EELV vs. JPEM
Compare and contrast key facts about Invesco S&P Emerging Markets Low Volatility ETF (EELV) and J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM).
EELV and JPEM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EELV is a passively managed fund by Invesco that tracks the performance of the S&P BMI Emerging Markets Low Volatility Index. It was launched on Jan 13, 2012. JPEM is a passively managed fund by JPMorgan Chase that tracks the performance of the JPMorgan Diversified Factor Emerging Markets Equity Index. It was launched on Jan 7, 2015. Both EELV and JPEM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EELV or JPEM.
Key characteristics
| EELV | JPEM | |
|---|---|---|
| YTD Return | 4.92% | 5.44% |
| 1Y Return | 10.19% | 11.07% |
| 3Y Return (Ann) | 2.95% | 1.84% |
| 5Y Return (Ann) | 4.84% | 3.99% |
| Sharpe Ratio | 1.17 | 1.09 |
| Sortino Ratio | 1.71 | 1.57 |
| Omega Ratio | 1.21 | 1.20 |
| Calmar Ratio | 1.81 | 1.66 |
| Martin Ratio | 5.59 | 4.99 |
| Ulcer Index | 2.27% | 2.67% |
| Daily Std Dev | 10.87% | 12.25% |
| Max Drawdown | -36.35% | -40.22% |
| Current Drawdown | -6.99% | -7.49% |
Correlation
The correlation between EELV and JPEM is 0.83, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
EELV vs. JPEM - Performance Comparison
In the year-to-date period, EELV achieves a 4.92% return, which is significantly lower than JPEM's 5.44% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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EELV vs. JPEM - Expense Ratio Comparison
EELV has a 0.30% expense ratio, which is lower than JPEM's 0.44% expense ratio.
Risk-Adjusted Performance
EELV vs. JPEM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Emerging Markets Low Volatility ETF (EELV) and J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM). 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.
Dividends
EELV vs. JPEM - Dividend Comparison
EELV's dividend yield for the trailing twelve months is around 4.30%, less than JPEM's 4.46% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EELV Invesco S&P Emerging Markets Low Volatility ETF | 4.30% | 4.00% | 3.46% | 4.34% | 2.82% | 3.14% | 5.50% | 2.91% | 2.30% | 2.53% | 3.25% | 2.10% |
JPEM J.P. Morgan Diversified Return Emerging Markets Equity ETF | 4.46% | 4.46% | 4.71% | 4.40% | 2.85% | 3.47% | 2.79% | 2.14% | 1.28% | 3.22% | 0.00% | 0.00% |
Drawdowns
EELV vs. JPEM - Drawdown Comparison
The maximum EELV drawdown since its inception was -36.35%, smaller than the maximum JPEM drawdown of -40.22%. Use the drawdown chart below to compare losses from any high point for EELV and JPEM. For additional features, visit the drawdowns tool.
Volatility
EELV vs. JPEM - Volatility Comparison
The current volatility for Invesco S&P Emerging Markets Low Volatility ETF (EELV) is 3.11%, while J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) has a volatility of 3.64%. This indicates that EELV experiences smaller price fluctuations and is considered to be less risky than JPEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.