Initial: $10,000
Tax Rate: 20%
Transaction Cost: 0.2%
From: 2017-01-01
USD: Excluded (no data at start or data ends early): VFEA.L, EMQQ.L, EMRJ.L, GSEM.L, FEMR.L, EMEE.AS, GQEM.L, HQWD.L, EMPA.SW, AVEM, DFEM, FRDM, EMXC, EMM, AVES, AVEE, EWEB, DFEV, EMOP, JEMA, UEVM
USD Tickers (2017-01-01 to 2026-03-18)
| Ticker | Name | Data From | Nominal Final | Nominal CAGR | Nominal Return | Real Final | Real CAGR | Real Return |
| EYLD | Cambria Emerging Shareholder Yield ETF | 2016-07-14 | $22,987.42 | 9.47% | 129.87% | $17,101.78 | 6.00% | 71.02% |
| XCEM | Columbia EM Core ex-China ETF | 2015-09-02 | $22,504.39 | 9.21% | 125.04% | $16,742.42 | 5.76% | 67.42% |
| EIMI.L | iShares Core MSCI EM IMI UCITS ETF USD (Acc) | 2014-05-30 | $21,480.81 | 8.66% | 114.81% | $15,980.92 | 5.23% | 59.81% |
| EMGF | iShares Emerging Markets Equity Factor ETF | 2015-12-18 | $21,325.10 | 8.58% | 113.25% | $15,865.08 | 5.14% | 58.65% |
| XSOE | WisdomTree Emerging Markets ex-State-Owned Enterprises Fund | 2014-12-29 | $21,214.98 | 8.52% | 112.15% | $15,783.15 | 5.08% | 57.83% |
| AUEM.PA | Amundi Index Solutions - Amundi MSCI Emerging Markets Swap UCITS ETF USD Acc | 2010-12-21 | $20,992.87 | 8.39% | 109.93% | $15,617.91 | 4.96% | 56.18% |
| PIE | Invesco Dorsey Wright Emerging Markets Momentum ETF | 2008-01-07 | $20,852.55 | 8.31% | 108.53% | $15,513.52 | 4.89% | 55.14% |
| FNDE | Schwab Fundamental Emerging Markets Equity ETF | 2013-08-15 | $20,530.82 | 8.13% | 105.31% | $15,274.16 | 4.71% | 52.74% |
| FEMS | First Trust Emerging Markets Small Cap AlphaDEX Fund | 2012-02-17 | $20,275.45 | 7.98% | 102.75% | $15,084.18 | 4.57% | 50.84% |
| DGS | WisdomTree Emerging Markets SmallCap Dividend Fund | 2007-10-30 | $20,228.22 | 7.96% | 102.28% | $15,049.04 | 4.54% | 50.49% |
| ESGE | iShares ESG Aware MSCI EM ETF | 2016-07-20 | $20,138.91 | 7.90% | 101.39% | $14,982.60 | 4.49% | 49.83% |
| IEMG | iShares Core MSCI Emerging Markets ETF | 2012-10-24 | $20,100.68 | 7.88% | 101.01% | $14,954.15 | 4.47% | 49.54% |
| FEMU.L | First Trust Emerging Markets AlphaDEX UCITS ETF Class A Accumulation | 2013-04-09 | $19,882.40 | 7.75% | 98.82% | $14,791.76 | 4.35% | 47.92% |
| EDIV | State Street SPDR S&P Emerging Markets Dividend ETF | 2011-02-24 | $19,737.99 | 7.67% | 97.38% | $14,684.33 | 4.26% | 46.84% |
| SPEM | State Street SPDR Portfolio Emerging Markets ETF | 2007-03-23 | $19,599.42 | 7.59% | 95.99% | $14,581.24 | 4.18% | 45.81% |
| GEM | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 2015-09-29 | $19,367.41 | 7.45% | 93.67% | $14,408.63 | 4.05% | 44.09% |
| PXH | Invesco RAFI Emerging Markets ETF | 2007-09-28 | $19,255.19 | 7.38% | 92.55% | $14,325.14 | 3.98% | 43.25% |
| EEM | iShares MSCI Emerging Markets ETF | 2003-04-14 | $19,113.51 | 7.29% | 91.14% | $14,219.74 | 3.90% | 42.20% |
| DEM | WisdomTree Emerging Markets High Dividend Fund | 2007-07-13 | $19,024.33 | 7.24% | 90.24% | $14,153.39 | 3.85% | 41.53% |
| DGRE | WisdomTree Emerging Markets Quality Dividend Growth Fund | 2013-08-01 | $18,861.30 | 7.14% | 88.61% | $14,032.10 | 3.75% | 40.32% |
| SCHE | Schwab Emerging Markets Equity ETF | 2010-01-14 | $18,624.19 | 6.99% | 86.24% | $13,855.70 | 3.61% | 38.56% |
| VWO | Vanguard Emerging Markets Stock Index Fund | 2005-03-10 | $18,573.95 | 6.96% | 85.74% | $13,818.32 | 3.58% | 38.18% |
| QEMM | State Street SPDR MSCI Emerging Markets StrategicFactors ETF | 2014-06-05 | $17,837.55 | 6.49% | 78.38% | $13,270.47 | 3.12% | 32.70% |
| EELV | Invesco S&P Emerging Markets Low Volatility ETF | 2012-01-13 | $17,395.87 | 6.20% | 73.96% | $12,941.88 | 2.84% | 29.42% |
| DVYE | iShares Emerging Markets Dividend ETF | 2012-02-24 | $16,387.60 | 5.51% | 63.88% | $12,191.76 | 2.18% | 21.92% |
| EEMO | Invesco S&P Emerging Markets Momentum ETF | 2012-02-24 | $16,231.38 | 5.40% | 62.31% | $12,075.54 | 2.07% | 20.76% |
| EEMV | iShares MSCI Emerging Markets Min Vol Factor ETF | 2011-10-20 | $15,862.12 | 5.14% | 58.62% | $11,800.82 | 1.82% | 18.01% |
| EMQQ | EMQQ The Emerging Markets Internet ETF | 2014-11-17 | $15,450.33 | 4.84% | 54.50% | $11,494.47 | 1.53% | 14.94% |
| Metric | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Max Drawdown | -43.18% | -41.54% | -38.73% | -40.89% | -45.65% | -39.86% | -40.82% | -40.72% | -48.75% | -44.95% | -41.44% | -39.44% | -45.58% | -41.69% | -36.72% | -37.66% | -41.23% | -40.14% | -37.83% | -37.58% | -36.97% | -37.18% | -37.63% | -37.49% | -41.54% | -48.42% | -32.26% | -73.24% |
