHD:

2.48

Omega Ratio

HEEM:

1.20

SPHD:

1.31

Calmar Ratio

HEEM:

0.61

SPHD:

1.96

Martin Ratio

HEEM:

4.16

SPHD:

9.62

Ulcer Index

HEEM:

3.58%

SPHD:

2.01%

Daily Std Dev

HEEM:

14.29%

SPHD:

11.19%

Max Drawdown

HEEM:

-34.02%

SPHD:

-41.39%

Current Drawdown

HEEM:

-10.13%

SPHD:

-6.30%

Returns By Period

In the year-to-date period, HEEM achieves a 13.60% return, which is significantly lower than SPHD's 18.17% return. Over the past 10 years, HEEM has underperformed SPHD with an annualized return of 4.53%, while SPHD has yielded a comparatively higher 8.04% annualized return.


HEEM

YTD

13.60%

1M

0.75%

6M

3.00%

1Y

15.79%

5Y*

3.71%

10Y*

4.53%

SPHD

YTD

18.17%

1M

-5.19%

6M

9.16%

1Y

18.70%

5Y*

6.35%

10Y*

8.04%

Compare stocks, funds, or ETFs

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


HEEM vs. SPHD - Expense Ratio Comparison

HEEM has a 0.68% expense ratio, which is higher than SPHD's 0.30% expense ratio.


HEEM
iShares Currency Hedged MSCI Emerging Markets ETF
Expense ratio chart for HEEM: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
Expense ratio chart for SPHD: 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%

Risk-Adjusted Performance

HEEM vs. SPHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI Emerging Markets ETF (HEEM) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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 HEEM, currently valued at 1.04, compared to the broader market0.002.004.001.041.73
The chart of Sortino ratio for HEEM, currently valued at 1.55, compared to the broader market-2.000.002.004.006.008.0010.001.552.48
The chart of Omega ratio for HEEM, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.31
The chart of Calmar ratio for HEEM, currently valued at 0.61, compared to the broader market0.005.0010.0015.000.611.96
The chart of Martin ratio for HEEM, currently valued at 4.16, compared to the broader market0.0020.0040.0060.0080.00100.004.169.62
HEEM
SPHD

The current HEEM Sharpe Ratio is 1.04, which is lower than the SPHD Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of HEEM and SPHD, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.04
1.73
HEEM
SPHD

Dividends

HEEM vs. SPHD - Dividend Comparison

HEEM's dividend yield for the trailing twelve months is around 2.36%, less than SPHD's 3.40% yield.


TTM20232022202120202019201820172016201520142013
HEEM
iShares Currency Hedged MSCI Emerging Markets ETF
2.36%2.75%7.49%1.19%1.49%3.04%2.37%2.05%1.84%6.28%2.04%0.00%
SPHD
Invesco S&P 500® High Dividend Low Volatility ETF
3.40%4.48%3.89%3.46%4.89%4.07%4.40%3.14%3.83%3.49%3.24%3.68%

Drawdowns

HEEM vs. SPHD - Drawdown Comparison

The maximum HEEM drawdown since its inception was -34.02%, smaller than the maximum SPHD drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for HEEM and SPHD. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.13%
-6.30%
HEEM
SPHD

Volatility

HEEM vs. SPHD - Volatility Comparison

iShares Currency Hedged MSCI Emerging Markets ETF (HEEM) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) have volatilities of 3.55% and 3.58%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
3.55%
3.58%
HEEM
SPHD
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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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