IEMD.L vs. ZPDX.DE
Compare and contrast key facts about iShares Edge MSCI Europe Momentum Factor UCITS ETF EUR (Dist) (IEMD.L) and SPDR STOXX Europe 600 SRI UCITS ETF (ZPDX.DE).
IEMD.L and ZPDX.DE are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IEMD.L is a passively managed fund by iShares that tracks the performance of the MSCI Europe Growth NR EUR. It was launched on Feb 23, 2018. ZPDX.DE is a passively managed fund by State Street that tracks the performance of the STOXX® Europe 600 SRI. It was launched on Sep 30, 2019. Both IEMD.L and ZPDX.DE are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IEMD.L or ZPDX.DE.
Key characteristics
| IEMD.L | ZPDX.DE | |
|---|---|---|
| YTD Return | 21.32% | 12.05% |
| 1Y Return | 29.33% | 21.96% |
| 3Y Return (Ann) | 4.68% | 5.70% |
| 5Y Return (Ann) | 10.21% | 8.23% |
| Sharpe Ratio | 2.27 | 1.83 |
| Sortino Ratio | 3.00 | 2.51 |
| Omega Ratio | 1.42 | 1.33 |
| Calmar Ratio | 2.70 | 2.44 |
| Martin Ratio | 13.08 | 9.56 |
| Ulcer Index | 2.16% | 2.06% |
| Daily Std Dev | 12.44% | 10.74% |
| Max Drawdown | -30.77% | -35.97% |
| Current Drawdown | 0.00% | -3.64% |
Correlation
The correlation between IEMD.L and ZPDX.DE is 0.88, 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.
Performance
IEMD.L vs. ZPDX.DE - Performance Comparison
In the year-to-date period, IEMD.L achieves a 21.32% return, which is significantly higher than ZPDX.DE's 12.05% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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IEMD.L vs. ZPDX.DE - Expense Ratio Comparison
IEMD.L has a 0.25% expense ratio, which is higher than ZPDX.DE's 0.12% 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%.
Risk-Adjusted Performance
IEMD.L vs. ZPDX.DE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Europe Momentum Factor UCITS ETF EUR (Dist) (IEMD.L) and SPDR STOXX Europe 600 SRI UCITS ETF (ZPDX.DE). 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.
Dividends
IEMD.L vs. ZPDX.DE - Dividend Comparison
IEMD.L's dividend yield for the trailing twelve months is around 2.49%, while ZPDX.DE has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
IEMD.L iShares Edge MSCI Europe Momentum Factor UCITS ETF EUR (Dist) | 2.49% | 2.78% | 2.90% | 1.77% | 1.36% | 2.00% | 2.51% |
ZPDX.DE SPDR STOXX Europe 600 SRI UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
IEMD.L vs. ZPDX.DE - Drawdown Comparison
The maximum IEMD.L drawdown since its inception was -30.77%, smaller than the maximum ZPDX.DE drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for IEMD.L and ZPDX.DE. For additional features, visit the drawdowns tool.
Volatility
IEMD.L vs. ZPDX.DE - Volatility Comparison
iShares Edge MSCI Europe Momentum Factor UCITS ETF EUR (Dist) (IEMD.L) has a higher volatility of 4.49% compared to SPDR STOXX Europe 600 SRI UCITS ETF (ZPDX.DE) at 4.27%. This indicates that IEMD.L's price experiences larger fluctuations and is considered to be riskier than ZPDX.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.