ELFA.DE vs. CEMS.DE
ELFA.DE (Deka EURO STOXX 50 (thesaurierend) UCITS ETF) and CEMS.DE (iShares Edge MSCI Europe Value Factor UCITS ETF) are both Europe Equities funds - ELFA.DE tracks the EURO STOXX® 50 while CEMS.DE tracks the MSCI Europe Enhanced Value. Both are passively managed. Over the past 10 years, ELFA.DE returned 10.55%/yr vs 10.71%/yr for CEMS.DE. A 0.78 correlation means they provide meaningful diversification when combined. ELFA.DE charges 0.15%/yr vs 0.25%/yr for CEMS.DE.
Performance
ELFA.DE vs. CEMS.DE - Performance Comparison
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Returns By Period
In the year-to-date period, ELFA.DE achieves a 4.66% return, which is significantly lower than CEMS.DE's 13.72% return. Both investments have delivered pretty close results over the past 10 years, with ELFA.DE having a 10.55% annualized return and CEMS.DE not far ahead at 10.71%.
ELFA.DE
- 1D
- 0.96%
- 1M
- 3.30%
- YTD
- 4.66%
- 6M
- 6.14%
- 1Y
- 13.01%
- 3Y*
- 15.42%
- 5Y*
- 11.83%
- 10Y*
- 10.55%
CEMS.DE
- 1D
- 0.10%
- 1M
- 2.64%
- YTD
- 13.72%
- 6M
- 16.98%
- 1Y
- 32.08%
- 3Y*
- 21.63%
- 5Y*
- 14.47%
- 10Y*
- 10.71%
ELFA.DE vs. CEMS.DE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ELFA.DE Deka EURO STOXX 50 (thesaurierend) UCITS ETF | 4.66% | 22.03% | 13.92% | 23.28% | -10.08% | 26.68% | -3.88% | 29.78% | -11.88% | 10.02% |
CEMS.DE iShares Edge MSCI Europe Value Factor UCITS ETF | 13.72% | 35.97% | 9.93% | 13.90% | -4.54% | 26.62% | -8.86% | 23.48% | -14.04% | 10.16% |
Correlation
The correlation between ELFA.DE and CEMS.DE is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.84 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.83 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since May 20, 2015 | 0.78 |
The correlation between ELFA.DE and CEMS.DE has been stable across timeframes, ranging from 0.78 to 0.84 - a consistent structural relationship.
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Return for Risk
ELFA.DE vs. CEMS.DE — Risk / Return Rank
ELFA.DE
CEMS.DE
ELFA.DE vs. CEMS.DE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Deka EURO STOXX 50 (thesaurierend) UCITS ETF (ELFA.DE) and iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE). 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.
| ELFA.DE | CEMS.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.59 | ||
| Sortino ratioReturn per unit of downside risk | -1.97 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.43 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | 1.09 | 3.29 | -2.20 |
| Martin ratioReturn relative to average drawdown | 3.54 | 12.37 | -8.83 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ELFA.DE | CEMS.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.78 | 2.37 | -1.59 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.66 | 0.94 | -0.28 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.60 | 0.61 | -0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.45 | 0.49 | -0.04 |
Drawdowns
ELFA.DE vs. CEMS.DE - Drawdown Comparison
The maximum ELFA.DE drawdown since its inception was -38.14%, smaller than the maximum CEMS.DE drawdown of -40.20%. Use the drawdown chart below to compare losses from any high point for ELFA.DE and CEMS.DE.
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Drawdown Indicators
| ELFA.DE | CEMS.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.14% | -40.20% | +2.06% |
Max Drawdown (1Y)Largest decline over 1 year | -12.29% | -9.99% | -2.30% |
Max Drawdown (3Y)Largest decline over 3 years | -16.35% | -17.57% | +1.22% |
Max Drawdown (5Y)Largest decline over 5 years | -23.33% | -19.55% | -3.78% |
Max Drawdown (10Y)Largest decline over 10 years | -38.14% | -40.20% | +2.06% |
Current DrawdownCurrent decline from peak | -0.20% | -1.26% | +1.06% |
Average DrawdownAverage peak-to-trough decline | -6.32% | -7.49% | +1.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.80% | 2.66% | +1.14% |
Volatility
ELFA.DE vs. CEMS.DE - Volatility Comparison
Deka EURO STOXX 50 (thesaurierend) UCITS ETF (ELFA.DE) has a higher volatility of 4.91% compared to iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE) at 4.65%. This indicates that ELFA.DE's price experiences larger fluctuations and is considered to be riskier than CEMS.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ELFA.DE | CEMS.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.91% | 4.65% | +0.26% |
Volatility (6M)Calculated over the trailing 6-month period | 13.88% | 11.17% | +2.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.15% | 13.87% | +3.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.86% | 15.23% | +2.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.26% | 17.43% | +1.83% |
ELFA.DE vs. CEMS.DE - Expense Ratio Comparison
ELFA.DE has a 0.15% expense ratio, which is lower than CEMS.DE's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
ELFA.DE vs. CEMS.DE - Dividend Comparison
ELFA.DE's dividend yield for the trailing twelve months is around 2.18%, while CEMS.DE has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
CEMS.DE iShares Edge MSCI Europe Value Factor UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ELFA.DE Deka EURO STOXX 50 (thesaurierend) UCITS ETF | 2.18% | 2.29% | 2.65% | 3.30% | 1.48% | 2.09% | 0.00% | 0.00% | 0.73% | 0.81% | 0.59% |
Frequently Asked Questions
ELFA.DE and CEMS.DE have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, ELFA.DE is cheaper at 0.15% per year. The better choice depends on whether you care most about return, fees, risk, or income.
ELFA.DE is cheaper with a 0.15% expense ratio, compared with 0.25% for CEMS.DE.
ELFA.DE tracks EURO STOXX® 50, while CEMS.DE tracks MSCI Europe Enhanced Value. They also come from different issuers: Deka and iShares. Their fees differ too: 0.15% for ELFA.DE and 0.25% for CEMS.DE.
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