QUAL vs. EMB
QUAL (iShares MSCI USA Quality Factor ETF) and EMB (iShares J.P. Morgan USD Emerging Markets Bond ETF) are both exchange-traded funds - QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index, while EMB is a Emerging Markets Bonds fund tracking the J.P. Morgan EMBI Global Core Index. Both are passively managed. Over the past 10 years, QUAL returned 14.37%/yr vs 3.33%/yr for EMB. At a 0.47 correlation, their price movements are largely independent. QUAL charges 0.15%/yr vs 0.39%/yr for EMB.
Performance
QUAL vs. EMB - Performance Comparison
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Returns By Period
In the year-to-date period, QUAL achieves a 9.12% return, which is significantly higher than EMB's 2.68% return. Over the past 10 years, QUAL has outperformed EMB with an annualized return of 14.37%, while EMB has yielded a comparatively lower 3.33% annualized return.
QUAL
- 1D
- 0.67%
- 1M
- 0.88%
- YTD
- 9.12%
- 6M
- 9.00%
- 1Y
- 24.08%
- 3Y*
- 18.63%
- 5Y*
- 12.35%
- 10Y*
- 14.37%
EMB
- 1D
- 0.47%
- 1M
- 2.07%
- YTD
- 2.68%
- 6M
- 2.69%
- 1Y
- 11.68%
- 3Y*
- 9.65%
- 5Y*
- 1.99%
- 10Y*
- 3.33%
QUAL vs. EMB - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QUAL iShares MSCI USA Quality Factor ETF | 9.12% | 12.65% | 22.29% | 30.88% | -20.50% | 26.94% | 17.04% | 33.89% | -5.70% | 22.26% |
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF | 2.68% | 13.85% | 5.54% | 10.62% | -18.63% | -2.23% | 5.42% | 15.48% | -5.47% | 10.28% |
Correlation
The correlation between QUAL and EMB is 0.62, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.62 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.52 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.50 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013 | 0.47 |
The correlation between QUAL and EMB shifts across timeframes, from 0.47 (all time) to 0.62 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
QUAL vs. EMB — Risk / Return Rank
QUAL
EMB
QUAL vs. EMB - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality Factor ETF (QUAL) and iShares J.P. Morgan USD Emerging Markets Bond ETF (EMB). 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.
| QUAL | EMB | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.15 | ||
| Sortino ratioReturn per unit of downside risk | -0.34 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.41 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 2.60 | 2.63 | -0.03 |
| Martin ratioReturn relative to average drawdown | 11.89 | 11.23 | +0.67 |
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Drawdowns
QUAL vs. EMB - Drawdown Comparison
The maximum QUAL drawdown since its inception was -34.06%, roughly equal to the maximum EMB drawdown of -34.70%. Use the drawdown chart below to compare losses from any high point for QUAL and EMB.
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Drawdown Indicators
| QUAL | EMB | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.06% | -34.70% | +0.64% |
Max Drawdown (1Y)Largest decline over 1 year | -9.03% | -4.51% | -4.52% |
Max Drawdown (3Y)Largest decline over 3 years | -18.00% | -7.95% | -10.05% |
Max Drawdown (5Y)Largest decline over 5 years | -28.23% | -28.74% | +0.51% |
Max Drawdown (10Y)Largest decline over 10 years | -34.06% | -28.74% | -5.32% |
Current DrawdownCurrent decline from peak | -1.51% | 0.00% | -1.51% |
Average DrawdownAverage peak-to-trough decline | -4.09% | -5.05% | +0.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.97% | 1.06% | +0.91% |
Volatility
QUAL vs. EMB - Volatility Comparison
iShares MSCI USA Quality Factor ETF (QUAL) has a higher volatility of 4.02% compared to iShares J.P. Morgan USD Emerging Markets Bond ETF (EMB) at 1.81%. This indicates that QUAL's price experiences larger fluctuations and is considered to be riskier than EMB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QUAL | EMB | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.02% | 1.81% | +2.21% |
Volatility (6M)Calculated over the trailing 6-month period | 9.61% | 4.70% | +4.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.10% | 5.67% | +6.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.38% | 9.75% | +7.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.12% | 9.96% | +8.16% |
QUAL vs. EMB - Expense Ratio Comparison
QUAL has a 0.15% expense ratio, which is lower than EMB's 0.39% expense ratio.
Dividends
QUAL vs. EMB - Dividend Comparison
QUAL's dividend yield for the trailing twelve months is around 0.87%, less than EMB's 5.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF | 5.01% | 4.98% | 5.46% | 4.74% | 5.04% | 3.89% | 3.88% | 4.51% | 5.64% | 4.54% | 4.83% | 4.84% |
QUAL iShares MSCI USA Quality Factor ETF | 0.87% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
Frequently Asked Questions
QUAL and EMB have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QUAL has higher volatility (4.02%) compared to EMB (1.81%). In terms of maximum drawdown, QUAL dropped -34.06% vs EMB's -34.70%.
On 10-year performance, QUAL leads with 14.37% vs 3.33% for EMB. On fees, QUAL is cheaper at 0.15% per year. On volatility, EMB has been the lower-risk option at 1.81%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, QUAL has performed better with a 14.37% return vs 3.33%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QUAL is cheaper with a 0.15% expense ratio, compared with 0.39% for EMB.
EMB has the higher dividend yield at 5.01%, compared with 0.87% for QUAL.
QUAL is categorized as Large Cap Blend Equities, while EMB is Emerging Markets Bonds. QUAL tracks MSCI USA Sector Neutral Quality Index, while EMB tracks J.P. Morgan EMBI Global Core Index. Their fees differ too: 0.15% for QUAL and 0.39% for EMB.
EMB currently has the higher Sharpe Ratio (2.09 vs 1.95), 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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