| Drawdown Duration | 734 days | 718 days | 709 days | 742 days | 1242 days | 1172 days | 1130 days | 767 days | 746 days | 801 days | 1151 days | 712 days | 827 days | 1359 days | 710 days | 727 days | 824 days | 1160 days | 808 days | 719 days | 706 days | 712 days | 736 days | 903 days | 931 days | 739 days | 739 days | 1276 days (unrec.) |
| Sortino Ratio | 0.80 | 0.77 | 0.73 | 0.73 | 0.71 | 0.71 | 0.66 | 0.69 | 0.65 | 0.72 | 0.67 | 0.67 | 0.64 | 0.70 | 0.67 | 0.66 | 0.63 | 0.63 | 0.65 | 0.62 | 0.62 | 0.62 | 0.64 | 0.69 | 0.52 | 0.49 | 0.60 | 0.45 |
| Calmar Ratio | 0.25 | 0.26 | 0.26 | 0.25 | 0.23 | 0.24 | 0.25 | 0.24 | 0.20 | 0.20 | 0.23 | 0.24 | 0.21 | 0.21 | 0.25 | 0.24 | 0.22 | 0.23 | 0.23 | 0.23 | 0.23 | 0.23 | 0.20 | 0.19 | 0.17 | 0.16 | 0.18 | 0.13 |
| CVaR (5%) | -2.78% | -2.81% | -2.79% | -2.76% | -2.92% | -2.78% | -3.14% | -2.84% | -2.95% | -2.57% | -2.86% | -2.85% | -3.01% | -2.55% | -2.72% | -2.72% | -2.91% | -2.91% | -2.65% | -2.83% | -2.80% | -2.76% | -2.42% | -2.04% | -2.76% | -3.13% | -1.96% | -4.35% |
| Metric | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Average Rolling Return | +8.54% | +7.80% | +7.29% | +6.97% | +7.09% | +6.77% | +7.06% | +7.51% | +6.42% | +6.92% | +6.60% | +6.63% | +5.97% | +7.88% | +6.87% | +5.98% | +6.87% | +5.92% | +6.58% | +5.62% | +6.36% | +6.39% | +5.12% | +5.21% | +4.24% | +4.50% | +4.28% | +9.52% |
| Median Rolling Return | +7.53% | +6.91% | +8.20% | +7.90% | +7.85% | +7.39% | +8.40% | +8.74% | +4.24% | +7.02% | +6.90% | +7.66% | +4.69% | +9.80% | +8.15% | +7.15% | +6.89% | +6.80% | +7.11% | +5.88% | +7.11% | +7.37% | +5.54% | +4.30% | +6.59% | +2.73% | +4.50% | +7.39% |
| Best Rolling Return | +99.02% | +87.98% | +84.12% | +71.83% | +87.83% | +80.29% | +93.07% | +67.84% | +102.13% | +77.85% | +75.97% | +79.76% | +75.13% | +52.16% | +72.06% | +68.03% | +63.45% | +75.98% | +57.39% | +73.29% | +73.50% | +73.49% | +64.80% | +46.89% | +58.42% | +89.55% | +49.94% | +144.73% |
| Worst Rolling Return | -34.38% | -33.53% | -31.88% | -28.27% | -37.25% | -31.77% | -34.26% | -32.76% | -35.57% | -36.51% | -35.71% | -32.33% | -36.33% | -35.16% | -29.39% | -31.14% | -33.89% | -33.56% | -32.44% | -30.95% | -30.34% | -29.94% | -28.95% | -32.13% | -39.79% | -35.89% | -27.38% | -60.69% |
| % of Windows Positive | 63.4% | 64.0% | 65.1% | 63.5% | 63.8% | 64.6% | 62.3% | 63.6% | 64.4% | 64.4% | 63.7% | 64.2% | 61.4% | 64.3% | 66.0% | 64.4% | 63.0% | 62.6% | 64.9% | 64.3% | 64.3% | 65.1% | 64.3% | 64.8% | 62.5% | 56.3% | 64.9% | 58.9% |
| Regime | Period | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Secular stagnation / QE / low inflation / duration bull partial | 2017-01-01 – 2020-02-19 | +32.62% | +31.32% | +34.81% | +31.50% | +51.74% | +35.44% | +38.17% | +25.47% | +38.71% | +25.48% | +38.90% | +32.13% | +34.89% | +23.63% | +34.78% | +33.52% | +24.31% | +31.99% | +28.46% | +27.78% | +32.42% | +30.15% | +24.98% | +19.59% | +28.60% | +40.93% | +22.75% | +69.03% |
| Secular stagnation / QE / low inflation / duration bull partial | 2017-01-01 – 2020-02-19 | +24.62% | +23.40% | +26.68% | +23.57% | +42.59% | +27.27% | +29.84% | +17.91% | +30.35% | +17.92% | +30.52% | +24.16% | +26.75% | +16.18% | +26.65% | +25.47% | +16.81% | +24.04% | +20.72% | +20.07% | +24.43% | +22.30% | +17.45% | +12.38% | +20.84% | +32.43% | +15.34% | +58.84% |
| Pandemic shock / liquidity crash | 2020-02-20 – 2020-03-23 | -35.37% | -35.70% | -30.63% | -30.38% | -29.06% | -30.16% | -31.15% | -33.00% | -39.69% | -34.10% | -29.76% | -30.61% | -36.44% | -32.77% | -29.66% | -29.38% | -32.80% | -29.70% | -32.28% | -31.09% | -29.77% | -29.68% | -29.05% | -28.48% | -33.37% | -39.74% | -24.03% | -24.86% |
| Pandemic shock / liquidity crash | 2020-02-20 – 2020-03-23 | -35.08% | -35.40% | -30.31% | -30.07% | -28.74% | -29.85% | -30.84% | -32.69% | -39.42% | -33.80% | -29.44% | -30.30% | -36.15% | -32.47% | -29.34% | -29.06% | -32.49% | -29.38% | -31.98% | -30.78% | -29.45% | -29.36% | -28.72% | -28.16% | -33.06% | -39.46% | -23.68% | -24.51% |
| Policy bazooka / monetary euphoria | 2020-03-24 – 2020-11-08 | +42.72% | +41.48% | +48.40% | +42.51% | +58.64% | +46.24% | +48.48% | +26.71% | +48.41% | +43.43% | +49.58% | +48.70% | +35.86% | +23.10% | +45.49% | +39.60% | +27.51% | +46.32% | +21.70% | +43.51% | +46.82% | +46.38% | +36.85% | +22.92% | +20.93% | +64.48% | +30.07% | +99.67% |
