Morgan Stanley ETF Trust

10-Year Study

EVIM.US · · US · ETF

Executive Summary: Morgan Stanley ETF Trust has compounded at -22.3% annually over the last 10 years, with a maximum drawdown of 89.5% and an annualized volatility of 144.3%.

1Y CAGR
+6.9%
3Y CAGR
-48.6%
5Y CAGR
-22.3%
10Y CAGR
-22.3%

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 →
89.5%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.08
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.05
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
49.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · +75.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · -84.4%
% 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.
20261.01.1-2.80.8————————0.1%
20250.51.4-1.8-0.40.00.9-0.31.12.41.40.20.45.9%
20240.1-0.0-0.0-1.10.11.11.20.11.4-1.31.8-1.52.0%
20232.9-5.6-0.712.28.53.22.43.38.2-89.54.32.5-84.4%
202221.36.412.9-8.4-18.613.7-1.811.7-1.04.821.42.875.2%
2021———————————11.111.1%

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 144.3%. The dominant macroeconomic risk driver is SHV.US, accounting for 28.9% of variance. Idiosyncratic stock-specific factors contribute 27.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-11-0110000
2021-12-0111112.828339795426
2022-01-0113477.589033569231
2022-02-0114343.121348150516
2022-03-0116197.836820171315
2022-04-0114837.712455161747
2022-05-0112071.096663832013
2022-06-0113724.88411536632
2022-07-0113477.589033569231
2022-08-0115054.095533807069
2022-09-0114899.53646146528
2022-10-0115610.50970370478
2022-11-0118948.99566650811
2022-12-0119474.497833254056
2023-01-0120030.912003151767
2023-02-0118918.08366335634
2023-03-0118794.437537583377
2023-04-0121081.91633664366
2023-05-0122875.40875902355
2023-06-0123617.313816172922
2023-07-0124173.74308074348
2023-08-0124977.47214419639
2023-09-0127017.7115230657
2023-10-012837.6292412492876
2023-11-012958.242874418171
2023-12-013031.1625581168487
2024-01-013035.688351610781
2024-02-013035.4348577128962
2024-03-013035.0762565890604
2024-04-013002.629037659888
2024-05-013006.5860155780797
2024-06-013040.300703996673
2024-07-013077.230436973797
2024-08-013081.4841882358533
2024-09-013123.285950274751
2024-10-013083.0484310691386
2024-11-013137.314673550341
2024-12-013091.33953636335
2025-01-013106.30804189451
2025-02-013150.1192067824895
2025-03-013092.186576948963
2025-04-013079.5922581687178
2025-05-013080.3403743063764
2025-06-013107.6064252739166
2025-07-013098.8268805179287
2025-08-013132.121140032714
2025-09-013207.198613252406
2025-10-013251.850635948001
2025-11-013259.5110978865005
2025-12-013272.2352550046858
2026-01-013305.3131172895705
2026-02-013342.4097852726186
2026-03-013248.740698615422
2026-04-013275.277181779296
Annual Return Matrix
YearAnnual Return
20220.7524339653043322
2023-0.8443522095372888
20240.019852771698224858
20250.05851693627098031
20260.0009296173830894983
Total Factor Risk
1.443048989943716
VTI.US Exposure
0.1677013065925329
VEA.US Exposure
0.05792432790433205
VWO.US Exposure
-0.008756340944437977
QQQ.US Exposure
-0.0027816833175643768
VTV.US Exposure
-0.0024176826932633838
IJR.US Exposure
-0.0034672432251321027
QUAL.US Exposure
0.07652636545284827
SHV.US Exposure
0.28936992043113735
TLT.US Exposure
0.07533577946199484
LQD.US Exposure
-0.002211591850702648
HYG.US Exposure
-0.0014332718334574286
GLD.US Exposure
0.03874984833122911
USO.US Exposure
0.00023786911476650696
VNQ.US Exposure
-0.0011918677326456287
BTC-USD.CC Exposure
0.013680790562125164
CPER.US Exposure
0.01171571249263223
VIX.INDX Exposure
-0.004913182795228179
UUP.US Exposure
0.006431224220437138
TIP.US Exposure
0.012431409724727222
Idiosyncratic Exposure
0.27706831010366895
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
144.3%

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
$18
Avg Yield on Cost
0.18%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$18.420.18%Solid

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 →
-13.0%
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 →
-10.1%
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 →
88.0% 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 →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Morgan Stanley ETF Trust a high-risk investment?

Morgan Stanley ETF Trust (EVIM.US) has an annualized volatility of 144.3% and experienced a maximum drawdown of 89.5% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, EVIM.US has generated a Compound Annual Growth Rate (CAGR) of -22.3%. 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.

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