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VWO vs. SPEM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VWOSPEM
YTD Return10.63%11.48%
1Y Return15.46%16.33%
3Y Return (Ann)-1.59%-0.85%
5Y Return (Ann)4.26%4.59%
10Y Return (Ann)3.58%4.12%
Sharpe Ratio0.961.03
Sortino Ratio1.441.52
Omega Ratio1.181.19
Calmar Ratio0.610.69
Martin Ratio5.015.36
Ulcer Index2.85%2.83%
Daily Std Dev14.79%14.70%
Max Drawdown-67.68%-64.41%
Current Drawdown-10.94%-8.90%

Correlation

-0.50.00.51.01.0

The correlation between VWO and SPEM is 0.96, 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

VWO vs. SPEM - Performance Comparison

In the year-to-date period, VWO achieves a 10.63% return, which is significantly lower than SPEM's 11.48% return. Over the past 10 years, VWO has underperformed SPEM with an annualized return of 3.58%, while SPEM has yielded a comparatively higher 4.12% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


70.00%80.00%90.00%100.00%110.00%120.00%130.00%JuneJulyAugustSeptemberOctoberNovember
83.80%
105.84%
VWO
SPEM

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


VWO vs. SPEM - Expense Ratio Comparison

VWO has a 0.08% expense ratio, which is lower than SPEM's 0.11% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SPEM
SPDR Portfolio Emerging Markets ETF
Expense ratio chart for SPEM: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%
Expense ratio chart for VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

VWO vs. SPEM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE Emerging Markets ETF (VWO) and SPDR Portfolio Emerging Markets ETF (SPEM). 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.


VWO
Sharpe ratio
The chart of Sharpe ratio for VWO, currently valued at 0.96, compared to the broader market0.002.004.006.000.96
Sortino ratio
The chart of Sortino ratio for VWO, currently valued at 1.44, compared to the broader market-2.000.002.004.006.008.0010.0012.001.44
Omega ratio
The chart of Omega ratio for VWO, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for VWO, currently valued at 0.61, compared to the broader market0.005.0010.0015.000.61
Martin ratio
The chart of Martin ratio for VWO, currently valued at 5.01, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.01
SPEM
Sharpe ratio
The chart of Sharpe ratio for SPEM, currently valued at 1.03, compared to the broader market0.002.004.006.001.03
Sortino ratio
The chart of Sortino ratio for SPEM, currently valued at 1.52, compared to the broader market-2.000.002.004.006.008.0010.0012.001.52
Omega ratio
The chart of Omega ratio for SPEM, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.19
Calmar ratio
The chart of Calmar ratio for SPEM, currently valued at 0.69, compared to the broader market0.005.0010.0015.000.69
Martin ratio
The chart of Martin ratio for SPEM, currently valued at 5.36, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.36

VWO vs. SPEM - Sharpe Ratio Comparison

The current VWO Sharpe Ratio is 0.96, which is comparable to the SPEM Sharpe Ratio of 1.03. The chart below compares the historical Sharpe Ratios of VWO and SPEM, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.96
1.03
VWO
SPEM

Dividends

VWO vs. SPEM - Dividend Comparison

VWO's dividend yield for the trailing twelve months is around 2.68%, more than SPEM's 2.56% yield.


TTM20232022202120202019201820172016201520142013
VWO
Vanguard FTSE Emerging Markets ETF
2.68%3.52%4.11%2.63%1.91%3.24%2.88%2.30%2.52%3.26%2.86%2.73%
SPEM
SPDR Portfolio Emerging Markets ETF
2.56%2.80%3.38%3.14%1.92%2.94%2.34%1.12%1.51%2.40%2.26%1.91%

Drawdowns

VWO vs. SPEM - Drawdown Comparison

The maximum VWO drawdown since its inception was -67.68%, which is greater than SPEM's maximum drawdown of -64.41%. Use the drawdown chart below to compare losses from any high point for VWO and SPEM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.94%
-8.90%
VWO
SPEM

Volatility

VWO vs. SPEM - Volatility Comparison

Vanguard FTSE Emerging Markets ETF (VWO) and SPDR Portfolio Emerging Markets ETF (SPEM) have volatilities of 4.61% and 4.45%, 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%JuneJulyAugustSeptemberOctoberNovember
4.61%
4.45%
VWO
SPEM