| Policy bazooka / monetary euphoria | 2020-03-24 – 2020-11-08 | +41.17% | +39.94% | +46.78% | +40.97% | +56.92% | +44.65% | +46.87% | +25.33% | +46.80% | +41.87% | +47.95% | +47.09% | +34.38% | +21.76% | +43.91% | +38.09% | +26.12% | +44.73% | +20.38% | +41.95% | +45.23% | +44.79% | +35.36% | +21.58% | +19.62% | +62.69% | +28.65% | +97.50% |
| Reopening reflation / fiscal boom / supply bottlenecks | 2020-11-09 – 2021-11-29 | +18.18% | +18.64% | +5.42% | +9.69% | +0.26% | +2.32% | +19.08% | +21.81% | +14.64% | +19.81% | +3.52% | +5.58% | +9.06% | +14.87% | +5.93% | +4.31% | +14.98% | +2.50% | +15.27% | +6.27% | +3.59% | +5.86% | +11.11% | +18.49% | +19.69% | -1.22% | +8.13% | -20.76% |
| Reopening reflation / fiscal boom / supply bottlenecks | 2020-11-09 – 2021-11-29 | +10.55% | +10.98% | -1.39% | +2.61% | -6.22% | -4.29% | +11.39% | +13.94% | +7.24% | +12.07% | -3.16% | -1.23% | +2.01% | +7.45% | -0.91% | -2.42% | +7.56% | -4.12% | +7.83% | -0.59% | -3.10% | -0.98% | +3.93% | +10.84% | +11.96% | -7.60% | +1.15% | -25.87% |
| Inflation shock / duration crash / aggressive tightening | 2021-11-30 – 2022-11-09 | -19.33% | -16.76% | -22.59% | -18.35% | -29.43% | -23.44% | -31.44% | -18.92% | -6.23% | -15.93% | -27.18% | -24.29% | -14.80% | -19.62% | -22.20% | -24.22% | -19.89% | -25.20% | -13.64% | -24.84% | -22.79% | -22.88% | -19.56% | -6.15% | -32.28% | -15.96% | -15.36% | -47.90% |
| Inflation shock / duration crash / aggressive tightening | 2021-11-30 – 2022-11-09 | -24.69% | -22.29% | -27.74% | -23.78% | -34.12% | -28.53% | -36.00% | -24.31% | -12.47% | -21.52% | -32.02% | -29.32% | -20.46% | -24.97% | -27.37% | -29.25% | -25.22% | -30.17% | -19.39% | -29.84% | -27.92% | -28.01% | -24.91% | -12.39% | -36.78% | -21.55% | -20.99% | -51.36% |
| Disinflation rebound / AI-led narrow bull / higher-for-longer | 2022-11-10 – 2024-09-17 | +33.68% | +27.25% | +26.91% | +22.41% | +21.06% | +24.46% | +21.75% | +31.32% | +15.58% | +31.12% | +20.85% | +23.07% | +19.92% | +70.60% | +24.52% | +22.74% | +30.27% | +20.41% | +33.33% | +36.43% | +22.61% | +22.48% | +19.97% | +20.35% | +30.13% | +23.70% | +18.46% | +35.40% |
| Disinflation rebound / AI-led narrow bull / higher-for-longer | 2022-11-10 – 2024-09-17 | +26.90% | +20.81% | +20.48% | +16.21% | +14.92% | +18.15% | +15.59% | +24.67% | +9.72% | +24.48% | +14.72% | +16.83% | +13.85% | +61.96% | +18.21% | +16.52% | +23.67% | +14.31% | +26.58% | +29.52% | +16.40% | +16.27% | +13.89% | +14.25% | +23.54% | +17.43% | +12.45% | +28.54% |
| Disinflationary easing / resilient growth / AI capex under oil-shock test partial | 2024-09-18 – 2026-03-18 | +31.19% | +34.46% | +37.55% | +36.35% | +34.20% | +41.00% | +33.58% | +36.06% | +20.12% | +18.42% | +39.78% | +36.34% | +37.69% | +12.49% | +26.87% | +38.83% | +38.02% | +38.70% | +21.78% | +25.45% | +27.38% | +27.25% | +25.10% | +14.51% | +38.00% | +5.61% | +12.17% | +0.76% |
| Disinflationary easing / resilient growth / AI capex under oil-shock test partial | 2024-09-18 – 2026-03-18 | +26.09% | +29.24% | +32.21% | +31.05% | +28.98% | +35.52% | +28.39% | +30.77% | +15.45% | +13.81% | +34.35% | +31.04% | +32.33% | +8.12% | +21.94% | +33.44% | +32.66% | +33.31% | +17.05% | +20.57% | +22.42% | +22.30% | +20.23% | +10.06% | +32.63% | +1.51% | +7.81% | -3.15% |
| Metric | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Max Drawdown | -24.45% | -22.03% | -25.45% | -28.55% | -29.53% | -25.49% | -29.28% | -21.83% | -31.62% | -27.79% | -26.53% | -26.38% | -25.72% | -21.74% | -25.77% | -25.75% | -21.99% | -26.65% | -19.61% | -25.74% | -25.80% | -26.90% | -23.77% | -15.94% | -17.83% | -27.75% | -17.65% | -40.02% |
| Drawdown Duration | 517 days (unrec.) | 517 days (unrec.) | 521 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 526 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 521 days (unrec.) | 497 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) | 517 days (unrec.) |
| Sortino Ratio | 0.89 | 0.87 | 0.93 | 0.84 | 1.24 | 0.99 | 0.97 | 0.74 | 0.99 | 0.79 | 1.03 | 0.87 | 0.90 | 0.72 | 0.95 | 0.91 | 0.69 | 0.85 | 0.85 | 0.78 | 0.89 | 0.84 | 0.82 | 0.78 | 0.91 | 1.04 | 0.87 | 1.18 |
| Calmar Ratio | 0.43 | 0.46 | 0.42 | 0.36 | 0.50 | 0.42 | 0.40 | 0.39 | 0.38 | 0.30 | 0.45 | 0.39 | 0.43 | 0.37 | 0.42 | 0.41 | 0.38 | 0.39 | 0.47 | 0.36 | 0.40 | 0.36 | 0.34 | 0.40 | 0.51 | 0.45 | 0.41 | 0.49 |
| CVaR (5%) | -2.34% | -2.36% | -2.41% | -2.53% | -2.48% | -2.28% | -2.44% | -2.38% | -2.48% | -2.22% | -2.38% | -2.41% | -2.60% | -2.31% | -2.35% | -2.38% | -2.46% | -2.48% | -2.19% | -2.41% | -2.41% | -2.39% | -2.00% | -1.67% | -2.02% | -2.51% | -1.70% | -3.45% |
| Metric | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Max Drawdown | -35.65% | -35.70% | -30.70% | -30.38% | -29.06% | -30.25% | -32.86% | -33.36% | -40.11% | -34.10% | -29.76% | -30.61% | -37.60% | -32.77% | -29.66% | -29.38% | -32.80% | -29.70% | -32.75% | -31.24% | -29.77% | -29.68% | -29.05% | -28.48% | -33.45% | -39.74% | -24.14% | -27.72% |
| Drawdown Duration | 21 days (unrec.) | 22 days (unrec.) | 21 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 21 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 21 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 21 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 21 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 21 days (unrec.) | 22 days (unrec.) | 21 days (unrec.) | 22 days (unrec.) |
| Sortino Ratio | -8.15 | -7.27 | -6.26 | -5.61 | -5.42 | -5.96 | -5.11 | -5.83 | -6.65 | -6.23 | -5.44 | -5.35 | -6.83 | -5.83 | -5.69 | -5.84 | -5.65 | -5.24 | -5.70 | -5.53 | -5.44 | -5.36 | -6.08 | -6.37 | -5.98 | -6.30 | -5.39 | -4.78 |
| Calmar Ratio | -13.47 | -13.43 | -12.86 | -12.63 | -12.51 | -12.73 | -11.87 | -12.72 | -13.47 | -13.08 | -12.54 | -12.54 | -12.97 | -12.84 | -12.62 | -12.68 | -12.76 | -12.45 | -12.61 | -12.60 | -12.53 | -12.50 | -12.71 | -12.80 | -12.89 | -13.42 | -12.24 | -10.83 |
| CVaR (5%) | -8.74% | -9.39% | -9.77% | -11.29% | -10.94% | -9.88% | -12.61% | -10.87% | -13.30% | -11.95% | -11.12% | -11.53% | -11.13% | -11.48% | -10.53% | -10.03% | -11.39% | -11.24% | -10.87% | -11.26% | -10.96% | -11.07% | -9.93% | -8.84% | -10.77% | -12.38% | -9.51% | -9.98% |
| Metric | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Max Drawdown | -6.70% | -8.51% | -6.33% | -7.29% | -7.85% | -6.06% | -7.61% | -7.59% | -9.25% | -5.79% | -7.79% | -7.53% | -9.09% | -9.67% | -7.03% | -7.32% | -7.33% | -7.61% | -9.32% | -7.78% | -7.32% | -6.98% | -6.89% | -6.57% | -12.23% | -8.93% | -5.70% | -9.22% |
| Drawdown Duration | 26 days | 10 days | 17 days | 8 days | 9 days | 30 days | 12 days | 58 days (unrec.) | 78 days (unrec.) | 19 days | 11 days | 9 days | 66 days (unrec.) | 107 days (unrec.) | 9 days | 9 days | 57 days | 9 days | 57 days (unrec.) | 9 days | 11 days | 9 days | 9 days | 58 days (unrec.) | 107 days (unrec.) | 9 days | 8 days | 29 days |
| Sortino Ratio | 5.14 | 3.36 | 4.25 | 3.84 | 4.69 | 3.97 | 4.10 | 2.39 | 4.17 | 4.01 | 4.12 | 4.04 | 3.08 | 2.31 | 3.96 | 3.51 | 2.44 | 3.80 | 2.08 | 3.81 | 3.95 | 4.02 | 3.58 | 2.76 | 1.95 | 4.93 | 3.58 | 6.49 |
| Calmar Ratio | 8.72 | 6.90 | 10.42 | 8.11 | 9.76 | 10.37 | 8.65 | 5.35 | 7.13 | 10.36 | 8.62 | 8.80 | 5.77 | 3.69 | 8.89 | 7.64 | 5.70 | 8.38 | 3.65 | 7.76 | 8.76 | 9.09 | 7.60 | 5.26 | 2.71 | 9.28 | 7.62 | 12.39 |
| CVaR (5%) | -2.35% | -3.39% | -3.34% | -3.31% | -3.46% | -3.34% | -3.37% | -3.69% | -3.31% | -3.24% | -3.44% | -3.51% | -3.63% | -3.24% | -3.39% | -3.34% | -3.63% | -3.60% | -3.55% | -3.43% | -3.44% | -3.37% | -3.24% | -2.74% | -3.58% | -3.62% | -2.64% | -3.76% |
| Metric | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Max Drawdown | -11.35% | -9.12% | -14.05% | -9.15% | -18.40% | -16.54% | -14.85% | -8.45% | -19.72% | -8.09% | -14.71% | -13.27% | -14.00% | -6.91% | -11.97% | -13.22% | -9.68% | -15.69% | -9.82% | -11.21% | -13.70% | -12.18% | -6.74% | -4.87% | -8.25% | -24.01% | -6.38% | -41.94% |
| Drawdown Duration | 151 days (unrec.) | 123 days (unrec.) | 200 days (unrec.) | 123 days (unrec.) | 199 days (unrec.) | 203 days (unrec.) | 95 days (unrec.) | 27 days (unrec.) | 124 days (unrec.) | 54 days (unrec.) | 198 days (unrec.) | 199 days (unrec.) | 55 days (unrec.) | 119 days (unrec.) | 198 days (unrec.) | 198 days (unrec.) | 119 days (unrec.) | 198 days (unrec.) | 123 days (unrec.) | 200 days (unrec.) | 198 days (unrec.) | 198 days (unrec.) | 126 days (unrec.) | 16 days | 29 days (unrec.) | 198 days (unrec.) | 126 days (unrec.) | 198 days (unrec.) |
| Sortino Ratio | 1.43 | 1.49 | 0.53 | 0.88 | 0.15 | 0.29 | 1.22 | 1.81 | 1.14 | 1.96 | 0.38 | 0.53 | 0.73 | 1.50 | 0.57 | 0.45 | 1.27 | 0.30 | 1.45 | 0.61 | 0.38 | 0.56 | 1.13 | 2.14 | 1.82 | 0.10 | 1.03 | -0.64 |
| Calmar Ratio | 1.53 | 1.94 | 0.45 | 1.11 | 0.11 | 0.22 | 1.28 | 2.37 | 0.74 | 2.23 | 0.33 | 0.50 | 0.72 | 2.03 | 0.58 | 0.41 | 1.50 | 0.25 | 1.48 | 0.63 | 0.36 | 0.57 | 1.63 | 3.43 | 2.19 | 0.08 | 1.26 | -0.38 |
| CVaR (5%) | -2.51% | -2.33% | -2.37% | -2.23% | -2.67% | -2.40% | -3.19% | -2.21% | -2.60% | -1.86% | -2.54% | -2.43% | -2.64% | -1.93% | -2.36% | -2.29% | -2.23% | -2.52% | -2.03% | -2.25% | -2.50% | -2.40% | -1.88% | -1.66% | -2.02% | -3.45% | -1.54% | -4.73% |
| Metric | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Max Drawdown | -29.80% | -29.47% | -31.60% | -27.28% | -36.33% | -31.97% | -37.17% | -29.58% | -21.89% | -25.30% | -34.57% | -31.84% | -28.67% | -28.98% | -29.11% | -31.75% | -30.26% | -32.81% | -28.18% | -32.43% | -29.78% | -29.74% | -27.27% | -19.52% | -41.54% | -24.24% | -21.97% | -53.10% |
| Drawdown Duration | 188 days (unrec.) | 207 days (unrec.) | 208 days (unrec.) | 208 days (unrec.) | 208 days (unrec.) | 213 days (unrec.) | 220 days (unrec.) | 184 days (unrec.) | 152 days (unrec.) | 152 days (unrec.) | 208 days (unrec.) | 208 days (unrec.) | 187 days (unrec.) | 189 days (unrec.) | 208 days (unrec.) | 208 days (unrec.) | 184 days (unrec.) | 208 days (unrec.) | 184 days (unrec.) | 208 days (unrec.) | 208 days (unrec.) | 208 days (unrec.) | 208 days (unrec.) | 184 days (unrec.) | 184 days (unrec.) | 208 days (unrec.) | 208 days (unrec.) | 238 days (unrec.) |
| Sortino Ratio | -1.10 | -1.12 | -1.54 | -1.36 | -1.92 | -1.54 | -2.20 | -1.34 | -0.30 | -1.32 | -1.84 | -1.67 | -0.87 | -1.79 | -1.57 | -1.83 | -1.36 | -1.70 | -0.97 | -1.80 | -1.56 | -1.59 | -1.65 | -0.61 | -2.14 | -1.19 | -1.60 | -1.58 |
| Calmar Ratio | -0.67 | -0.59 | -0.79 | -0.71 | -0.93 | -0.78 | -1.01 | -0.68 | -0.21 | -0.67 | -0.89 | -0.85 | -0.50 | -0.75 | -0.83 | -0.86 | -0.70 | -0.85 | -0.49 | -0.86 | -0.84 | -0.84 | -0.79 | -0.30 | -0.93 | -0.68 | -0.76 | -1.05 |
| CVaR (5%) | -3.62% | -2.94% | -2.98% | -2.60% | -3.19% | -2.90% | -3.32% | -3.02% | -2.83% | -2.64% | -3.03% | -2.98% | -3.13% | -2.30% | -2.87% | -2.74% | -3.06% | -3.02% | -2.83% | -2.98% | -2.96% | -2.90% | -2.42% | -1.92% | -3.62% | -2.60% | -1.89% | -6.22% |
| Metric | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Max Drawdown | -11.69% | -12.00% | -12.45% | -11.94% | -13.99% | -13.40% | -14.04% | -10.65% | -13.64% | -11.03% | -13.29% | -12.43% | -13.04% | -8.19% | -11.30% | -11.71% | -11.65% | -13.51% | -9.48% | -10.28% | -12.34% | -11.80% | -9.29% | -9.90% | -11.33% | -11.30% | -10.34% | -22.25% |
| Drawdown Duration | 61 days (unrec.) | 99 days | 145 days | 232 days | 282 days | 158 days | 47 days (unrec.) | 141 days | 270 days | 97 days | 319 days | 152 days | 130 days | 30 days | 151 days | 151 days | 141 days | 301 days | 47 days (unrec.) | 96 days | 300 days | 155 days | 105 days | 104 days | 81 days (unrec.) | 95 days | 141 days | 326 days |
| Sortino Ratio | 1.71 | 1.43 | 1.36 | 1.23 | 1.07 | 1.21 | 1.01 | 1.65 | 0.81 | 1.76 | 1.09 | 1.22 | 1.07 | 3.58 | 1.36 | 1.26 | 1.54 | 1.08 | 1.78 | 1.69 | 1.23 | 1.25 | 1.27 | 1.48 | 1.61 | 1.24 | 1.49 | 1.17 |
| Calmar Ratio | 1.44 | 1.18 | 1.13 | 1.01 | 0.84 | 0.96 | 0.86 | 1.49 | 0.68 | 1.41 | 0.87 | 1.00 | 0.84 | 3.66 | 1.14 | 1.04 | 1.33 | 0.84 | 1.75 | 1.77 | 0.99 | 1.02 | 1.15 | 1.08 | 1.36 | 1.12 | 0.94 | 0.90 |
| CVaR (5%) | -1.91% | -2.00% | -2.00% | -1.83% | -2.08% | -2.06% | -2.34% | -1.83% | -2.11% | -1.75% | -2.00% | -1.94% | -1.98% | -1.70% | -1.80% | -1.83% | -1.89% | -1.97% | -1.82% | -2.15% | -1.86% | -1.81% | -1.67% | -1.42% | -1.78% | -1.96% | -1.28% | -3.16% |
| Metric | EYLD | XCEM | EIMI.L | EMGF | XSOE | AUEM.PA | PIE | FNDE | FEMS | DGS | ESGE | IEMG | FEMU.L | EDIV | SPEM | GEM | PXH | EEM | DEM | DGRE | SCHE | VWO | QEMM | EELV | DVYE | EEMO | EEMV | EMQQ |
| Max Drawdown | -21.09% | -19.31% | -17.44% | -18.05% | -20.02% | -17.17% | -26.95% | -19.02% | -20.73% | -19.43% | -16.97% | -17.55% | -16.14% | -14.06% | -17.89% | -16.97% | -17.98% | -17.57% | -15.88% | -20.76% | -17.54% | -17.79% | -17.49% | -12.25% | -15.61% | -26.12% | -12.87% | -26.55% |
| Drawdown Duration | 172 days | 175 days | 156 days | 165 days | 177 days | 151 days | 191 days | 170 days | 182 days | 171 days | 150 days | 164 days | 38 days | 160 days | 168 days | 164 days | 167 days | 165 days | 167 days | 204 days | 167 days | 167 days | 177 days | 156 days | 156 days | 219 days | 175 days | 125 days (unrec.) |
| Sortino Ratio | 1.61 | 1.78 | 1.86 | 1.83 | 1.75 | 1.96 | 1.48 | 1.82 | 1.16 | 1.20 | 1.92 | 1.84 | 1.64 | 0.98 | 1.50 | 1.95 | 1.84 | 1.89 | 1.44 | 1.43 | 1.51 | 1.52 | 1.51 | 1.25 | 2.01 | 0.42 | 1.04 | 0.20 |
