PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EEMS vs. DGRW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EEMS and DGRW is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

EEMS vs. DGRW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Emerging Markets Small-Cap ETF (EEMS) and WisdomTree U.S. Dividend Growth Fund (DGRW). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-2.30%
4.76%
EEMS
DGRW

Key characteristics

Sharpe Ratio

EEMS:

0.59

DGRW:

1.84

Sortino Ratio

EEMS:

0.86

DGRW:

2.58

Omega Ratio

EEMS:

1.11

DGRW:

1.34

Calmar Ratio

EEMS:

0.81

DGRW:

3.16

Martin Ratio

EEMS:

2.38

DGRW:

10.95

Ulcer Index

EEMS:

3.18%

DGRW:

1.81%

Daily Std Dev

EEMS:

12.71%

DGRW:

10.72%

Max Drawdown

EEMS:

-48.89%

DGRW:

-32.04%

Current Drawdown

EEMS:

-7.01%

DGRW:

-4.53%

Returns By Period

In the year-to-date period, EEMS achieves a 3.70% return, which is significantly lower than DGRW's 17.79% return. Over the past 10 years, EEMS has underperformed DGRW with an annualized return of 5.41%, while DGRW has yielded a comparatively higher 12.33% annualized return.


EEMS

YTD

3.70%

1M

0.45%

6M

-2.47%

1Y

5.73%

5Y*

8.21%

10Y*

5.41%

DGRW

YTD

17.79%

1M

-1.80%

6M

4.69%

1Y

18.81%

5Y*

13.15%

10Y*

12.33%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EEMS vs. DGRW - Expense Ratio Comparison

EEMS has a 0.69% expense ratio, which is higher than DGRW's 0.28% expense ratio.


EEMS
iShares MSCI Emerging Markets Small-Cap ETF
Expense ratio chart for EEMS: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for DGRW: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%

Risk-Adjusted Performance

EEMS vs. DGRW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Emerging Markets Small-Cap ETF (EEMS) and WisdomTree U.S. Dividend Growth Fund (DGRW). 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.


Sharpe ratio
The chart of Sharpe ratio for EEMS, currently valued at 0.59, compared to the broader market0.002.004.000.591.84
The chart of Sortino ratio for EEMS, currently valued at 0.86, compared to the broader market-2.000.002.004.006.008.0010.000.862.58
The chart of Omega ratio for EEMS, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.34
The chart of Calmar ratio for EEMS, currently valued at 0.81, compared to the broader market0.005.0010.0015.000.813.16
The chart of Martin ratio for EEMS, currently valued at 2.38, compared to the broader market0.0020.0040.0060.0080.00100.002.3810.95
EEMS
DGRW

The current EEMS Sharpe Ratio is 0.59, which is lower than the DGRW Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of EEMS and DGRW, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.59
1.84
EEMS
DGRW

Dividends

EEMS vs. DGRW - Dividend Comparison

EEMS's dividend yield for the trailing twelve months is around 2.58%, more than DGRW's 1.55% yield.


TTM20232022202120202019201820172016201520142013
EEMS
iShares MSCI Emerging Markets Small-Cap ETF
2.58%2.69%0.89%3.56%2.14%2.64%3.06%2.47%2.51%2.33%2.67%2.15%
DGRW
WisdomTree U.S. Dividend Growth Fund
1.29%1.74%2.15%1.78%1.91%2.20%2.42%1.73%2.13%2.18%1.79%1.06%

Drawdowns

EEMS vs. DGRW - Drawdown Comparison

The maximum EEMS drawdown since its inception was -48.89%, which is greater than DGRW's maximum drawdown of -32.04%. Use the drawdown chart below to compare losses from any high point for EEMS and DGRW. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.01%
-4.53%
EEMS
DGRW

Volatility

EEMS vs. DGRW - Volatility Comparison

iShares MSCI Emerging Markets Small-Cap ETF (EEMS) and WisdomTree U.S. Dividend Growth Fund (DGRW) have volatilities of 3.18% and 3.18%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.18%
3.18%
EEMS
DGRW
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab