QEMM vs. EVLU
QEMM (SPDR MSCI Emerging Markets StrategicFactors ETF) and EVLU (iShares MSCI Emerging Markets Value Factor ETF) are both Emerging Markets Equities funds - QEMM tracks the MSCI EM Factor Mix A-Series (USD) while EVLU tracks the MSCI Emerging Markets Value Factor Select Index (Net). Both are passively managed. Over the past year, QEMM returned 35.60% vs 59.59% for EVLU. Their correlation of 0.91 suggests significant overlap in exposure. QEMM charges 0.30%/yr vs 0.35%/yr for EVLU.
Performance
QEMM vs. EVLU - Performance Comparison
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Returns By Period
In the year-to-date period, QEMM achieves a 21.11% return, which is significantly lower than EVLU's 28.98% return.
QEMM
- 1D
- -3.77%
- 1M
- 1.15%
- YTD
- 21.11%
- 6M
- 21.59%
- 1Y
- 35.60%
- 3Y*
- 18.42%
- 5Y*
- 7.03%
- 10Y*
- 8.86%
EVLU
- 1D
- -3.07%
- 1M
- 3.10%
- YTD
- 28.98%
- 6M
- 30.29%
- 1Y
- 59.59%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
QEMM vs. EVLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
QEMM SPDR MSCI Emerging Markets StrategicFactors ETF | 21.11% | 21.92% | -0.83% |
EVLU iShares MSCI Emerging Markets Value Factor ETF | 28.98% | 38.54% | 1.21% |
Correlation
The correlation between QEMM and EVLU is 0.91, 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 | 0.91 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2024 | 0.91 |
The correlation between QEMM and EVLU has been stable across timeframes, ranging from 0.91 to 0.91 - a consistent structural relationship.
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Return for Risk
QEMM vs. EVLU — Risk / Return Rank
QEMM
EVLU
QEMM vs. EVLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI Emerging Markets StrategicFactors ETF (QEMM) and iShares MSCI Emerging Markets Value Factor ETF (EVLU). 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.
| QEMM | EVLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.03 | ||
| Sortino ratioReturn per unit of downside risk | -1.16 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.53 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | 3.44 | 4.64 | -1.20 |
| Martin ratioReturn relative to average drawdown | 12.14 | 16.27 | -4.13 |
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Drawdowns
QEMM vs. EVLU - Drawdown Comparison
The maximum QEMM drawdown since its inception was -36.89%, which is greater than EVLU's maximum drawdown of -17.17%. Use the drawdown chart below to compare losses from any high point for QEMM and EVLU.
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Drawdown Indicators
| QEMM | EVLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.89% | -17.17% | -19.72% |
Max Drawdown (1Y)Largest decline over 1 year | -10.40% | -12.90% | +2.50% |
Max Drawdown (3Y)Largest decline over 3 years | -17.03% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -27.19% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -36.89% | — | — |
Current DrawdownCurrent decline from peak | -4.06% | -5.94% | +1.88% |
Average DrawdownAverage peak-to-trough decline | -10.60% | -3.52% | -7.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.94% | 3.67% | -0.73% |
Volatility
QEMM vs. EVLU - Volatility Comparison
SPDR MSCI Emerging Markets StrategicFactors ETF (QEMM) and iShares MSCI Emerging Markets Value Factor ETF (EVLU) have volatilities of 9.31% and 9.29%, 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.
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Volatility by Period
| QEMM | EVLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.31% | 9.29% | +0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 16.80% | 17.64% | -0.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.46% | 20.18% | -1.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.64% | 20.36% | -4.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.98% | 20.36% | -3.38% |
QEMM vs. EVLU - Expense Ratio Comparison
QEMM has a 0.30% expense ratio, which is lower than EVLU's 0.35% expense ratio.
Dividends
QEMM vs. EVLU - Dividend Comparison
QEMM's dividend yield for the trailing twelve months is around 4.46%, more than EVLU's 3.77% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EVLU iShares MSCI Emerging Markets Value Factor ETF | 3.77% | 5.20% | 1.03% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QEMM SPDR MSCI Emerging Markets StrategicFactors ETF | 4.46% | 4.90% | 5.17% | 4.88% | 4.07% | 2.35% | 2.48% | 3.05% | 2.86% | 2.11% | 2.03% | 2.14% |
Frequently Asked Questions
With a correlation of 0.91, QEMM and EVLU move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
QEMM has higher volatility (9.31%) compared to EVLU (9.29%). In terms of maximum drawdown, QEMM dropped -36.89% vs EVLU's -17.17%.
On 1-year performance, EVLU leads with 59.59% vs 35.60% for QEMM. On fees, QEMM is cheaper at 0.30% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, EVLU has performed better with a 59.59% return vs 35.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QEMM is cheaper with a 0.30% expense ratio, compared with 0.35% for EVLU.
QEMM has the higher dividend yield at 4.46%, compared with 3.77% for EVLU.
QEMM tracks MSCI EM Factor Mix A-Series (USD), while EVLU tracks MSCI Emerging Markets Value Factor Select Index (Net). They also come from different issuers: State Street and iShares. Their fees differ too: 0.30% for QEMM and 0.35% for EVLU.
EVLU currently has the higher Sharpe Ratio (2.97 vs 1.94), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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