| Calmar Ratio | 0.94 | 1.11 | 1.30 | 1.25 | 1.07 | 1.42 | 0.81 | 1.18 | 0.66 | 0.64 | 1.43 | 1.28 | 1.44 | 0.62 | 0.98 | 1.40 | 1.31 | 1.35 | 0.90 | 0.81 | 1.02 | 0.99 | 0.94 | 0.80 | 1.48 | 0.20 | 0.65 | 0.12 |
| CVaR (5%) | -2.64% | -2.57% | -2.59% | -2.61% | -2.60% | -2.58% | -3.10% | -2.68% | -2.52% | -2.21% | -2.68% | -2.60% | -2.76% | -1.88% | -2.49% | -2.62% | -2.81% | -2.69% | -2.13% | -2.38% | -2.50% | -2.48% | -2.29% | -1.63% | -2.40% | -2.70% | -1.65% | -3.46% |
EUR: Excluded (no data at start or data ends early): XMME.DE, AEME.PA, HEMA.PA, 5MVL.DE, H41E.DE, 84X0.DE, XDEX.DE, FLXE.DE, IQMA.MI, PRIMO.MI, 36B5.DE, XZEM.DE, SADM.DE, AMEI.DE, FVEM.DE
EUR Tickers (2017-01-01 to 2026-03-18)
| Ticker | Name | Data From | Nominal Final | Nominal CAGR | Nominal Return | Real Final | Real CAGR | Real Return |
| CEBL.DE | iShares VII PLC - iShares MSCI EM Asia ETF USD Acc | 2011-02-28 | €20,954.13 | 8.37% | 109.54% | €16,216.60 | 5.39% | 62.17% |
| SPYA.DE | State Street SPDR MSCI EM Asia UCITS ETF | 2011-05-16 | €20,548.39 | 8.14% | 105.48% | €15,902.60 | 5.17% | 59.03% |
| EUNM.DE | iShares MSCI EM UCITS ETF USD (Acc) | 2009-10-20 | €19,181.64 | 7.33% | 91.82% | €14,844.86 | 4.39% | 48.45% |
| AMEM.DE | Amundi Index Solutions - Amundi MSCI Emerging Markets Swap UCITS ETF EUR Acc | 2011-03-16 | €19,130.03 | 7.30% | 91.30% | €14,804.92 | 4.35% | 48.05% |
| EUNZ.DE | iShares Edge MSCI EM Minimum Volatility UCITS ETF USD (Acc) | 2012-11-30 | €15,094.87 | 4.58% | 50.95% | €11,682.07 | 1.70% | 16.82% |
| SPYV.DE | State Street SPDR S&P Emerging Markets Dividend Aristocrats UCITS ETF | 2011-10-13 | €14,569.91 | 4.17% | 45.70% | €11,275.79 | 1.31% | 12.76% |
| Metric | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Max Drawdown | -33.12% | -33.85% | -31.86% | -31.93% | -26.15% | -38.36% |
| Drawdown Duration | 1167 days | 1172 days | 212 days | 217 days | 251 days | 1097 days |
| Sortino Ratio | 0.72 | 0.70 | 0.66 | 0.66 | 0.52 | 0.45 |
| Calmar Ratio | 0.29 | 0.28 | 0.27 | 0.27 | 0.21 | 0.14 |
| CVaR (5%) | -2.83% | -2.84% | -2.73% | -2.73% | -2.12% | -2.53% |
| Metric | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Average Rolling Return | +6.59% | +6.36% | +5.72% | +5.63% | +4.12% | +4.22% |
| Median Rolling Return | +6.88% | +6.57% | +5.25% | +5.17% | +4.26% | +4.34% |
| Best Rolling Return | +64.75% | +65.25% | +62.99% | +62.18% | +36.93% | +49.74% |
| Worst Rolling Return | -24.47% | -24.30% | -23.50% | -23.45% | -22.41% | -33.64% |
| % of Windows Positive | 65.3% | 64.9% | 64.6% | 64.2% | 69.4% | 68.2% |
| Regime | Period | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Secular stagnation / QE / low inflation / duration bull partial | 2017-01-01 – 2020-02-19 | +37.09% | +37.55% | +31.51% | +31.78% | +20.85% | +18.72% |
| Secular stagnation / QE / low inflation / duration bull partial | 2017-01-01 – 2020-02-19 | +31.46% | +31.90% | +26.12% | +26.38% | +15.89% | +13.85% |
| Pandemic shock / liquidity crash | 2020-02-20 – 2020-03-23 | -25.18% | -25.36% | -29.81% | -29.54% | -23.76% | -34.10% |
| Pandemic shock / liquidity crash | 2020-02-20 – 2020-03-23 | -25.59% | -25.76% | -30.19% | -29.92% | -24.18% | -34.46% |
| Policy bazooka / monetary euphoria | 2020-03-24 – 2020-11-08 | +36.22% | +36.71% | +33.21% | +32.68% | +18.04% | +19.51% |
| Policy bazooka / monetary euphoria | 2020-03-24 – 2020-11-08 | +36.65% | +37.14% | +33.63% | +33.09% | +18.41% | +19.89% |
| Reopening reflation / fiscal boom / supply bottlenecks | 2020-11-09 – 2021-11-29 | +4.66% | +3.29% | +7.96% | +7.35% | +12.71% | +10.62% |
| Reopening reflation / fiscal boom / supply bottlenecks | 2020-11-09 – 2021-11-29 | -0.20% | -1.50% | +2.95% | +2.37% | +7.48% | +5.48% |
| Inflation shock / duration crash / aggressive tightening | 2021-11-30 – 2022-11-09 | -18.61% | -18.63% | -14.08% | -14.04% | -4.69% | -6.41% |
| Inflation shock / duration crash / aggressive tightening | 2021-11-30 – 2022-11-09 | -26.06% | -26.08% | -21.95% | -21.91% | -13.41% | -14.97% |
| Disinflation rebound / AI-led narrow bull / higher-for-longer | 2022-11-10 – 2024-09-17 | +17.75% | +15.92% | +13.91% | +13.83% | +10.67% | +14.98% |
| Disinflation rebound / AI-led narrow bull / higher-for-longer | 2022-11-10 – 2024-09-17 | +12.49% | +10.75% | +8.83% | +8.75% | +5.73% | +9.84% |
| Disinflationary easing / resilient growth / AI capex under oil-shock test partial | 2024-09-18 – 2026-03-18 | +38.10% | +38.60% | +36.23% | +36.18% | +9.53% | +19.65% |
| Disinflationary easing / resilient growth / AI capex under oil-shock test partial | 2024-09-18 – 2026-03-18 | +34.96% | +35.45% | +33.14% | +33.09% | +7.04% | +16.93% |
| Metric | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Max Drawdown | -19.82% | -19.47% | -18.92% | -18.90% | -9.30% | -13.88% |
| Drawdown Duration | 478 days | 478 days | 479 days | 479 days | 172 days | 251 days |
| Sortino Ratio | 0.96 | 0.98 | 0.87 | 0.88 | 0.78 | 0.62 |
| Calmar Ratio | 0.58 | 0.59 | 0.53 | 0.53 | 0.72 | 0.47 |
| CVaR (5%) | -2.42% | -2.42% | -2.35% | -2.33% | -1.75% | -2.07% |
| Metric | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Max Drawdown | -25.18% | -25.36% | -29.81% | -29.54% | -23.76% | -34.10% |
| Drawdown Duration | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) |
| Sortino Ratio | -5.62 | -5.76 | -6.31 | -6.03 | -5.98 | -7.40 |
| Calmar Ratio | -12.41 | -12.46 | -12.84 | -12.74 | -12.44 | -13.35 |
| CVaR (5%) | -8.43% | -8.08% | -8.83% | -9.20% | -7.60% | -8.68% |
| Metric | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Max Drawdown | -5.26% | -5.22% | -5.06% | -5.03% | -5.90% | -10.37% |
| Drawdown Duration | 32 days | 32 days | 7 days | 7 days | 88 days | 110 days (unrec.) |
| Sortino Ratio | 3.43 | 3.47 | 3.16 | 3.09 | 2.32 | 2.02 |
| Calmar Ratio | 9.83 | 10.01 | 9.53 | 9.46 | 4.73 | 3.00 |
| CVaR (5%) | -3.22% | -3.21% | -3.28% | -3.30% | -2.65% | -3.25% |
| Metric | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Max Drawdown | -15.90% | -16.53% | -11.57% | -12.15% | -5.42% | -7.42% |
| Drawdown Duration | 202 days (unrec.) | 202 days (unrec.) | 202 days (unrec.) | 202 days (unrec.) | 44 days | 220 days (unrec.) |
| Sortino Ratio | 0.46 | 0.36 | 0.72 | 0.67 | 1.45 | 1.09 |
| Calmar Ratio | 0.37 | 0.28 | 0.74 | 0.66 | 2.20 | 1.40 |
| CVaR (5%) | -2.60% | -2.63% | -2.40% | -2.38% | -1.70% | -2.03% |
| Metric | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Max Drawdown | -25.94% | -25.98% | -21.95% | -21.77% | -10.84% | -18.00% |
| Drawdown Duration | 207 days (unrec.) | 207 days (unrec.) | 207 days (unrec.) | 207 days (unrec.) | 155 days (unrec.) | 188 days (unrec.) |
| Sortino Ratio | -1.26 | -1.26 | -1.00 | -0.99 | -0.46 | -0.45 |
| Calmar Ratio | -0.74 | -0.74 | -0.63 | -0.64 | -0.39 | -0.31 |
| CVaR (5%) | -2.98% | -2.97% | -2.78% | -2.77% | -1.84% | -2.39% |
| Metric | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Max Drawdown | -12.60% | -12.61% | -10.18% | -10.55% | -6.52% | -11.87% |
| Drawdown Duration | 307 days | 318 days | 287 days | 287 days | 134 days | 147 days |
| Sortino Ratio | 0.96 | 0.88 | 0.84 | 0.83 | 0.91 | 0.84 |
| Calmar Ratio | 0.78 | 0.71 | 0.77 | 0.74 | 0.89 | 0.72 |
| CVaR (5%) | -2.06% | -1.98% | -1.89% | -1.87% | -1.28% | -1.92% |
| Metric | CEBL.DE | SPYA.DE | EUNM.DE | AMEM.DE | EUNZ.DE | SPYV.DE |
| Max Drawdown | -20.53% | -21.39% | -19.01% | -19.22% | -17.89% | -16.93% |
| Drawdown Duration | 109 days | 101 days | 109 days | 109 days | 97 days (unrec.) | 95 days |
| Sortino Ratio | 1.81 | 1.77 | 1.89 | 1.90 | 0.58 | 1.27 |
| Calmar Ratio | 1.15 | 1.11 | 1.17 | 1.15 | 0.48 | 0.78 |
| CVaR (5%) | -2.82% | -2.90% | -2.56% | -2.56% | -2.46% | -2.19% |
GBP: Excluded (no data at start or data ends early): EXCS.L, LDME.L
GBP Tickers (2017-01-01 to 2020-10-30)
| Ticker | Name | Data From | Nominal Final | Nominal CAGR | Nominal Return | Real Final | Real CAGR | Real Return |
| EMRG.L | SSgA SPDR ETFs Europe I Public Limited Company - SPDR MSCI Emerging Markets UCITS ETF | 2011-08-03 | £12,970.09 | 7.04% | 29.70% | £12,137.98 | 5.20% | 21.38% |
| HMEF.L | HSBC MSCI Emerging Markets UCITS ETF | 2011-09-07 | £12,869.40 | 6.82% | 28.69% | £12,043.75 | 4.99% | 20.44% |
| IEEM.L | iShares MSCI EM UCITS ETF USD (Dist) | 2009-01-02 | £12,739.47 | 6.54% | 27.39% | £11,922.16 | 4.71% | 19.22% |
| VFEM.L | Vanguard FTSE Emerging Markets UCITS ETF USD Distributing | 2012-05-22 | £12,579.25 | 6.19% | 25.79% | £11,772.22 | 4.36% | 17.72% |
| DGSE.L | WisdomTree Emerging Markets SmallCap Dividend UCITS ETF | 2014-11-14 | £10,992.37 | 2.51% | 9.92% | £10,287.14 | 0.74% | 2.87% |
| DEM.L | WisdomTree Emerging Markets Equity Income UCITS ETF | 2014-11-14 | £9,994.96 | -0.01% | -0.05% | £9,353.72 | -1.73% | -6.46% |
| Metric | EMRG.L | HMEF.L | IEEM.L | VFEM.L | DGSE.L | DEM.L |
| Max Drawdown | -25.38% | -25.28% | -25.80% | -25.91% | -39.86% | -32.95% |
| Drawdown Duration | 190 days | 171 days | 189 days | 204 days (unrec.) | 848 days (unrec.) | 848 days (unrec.) |
| Sortino Ratio | 0.59 | 0.58 | 0.56 | 0.54 | 0.32 | 0.18 |
| Calmar Ratio | 0.35 | 0.34 | 0.32 | 0.31 | 0.14 | 0.10 |
| CVaR (5%) | -3.06% | -3.02% | -3.05% | -3.02% | -3.30% | -3.38% |
| Metric | EMRG.L | HMEF.L | IEEM.L | VFEM.L | DGSE.L | DEM.L |
| Average Rolling Return | +2.76% | +2.34% | +1.98% | +2.70% | -0.36% | +1.39% |
| Median Rolling Return | +3.10% | +2.74% | +2.36% | +3.31% | -0.66% | +3.57% |
| Best Rolling Return | +26.31% | +26.68% | +25.72% | +22.29% | +23.78% | +17.97% |
| Worst Rolling Return | -17.31% | -18.33% | -17.82% | -17.14% | -28.20% | -22.55% |
| % of Windows Positive | 62.8% | 61.4% | 60.0% | 63.5% | 49.2% | 63.2% |
| Regime | Period | EMRG.L | HMEF.L | IEEM.L | VFEM.L | DGSE.L | DEM.L |
| Secular stagnation / QE / low inflation / duration bull partial | 2017-01-01 – 2020-02-19 | +27.56% | +26.88% | +24.84% | +25.48% | +18.05% | +21.04% |
| Secular stagnation / QE / low inflation / duration bull partial | 2017-01-01 – 2020-02-19 | +19.87% | +19.23% | +17.31% | +17.92% | +10.93% | +13.75% |
| Pandemic shock / liquidity crash | 2020-02-20 – 2020-03-23 | -21.67% | -21.78% | -21.39% | -21.65% | -26.11% | -23.79% |
| Pandemic shock / liquidity crash | 2020-02-20 – 2020-03-23 | -21.31% | -21.42% | -21.03% | -21.30% | -25.78% | -23.44% |
| Policy bazooka / monetary euphoria partial | 2020-03-24 – 2020-10-30 | +24.01% | +24.05% | +24.34% | +23.31% | +22.77% | +4.22% |
| Policy bazooka / monetary euphoria partial | 2020-03-24 – 2020-10-30 | +22.94% | +22.99% | +23.26% | +22.25% | +21.72% | +3.32% |
| Metric | EMRG.L | HMEF.L | IEEM.L | VFEM.L | DGSE.L | DEM.L |
| Max Drawdown | -18.38% | -18.60% | -18.84% | -18.16% | -28.18% | -23.87% |
| Drawdown Duration | 492 days | 494 days | 494 days | 481 days | 671 days (unrec.) | 671 days (unrec.) |
| Sortino Ratio | 0.75 | 0.74 | 0.70 | 0.72 | 0.50 | 0.56 |
| Calmar Ratio | 0.50 | 0.48 | 0.45 | 0.47 | 0.30 | 0.39 |
| CVaR (5%) | -2.50% | -2.45% | -2.46% | -2.45% | -2.81% | -2.84% |
| Metric | EMRG.L | HMEF.L | IEEM.L | VFEM.L | DGSE.L | DEM.L |
| Max Drawdown | -21.70% | -21.85% | -22.34% | -22.51% | -26.16% | -25.06% |
| Drawdown Duration | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) | 22 days (unrec.) |
| Sortino Ratio | -5.10 | -5.29 | -4.71 | -4.87 | -6.47 | -5.55 |
| Calmar Ratio | -12.08 | -12.11 | -11.42 | -11.55 | -12.65 | -11.71 |
| CVaR (5%) | -8.19% | -7.87% | -8.77% | -8.80% | -7.81% | -8.46% |
| Metric | EMRG.L | HMEF.L | IEEM.L | VFEM.L | DGSE.L | DEM.L |
| Max Drawdown | -7.30% | -7.37% | -7.47% | -7.05% | -8.10% | -10.67% |
| Drawdown Duration | 8 days | 8 days | 8 days | 10 days | 8 days | 83 days (unrec.) |
| Sortino Ratio | 2.41 | 2.43 | 2.49 | 2.46 | 2.46 | 0.58 |
| Calmar Ratio | 5.20 | 5.15 | 5.12 | 5.22 | 4.46 | 0.85 |
| CVaR (5%) | -3.05% | -3.07% | -3.02% | -2.92% | -2.88% | -3.01% |
- Total Returns
- Each ticker's series is computed by reinvesting dividends (after tax and transaction costs) back into shares at the ex-dividend close price, starting from the initial investment amount.
- Date Alignment
- Tickers are grouped by currency. Within each group, the comparison uses the overlapping date range — from the latest start date to the earliest end date — so every ticker covers the same period. Tickers without data at the chosen start date, or whose data ends earlier than others, are excluded.
- Rebasing
- All series are rebased to the same initial investment value at the common start date, allowing a direct visual comparison of growth regardless of actual share prices.
- Inflation Adjustment
- The real (inflation-adjusted) chart deflates each series using US CPI-U for USD tickers or EU HICP for EUR tickers, showing purchasing-power returns.
- Tax & Costs
- The tax rate is applied to gross dividends before reinvestment. The transaction cost is deducted from the after-tax dividend amount before buying new shares. Both affect the compounding of reinvested dividends over time.
- Risk Metrics
- Max Drawdown measures the largest peak-to-trough decline. Sortino Ratio is annualized return divided by downside deviation (penalizes only negative volatility). Calmar Ratio is annualized return divided by max drawdown. CVaR (5%) is the average of the worst 5% of daily returns.