iShares MSCI Emerging Markets Multifactor ETF

10-Year Study

EMGF.US · · US · ETF

Executive Summary: iShares MSCI Emerging Markets Multifactor ETF has compounded at 10.2% annually over the last 10 years, with a maximum drawdown of 31.2% and an annualized volatility of 14.2%.

1Y CAGR
+42.8%
3Y CAGR
+23.7%
5Y CAGR
+8.2%
10Y CAGR
+10.2%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
31.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.41
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.63
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +42.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -19.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20268.16.3-9.210.2————————15.1%
20251.40.02.0-0.15.66.90.72.05.73.8-2.12.031.4%
2024-2.74.52.20.62.72.30.50.65.5-3.5-1.7-1.99.1%
20235.9-7.02.7-1.3-1.74.35.9-5.4-1.8-3.07.95.210.9%
2022-0.6-1.8-3.0-4.71.1-7.10.6-0.2-10.8-1.013.9-2.4-16.6%
20213.20.91.72.61.80.3-3.92.6-3.4-0.3-1.93.26.6%
2020-6.6-4.2-15.78.62.14.510.41.9-0.9-0.35.87.310.3%
201911.4-1.30.41.1-7.26.3-1.4-3.11.54.5-0.38.821.0%
20186.4-3.10.5-3.50.4-6.40.7-3.9-3.3-8.44.9-5.0-19.7%
20177.43.42.61.62.61.66.62.00.91.91.63.842.4%
2016———1.0-3.53.87.3-1.33.1-1.6-4.2-1.03.1%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 14.2%. The dominant macroeconomic risk driver is VWO.US, accounting for 67.7% of variance. Idiosyncratic stock-specific factors contribute 4.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110102.483338775039
2016-05-019743.945301246471
2016-06-0110116.542147617492
2016-07-0110850.557934968405
2016-08-0110704.89945646955
2016-09-0111036.203353371619
2016-10-0110864.847216086966
2016-11-0110410.70159602051
2016-12-0110306.989071772907
2017-01-0111071.004667063591
2017-02-0111448.67190350894
2017-03-0111744.982426488947
2017-04-0111936.696948162944
2017-05-0112244.646321086293
2017-06-0112441.508056926654
2017-07-0113268.788292008376
2017-08-0113540.668753721167
2017-09-0113663.433652793517
2017-10-0113917.75980947625
2017-11-0114137.01576814489
2017-12-0114674.169819655443
2018-01-0115620.220101023682
2018-02-0115134.807075498877
2018-03-0115210.939750705824
2018-04-0114680.123686788178
2018-05-0114732.018360957996
2018-06-0113790.539113065859
2018-07-0113886.069871511705
2018-08-0113347.148865884341
2018-09-0112906.79317033822
2018-10-0111817.043424818023
2018-11-0112399.216394261239
2018-12-0111782.05005089596
2019-01-0113129.69827337853
2019-02-0112953.27174601955
2019-03-0113004.974359959282
2019-04-0113147.75193500682
2019-05-0112195.786198551865
2019-06-0112963.02840570803
2019-07-0112787.677415637543
2019-08-0112387.769604547984
2019-09-0112575.412449344114
2019-10-0113141.452359459927
2019-11-0113098.392455874162
2019-12-0114251.714137553538
2020-01-0113309.927593293256
2020-02-0112753.02975012964
2020-03-0110747.460003457083
2020-04-0111676.724220715616
2020-05-0111920.755949065628
2020-06-0112454.184032112473
2020-07-0113744.175773522578
2020-08-0114000.268884322124
2020-09-0113873.816428832082
2020-10-0113835.86532736666
2020-11-0114642.13417327674
2020-12-0115714.598498089
2021-01-0116219.947375496955
2021-02-0116364.146196247142
2021-03-0116642.172585322758
2021-04-0117074.000806652966
2021-05-0117387.443102156838
2021-06-0117440.336489523113
2021-07-0116753.452282635833
2021-08-0117190.888662684618
2021-09-0116608.293160735207
2021-10-0116556.82101907158
2021-11-0116242.994603107534
2021-12-0116759.21408953848
2022-01-0116660.879251733342
