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EEMX vs. ESGE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EEMX and ESGE is 0.88, 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.


-0.50.00.51.00.9

Performance

EEMX vs. ESGE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI Emerging Markets Fossil Fuel Free ETF (EEMX) and iShares ESG Aware MSCI EM ETF (ESGE). The values are adjusted to include any dividend payments, if applicable.

30.00%35.00%40.00%45.00%50.00%55.00%JulyAugustSeptemberOctoberNovemberDecember
40.05%
39.85%
EEMX
ESGE

Key characteristics

Sharpe Ratio

EEMX:

0.76

ESGE:

0.75

Sortino Ratio

EEMX:

1.16

ESGE:

1.15

Omega Ratio

EEMX:

1.14

ESGE:

1.14

Calmar Ratio

EEMX:

0.41

ESGE:

0.38

Martin Ratio

EEMX:

3.04

ESGE:

3.01

Ulcer Index

EEMX:

4.03%

ESGE:

3.99%

Daily Std Dev

EEMX:

16.14%

ESGE:

15.89%

Max Drawdown

EEMX:

-39.91%

ESGE:

-41.07%

Current Drawdown

EEMX:

-18.58%

ESGE:

-20.85%

Returns By Period

The year-to-date returns for both stocks are quite close, with EEMX having a 8.14% return and ESGE slightly lower at 7.80%.


EEMX

YTD

8.14%

1M

-1.12%

6M

1.85%

1Y

10.06%

5Y*

1.99%

10Y*

N/A

ESGE

YTD

7.80%

1M

-0.81%

6M

2.33%

1Y

9.89%

5Y*

1.22%

10Y*

N/A

Compare stocks, funds, or ETFs

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


EEMX vs. ESGE - Expense Ratio Comparison

EEMX has a 0.30% expense ratio, which is higher than ESGE's 0.25% expense ratio.


EEMX
SPDR MSCI Emerging Markets Fossil Fuel Free ETF
Expense ratio chart for EEMX: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for ESGE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

EEMX vs. ESGE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI Emerging Markets Fossil Fuel Free ETF (EEMX) and iShares ESG Aware MSCI EM ETF (ESGE). 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 EEMX, currently valued at 0.76, compared to the broader market0.002.004.000.760.75
The chart of Sortino ratio for EEMX, currently valued at 1.16, compared to the broader market-2.000.002.004.006.008.0010.001.161.15
The chart of Omega ratio for EEMX, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.14
The chart of Calmar ratio for EEMX, currently valued at 0.41, compared to the broader market0.005.0010.0015.000.410.38
The chart of Martin ratio for EEMX, currently valued at 3.04, compared to the broader market0.0020.0040.0060.0080.00100.003.043.01
EEMX
ESGE

The current EEMX Sharpe Ratio is 0.76, which is comparable to the ESGE Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of EEMX and ESGE, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.76
0.75
EEMX
ESGE

Dividends

EEMX vs. ESGE - Dividend Comparison

EEMX's dividend yield for the trailing twelve months is around 2.24%, less than ESGE's 2.31% yield.


TTM20232022202120202019201820172016
EEMX
SPDR MSCI Emerging Markets Fossil Fuel Free ETF
2.24%2.20%2.38%1.72%1.42%2.57%2.41%2.45%0.15%
ESGE
iShares ESG Aware MSCI EM ETF
2.31%2.65%2.68%2.66%1.31%2.59%2.18%1.86%0.27%

Drawdowns

EEMX vs. ESGE - Drawdown Comparison

The maximum EEMX drawdown since its inception was -39.91%, roughly equal to the maximum ESGE drawdown of -41.07%. Use the drawdown chart below to compare losses from any high point for EEMX and ESGE. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-18.58%
-20.85%
EEMX
ESGE

Volatility

EEMX vs. ESGE - Volatility Comparison

SPDR MSCI Emerging Markets Fossil Fuel Free ETF (EEMX) and iShares ESG Aware MSCI EM ETF (ESGE) have volatilities of 3.69% and 3.86%, 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%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.69%
3.86%
EEMX
ESGE
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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.

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