SPY vs. EMB
SPY (State Street SPDR S&P 500 ETF) and EMB (iShares J.P. Morgan USD Emerging Markets Bond ETF) are both exchange-traded funds - SPY is a S&P 500 fund tracking the S&P 500 Index, while EMB is a Emerging Markets Bonds fund tracking the JPMorgan EMBI Global Core Index. Both are passively managed. Over the past 10 years, SPY returned 15.27%/yr vs 3.19%/yr for EMB. At a 0.39 correlation, their price movements are largely independent. SPY charges 0.09%/yr vs 0.39%/yr for EMB.
Performance
SPY vs. EMB - Performance Comparison
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Returns By Period
In the year-to-date period, SPY achieves a 8.70% return, which is significantly higher than EMB's 1.14% return. Over the past 10 years, SPY has outperformed EMB with an annualized return of 15.27%, while EMB has yielded a comparatively lower 3.19% annualized return.
SPY
- 1D
- 0.23%
- 1M
- 0.22%
- YTD
- 8.70%
- 6M
- 8.75%
- 1Y
- 24.79%
- 3Y*
- 21.35%
- 5Y*
- 13.42%
- 10Y*
- 15.27%
EMB
- 1D
- -0.13%
- 1M
- -0.48%
- YTD
- 1.14%
- 6M
- 1.92%
- 1Y
- 10.87%
- 3Y*
- 9.37%
- 5Y*
- 1.62%
- 10Y*
- 3.19%
SPY vs. EMB - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SPY State Street SPDR S&P 500 ETF | 8.70% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF | 1.14% | 13.85% | 5.54% | 10.62% | -18.63% | -2.23% | 5.42% | 15.48% | -5.47% | 10.28% |
Correlation
The correlation between SPY and EMB is 0.60, 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 | 0.60 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.52 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.49 |
Correlation (All Time) Calculated using the full available price history since Dec 20, 2007 | 0.39 |
Over the past year, SPY and EMB have become more correlated (0.60) than their long-term average of 0.39, meaning their price movements have been converging.
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Return for Risk
SPY vs. EMB — Risk / Return Rank
SPY
EMB
SPY vs. EMB - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street SPDR S&P 500 ETF (SPY) 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.
| SPY | EMB | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.11 | ||
| Sortino ratioReturn per unit of downside risk | -0.05 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.38 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.80 | 2.42 | +0.38 |
| Martin ratioReturn relative to average drawdown | 12.93 | 10.32 | +2.61 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SPY | EMB | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.06 | 1.95 | +0.11 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.79 | 0.17 | +0.62 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.85 | 0.32 | +0.53 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.58 | 0.43 | +0.15 |
Drawdowns
SPY vs. EMB - Drawdown Comparison
The maximum SPY drawdown since its inception was -55.19%, which is greater than EMB's maximum drawdown of -34.70%. Use the drawdown chart below to compare losses from any high point for SPY and EMB.
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Drawdown Indicators
| SPY | EMB | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.19% | -34.70% | -20.49% |
Max Drawdown (1Y)Largest decline over 1 year | -8.88% | -4.51% | -4.37% |
Max Drawdown (3Y)Largest decline over 3 years | -18.76% | -7.95% | -10.81% |
Max Drawdown (5Y)Largest decline over 5 years | -24.50% | -28.74% | +4.24% |
Max Drawdown (10Y)Largest decline over 10 years | -33.72% | -28.74% | -4.98% |
Current DrawdownCurrent decline from peak | -2.68% | -1.02% | -1.66% |
Average DrawdownAverage peak-to-trough decline | -9.04% | -5.06% | -3.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.92% | 1.06% | +0.86% |
Volatility
SPY vs. EMB - Volatility Comparison
State Street SPDR S&P 500 ETF (SPY) has a higher volatility of 3.72% compared to iShares J.P. Morgan USD Emerging Markets Bond ETF (EMB) at 1.76%. This indicates that SPY'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
| SPY | EMB | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.72% | 1.76% | +1.96% |
Volatility (6M)Calculated over the trailing 6-month period | 9.31% | 4.57% | +4.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.10% | 5.60% | +6.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.09% | 9.75% | +7.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.96% | 9.96% | +8.00% |
SPY vs. EMB - Expense Ratio Comparison
SPY has a 0.09% expense ratio, which is lower than EMB's 0.39% expense ratio.
Dividends
SPY vs. EMB - Dividend Comparison
SPY's dividend yield for the trailing twelve months is around 1.00%, less than EMB's 5.09% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF | 5.09% | 4.98% | 5.46% | 4.74% | 5.04% | 3.89% | 3.88% | 4.51% | 5.64% | 4.54% | 4.83% | 4.84% |
SPY State Street SPDR S&P 500 ETF | 1.00% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Frequently Asked Questions
SPY and EMB have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (3.72%) compared to EMB (1.76%). In terms of maximum drawdown, SPY dropped -55.19% vs EMB's -34.70%.
On 10-year performance, SPY leads with 15.27% vs 3.19% for EMB. On fees, SPY is cheaper at 0.09% per year. On volatility, EMB has been the lower-risk option at 1.76%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SPY has performed better with a 15.27% return vs 3.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 0.39% for EMB.
EMB has the higher dividend yield at 5.09%, compared with 1.00% for SPY.
SPY is categorized as S&P 500, while EMB is Emerging Markets Bonds. SPY tracks S&P 500 Index, while EMB tracks JPMorgan EMBI Global Core Index. They also come from different issuers: State Street and iShares. Their fees differ too: 0.09% for SPY and 0.39% for EMB.
SPY currently has the higher Sharpe Ratio (2.06 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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