Morgan Stanley ETF Trust

10-Year Study

EVSM.US · · US · ETF

Executive Summary: Morgan Stanley ETF Trust has compounded at 3.4% annually over the last 10 years, with a maximum drawdown of 1.1% and an annualized volatility of 5.5%.

1Y CAGR
+3.6%
3Y CAGR
+3.4%
5Y CAGR
+3.4%
10Y CAGR
+3.4%

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 →
1.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.69
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.83
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
1.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +4.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 0.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.60.4-1.10.3————————0.2%
20250.50.6-0.3-0.10.40.80.50.70.50.00.20.44.2%
2024———-0.20.20.50.90.70.5-0.30.5-0.12.7%

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 5.5%. The dominant macroeconomic risk driver is SHV.US, accounting for 75.5% of variance. Idiosyncratic stock-specific factors contribute 0.6%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2024-03-0110000
2024-04-019976.08648897274
2024-05-019993.015466057934
2024-06-0110039.56482946451
2024-07-0110134.51616131718
2024-08-0110210.40908500476
2024-09-0110260.25906658518
2024-10-0110228.658309359489
2024-11-0110281.681143248958
2024-12-0110267.009363108456
2025-01-0110315.36874293295
2025-02-0110378.932260667916
2025-03-0110346.905617226244
2025-04-0110336.450110623944
2025-05-0110382.42452763895
2025-06-0110464.15209248545
2025-07-0110514.555726146644
2025-08-0110586.083316120432
2025-09-0110634.889876471703
2025-10-0110637.722019807967
2025-11-0110664.020493644712
2025-12-0110702.116015664094
2026-01-0110768.532971046125
2026-02-0110807.927446024245
2026-03-0110687.614590009985
2026-04-0110723.81491836826
Annual Return Matrix
YearAnnual Return
20250.042379103511784866
20260.0020275338701623014
Total Factor Risk
0.05523592858912796
VTI.US Exposure
0.06984062891154481
VEA.US Exposure
0.022511880552753757
VWO.US Exposure
0.018604459205881115
QQQ.US Exposure
-0.023012674372283812
VTV.US Exposure
0.013171839355621362
IJR.US Exposure
0.002745535789522191
QUAL.US Exposure
-0.028788594073071234
SHV.US Exposure
0.7549796372896028
TLT.US Exposure
0.12661541864602208
LQD.US Exposure
-0.02375394291096116
HYG.US Exposure
0.1004032224430186
GLD.US Exposure
-0.0026892984623454377
USO.US Exposure
0.0007602347989693734
VNQ.US Exposure
-0.02364284697908185
BTC-USD.CC Exposure
0.0006370480034533042
CPER.US Exposure
-0.0021455340985015183
VIX.INDX Exposure
-0.006452466187821421
UUP.US Exposure
-0.0030057937825032134
TIP.US Exposure
-0.0025256746211523655
Idiosyncratic Exposure
0.005746920491332758
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
36.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
5.5%

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 →3.01%
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
$51
Avg Yield on Cost
0.51%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$51.490.51%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 →
-0.3%
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 →
+0.6%
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 →
0.9% 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 →
0.22
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Morgan Stanley ETF Trust a high-risk investment?

Morgan Stanley ETF Trust (EVSM.US) has an annualized volatility of 5.5% and experienced a maximum drawdown of 1.1% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, EVSM.US has generated a Compound Annual Growth Rate (CAGR) of 3.4%. It has had a positive return in 100% 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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