EAEMX vs. EITEX
EAEMX (Parametric Emerging Markets Fund) and EITEX (Parametric Tax-Managed Emerging Markets Fund) are both Emerging Markets Diversified funds. Over the past 10 years, EAEMX returned 7.36%/yr vs 7.81%/yr for EITEX. With a 1.00 correlation, they move nearly in lockstep. EAEMX charges 1.58%/yr vs 0.96%/yr for EITEX.
Performance
EAEMX vs. EITEX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with EAEMX having a 11.85% return and EITEX slightly higher at 12.00%. Over the past 10 years, EAEMX has underperformed EITEX with an annualized return of 7.36%, while EITEX has yielded a comparatively higher 7.81% annualized return.
EAEMX
- 1D
- -0.36%
- 1M
- 2.11%
- YTD
- 11.85%
- 6M
- 11.91%
- 1Y
- 30.31%
- 3Y*
- 16.22%
- 5Y*
- 6.91%
- 10Y*
- 7.36%
EITEX
- 1D
- -0.27%
- 1M
- 2.26%
- YTD
- 12.00%
- 6M
- 11.99%
- 1Y
- 31.43%
- 3Y*
- 16.73%
- 5Y*
- 7.03%
- 10Y*
- 7.81%
EAEMX vs. EITEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EAEMX Parametric Emerging Markets Fund | 11.85% | 27.16% | 5.39% | 9.46% | -11.27% | 4.19% | 2.65% | 12.32% | -14.02% | 27.03% |
EITEX Parametric Tax-Managed Emerging Markets Fund | 12.00% | 28.58% | 4.67% | 10.69% | -12.11% | 4.47% | 4.51% | 12.51% | -13.20% | 27.10% |
Correlation
The correlation between EAEMX and EITEX is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.99 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.99 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.99 |
Correlation (10Y) Calculated over the trailing 10-year period | 1.00 |
Correlation (All Time) Calculated using the full available price history since Jun 30, 2006 | 1.00 |
The correlation between EAEMX and EITEX has been stable across timeframes, ranging from 0.99 to 1.00 - a consistent structural relationship.
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Return for Risk
EAEMX vs. EITEX — Risk / Return Rank
EAEMX
EITEX
EAEMX vs. EITEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Emerging Markets Fund (EAEMX) and Parametric Tax-Managed Emerging Markets Fund (EITEX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EAEMX | EITEX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.03 | ||
| Sortino ratioReturn per unit of downside risk | -0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 1.50 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 3.09 | 3.21 | -0.12 |
| Martin ratioReturn relative to average drawdown | 11.13 | 11.55 | -0.42 |
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Drawdowns
EAEMX vs. EITEX - Drawdown Comparison
The maximum EAEMX drawdown since its inception was -62.70%, roughly equal to the maximum EITEX drawdown of -61.70%. Use the drawdown chart below to compare losses from any high point for EAEMX and EITEX.
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Drawdown Indicators
| EAEMX | EITEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.70% | -61.70% | -1.00% |
Max Drawdown (1Y)Largest decline over 1 year | -9.90% | -9.88% | -0.02% |
Max Drawdown (3Y)Largest decline over 3 years | -11.74% | -11.86% | +0.12% |
Max Drawdown (5Y)Largest decline over 5 years | -24.73% | -25.58% | +0.85% |
Max Drawdown (10Y)Largest decline over 10 years | -44.16% | -43.10% | -1.06% |
Current DrawdownCurrent decline from peak | -1.23% | -1.07% | -0.16% |
Average DrawdownAverage peak-to-trough decline | -13.45% | -13.91% | +0.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.74% | 2.74% | 0.00% |
Volatility
EAEMX vs. EITEX - Volatility Comparison
Parametric Emerging Markets Fund (EAEMX) and Parametric Tax-Managed Emerging Markets Fund (EITEX) have volatilities of 5.07% and 5.32%, 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.
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Volatility by Period
| EAEMX | EITEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.07% | 5.32% | -0.25% |
Volatility (6M)Calculated over the trailing 6-month period | 10.82% | 11.06% | -0.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.34% | 12.63% | -0.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.76% | 12.42% | -0.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.46% | 13.78% | -0.32% |
EAEMX vs. EITEX - Expense Ratio Comparison
EAEMX has a 1.58% expense ratio, which is higher than EITEX's 0.96% expense ratio.
Dividends
EAEMX vs. EITEX - Dividend Comparison
EAEMX's dividend yield for the trailing twelve months is around 2.53%, less than EITEX's 4.26% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EAEMX Parametric Emerging Markets Fund | 2.53% | 2.83% | 3.00% | 2.71% | 4.40% | 1.64% | 1.08% | 2.48% | 2.14% | 2.31% | 1.52% | 1.68% |
EITEX Parametric Tax-Managed Emerging Markets Fund | 4.26% | 4.77% | 4.58% | 5.85% | 10.39% | 9.72% | 1.79% | 2.63% | 2.26% | 1.80% | 1.67% | 2.11% |
Frequently Asked Questions
With a correlation of 0.99, EAEMX and EITEX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
EITEX has higher volatility (5.32%) compared to EAEMX (5.07%). In terms of maximum drawdown, EAEMX dropped -62.70% vs EITEX's -61.70%.
EITEX currently has the higher Sharpe Ratio (2.52 vs 2.49), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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