EITEX vs. SAEMX

Last updated Jun 4, 2026

EITEX (Parametric Tax-Managed Emerging Markets Fund) and SAEMX (SA Emerging Markets Value Fund) are both Emerging Markets Diversified funds. Over the past 10 years, EITEX returned 7.71%/yr vs 10.62%/yr for SAEMX. Their correlation of 0.81 suggests significant overlap in exposure. EITEX charges 0.96%/yr vs 1.24%/yr for SAEMX.

Performance

EITEX vs. SAEMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Tax-Managed Emerging Markets Fund (EITEX) and SA Emerging Markets Value Fund (SAEMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EITEX achieves a 13.22% return, which is significantly lower than SAEMX's 28.08% return. Over the past 10 years, EITEX has underperformed SAEMX with an annualized return of 7.71%, while SAEMX has yielded a comparatively higher 10.62% annualized return.

EITEX

• 1D: 0.79%
• 1M: 3.38%
• YTD: 13.22%
• 6M: 14.37%
• 1Y: 32.85%
• 3Y*: 17.44%
• 5Y*: 7.08%
• 10Y*: 7.71%

SAEMX

• 1D: 0.57%
• 1M: 10.10%
• YTD: 28.08%
• 6M: 31.12%
• 1Y: 52.75%
• 3Y*: 24.07%
• 5Y*: 11.03%
• 10Y*: 10.62%

*Multi-year figures are annualized to reflect compound growth (CAGR)

EITEX vs. SAEMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EITEX Parametric Tax-Managed Emerging Markets Fund	13.22%	28.58%	4.67%	10.69%	-12.11%	4.47%	4.51%	12.51%	-13.20%	27.10%
SAEMX SA Emerging Markets Value Fund	28.08%	29.21%	5.47%	15.72%	-11.61%	10.51%	0.88%	8.05%	-12.11%	31.24%

Correlation

The correlation between EITEX and SAEMX is 0.54, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.54
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.67
Correlation (10Y) Calculated over the trailing 10-year period	0.75
Correlation (All Time) Calculated using the full available price history since Jan 3, 2008	0.81

Over the past year, the correlation between EITEX and SAEMX has dropped to 0.54 - well below their long-term average of 0.81, suggesting their price drivers have been diverging.

Return for Risk

EITEX vs. SAEMX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EITEX

EITEX Risk / Return Rank: 78
EITEX Sharpe Ratio Rank: 87
EITEX Sortino Ratio Rank: 81
EITEX Omega Ratio Rank: 84
EITEX Calmar Ratio Rank: 75
EITEX Martin Ratio Rank: 63

SAEMX

SAEMX Risk / Return Rank: 93
SAEMX Sharpe Ratio Rank: 97
SAEMX Sortino Ratio Rank: 93
SAEMX Omega Ratio Rank: 92
SAEMX Calmar Ratio Rank: 92
SAEMX Martin Ratio Rank: 90

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EITEX vs. SAEMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Tax-Managed Emerging Markets Fund (EITEX) and SA Emerging Markets Value Fund (SAEMX). 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.

	EITEX	SAEMX	Difference
Sharpe ratio: Return per unit of total volatility	2.83	3.78	-0.94
Sortino ratio: Return per unit of downside risk	3.81	4.70	-0.88
Omega ratio: Gain probability vs. loss probability	1.57	1.69	-0.13
Calmar ratio: Return relative to maximum drawdown	3.38	4.95	-1.57
Martin ratio: Return relative to average drawdown	12.45	18.35	-5.90
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EITEX vs. SAEMX - Sharpe Ratio Comparison

The current EITEX Sharpe Ratio is 2.83, which is comparable to the SAEMX Sharpe Ratio of 3.78. The chart below compares the historical Sharpe Ratios of EITEX and SAEMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	EITEX	SAEMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.83	3.78	-0.94
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.58	0.76	-0.18
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.56	0.69	-0.13
Sharpe Ratio (All Time) Calculated using the full available price history	0.54	0.22	+0.32

Drawdowns

EITEX vs. SAEMX - Drawdown Comparison

The maximum EITEX drawdown since its inception was -61.70%, roughly equal to the maximum SAEMX drawdown of -63.08%. Use the drawdown chart below to compare losses from any high point for EITEX and SAEMX.

Drawdown Indicators

	EITEX	SAEMX	Difference
Max Drawdown Largest peak-to-trough decline	-61.70%	-63.08%	+1.38%
Max Drawdown (1Y) Largest decline over 1 year	-9.88%	-12.22%	+2.34%
Max Drawdown (3Y) Largest decline over 3 years	-11.86%	-17.80%	+5.94%
Max Drawdown (5Y) Largest decline over 5 years	-25.99%	-25.85%	-0.14%
Max Drawdown (10Y) Largest decline over 10 years	-43.10%	-49.23%	+6.13%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-13.93%	-17.22%	+3.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.68%	3.14%	-0.46%

Volatility

EITEX vs. SAEMX - Volatility Comparison

The current volatility for Parametric Tax-Managed Emerging Markets Fund (EITEX) is 4.25%, while SA Emerging Markets Value Fund (SAEMX) has a volatility of 5.60%. This indicates that EITEX experiences smaller price fluctuations and is considered to be less risky than SAEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EITEX	SAEMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.25%	5.60%	-1.35%
Volatility (6M) Calculated over the trailing 6-month period	10.03%	13.35%	-3.32%
Volatility (1Y) Calculated over the trailing 1-year period	11.80%	16.11%	-4.31%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.26%	14.93%	-2.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.75%	15.54%	-1.79%

EITEX vs. SAEMX - Expense Ratio Comparison

EITEX has a 0.96% expense ratio, which is lower than SAEMX's 1.24% expense ratio.

Dividends

EITEX vs. SAEMX - Dividend Comparison

EITEX's dividend yield for the trailing twelve months is around 4.22%, more than SAEMX's 2.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EITEX Parametric Tax-Managed Emerging Markets Fund	4.22%	4.77%	4.58%	5.85%	10.39%	9.72%	1.79%	2.63%	2.26%	1.80%	1.67%	2.11%
SAEMX SA Emerging Markets Value Fund	2.68%	3.43%	4.37%	4.07%	3.54%	2.86%	1.76%	2.18%	1.78%	1.28%	1.23%	1.25%

Frequently Asked Questions

Can I hold both EITEX and SAEMX in my portfolio?

EITEX and SAEMX have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EITEX or SAEMX?

SAEMX has higher volatility (5.60%) compared to EITEX (4.25%). In terms of maximum drawdown, EITEX dropped -61.70% vs SAEMX's -63.08%.

Which has better risk-adjusted returns?

SAEMX currently has the higher Sharpe Ratio (3.78 vs 2.83), 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.