2022-02-0116359.306278448921
2022-03-0115861.102041600247
2022-04-0115120.32573415023
2022-05-0115284.191522461446
2022-06-0114206.42633529875
2022-07-0114289.165882420726
2022-08-0114256.093110799546
2022-09-0112720.264274876601
2022-10-0112591.161388211345
2022-11-0114335.529221964007
2022-12-0113985.441834559319
2023-01-0114806.72979046229
2023-02-0113770.756909366777
2023-03-0114149.038738548408
2023-04-0113971.805558223059
2023-05-0113729.848080358
2023-06-0114314.056888240151
2023-07-0115165.152591852806
2023-08-0114338.71742178347
2023-09-0114083.891908502506
2023-10-0113656.90360497052
2023-11-0114731.250120037645
2023-12-0115504.177310004417
2024-01-0115084.564119307815
2024-02-0115764.610982003955
2024-03-0116111.894290049358
2024-04-0116209.576123072193
2024-05-0116643.632243071428
2024-06-0117024.410855244205
2024-07-0117111.951908118386
2024-08-0117210.44039410759
2024-09-0118162.521366700596
2024-10-0117527.80071830526
2024-11-0117228.686115965967
2024-12-0116909.55883765149
2025-01-0117142.4894847024
2025-02-0117149.97983367584
2025-03-0117490.195325253997
2025-04-0117471.52707088943
2025-05-0118446.655271093015
2025-06-0119710.373173027063
2025-07-0119850.423492807342
2025-08-0120255.478518063264
2025-09-0121417.55814623466
2025-10-0122238.9997503217
2025-11-0121777.171721051724
2025-12-0122221.36862119961
2026-01-0124030.575988630037
2026-02-0125551.693010928226
2026-03-0123212.39940845449
2026-04-0125570.89903393704
Annual Return Matrix
YearAnnual Return
20170.42371062174138263
2018-0.19708915763572588
20190.20961242534101898
20200.10264620426821036
20210.06647421450675361
2022-0.16550729886019055
20230.10859402894888626
20240.09064534670538227
20250.3141305952773077
20260.15073465859982704
Total Factor Risk
0.14220282549195384
VTI.US Exposure
-0.12850951168145322
VEA.US Exposure
0.2361705641351794
VWO.US Exposure
0.6765131307488574
QQQ.US Exposure
0.10011203036408486
VTV.US Exposure
0.13825929224760547
IJR.US Exposure
-0.044075047992821435
QUAL.US Exposure
-0.07728067119278995
SHV.US Exposure
0.029241514521632775
TLT.US Exposure
0.005501925210132363
LQD.US Exposure
-0.014212067296890106
HYG.US Exposure
0.02253030608309333
GLD.US Exposure
0.012901583139321823
USO.US Exposure
-0.0022359799492864853
VNQ.US Exposure
0.014242507002405348
BTC-USD.CC Exposure
0.000983830738221953
CPER.US Exposure
0.0148005914601387
VIX.INDX Exposure
0.005189718572853602
UUP.US Exposure
-0.040994569581272226
TIP.US Exposure
0.005594955636445385
Idiosyncratic Exposure
0.045265897834540984
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.2%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.6%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+15.3%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.2% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.91
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares MSCI Emerging Markets Multifactor ETF a high-risk investment?

iShares MSCI Emerging Markets Multifactor ETF (EMGF.US) has an annualized volatility of 14.2% and experienced a maximum drawdown of 31.2% over the last 10 years. Its primary macro risk driver is VWO.US.

What is the 10-year return of EMGF.US?

Over the past 10 years, EMGF.US has generated a Compound Annual Growth Rate (CAGR) of 10.2%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

Run a Full Backtest on iShares MSCI Emerging Markets Multifactor ETF

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest