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EMGF vs. FDEM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EMGFFDEM
YTD Return10.42%8.72%
1Y Return17.06%14.92%
3Y Return (Ann)0.43%2.60%
5Y Return (Ann)5.14%3.89%
Sharpe Ratio1.311.23
Sortino Ratio1.901.82
Omega Ratio1.241.22
Calmar Ratio1.161.27
Martin Ratio6.666.65
Ulcer Index3.01%2.55%
Daily Std Dev15.32%13.72%
Max Drawdown-40.23%-33.65%
Current Drawdown-8.86%-7.71%

Correlation

-0.50.00.51.00.9

The correlation between EMGF and FDEM is 0.90, 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

EMGF vs. FDEM - Performance Comparison

In the year-to-date period, EMGF achieves a 10.42% return, which is significantly higher than FDEM's 8.72% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.39%
-1.05%
EMGF
FDEM

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EMGF vs. FDEM - Expense Ratio Comparison

Both EMGF and FDEM have an expense ratio of 0.45%.


EMGF
iShares Edge MSCI Multifactor Emerging Markets ETF
Expense ratio chart for EMGF: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for FDEM: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%

Risk-Adjusted Performance

EMGF vs. FDEM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI Multifactor Emerging Markets ETF (EMGF) and Fidelity Emerging Markets Multifactor ETF (FDEM). 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.


EMGF
Sharpe ratio
The chart of Sharpe ratio for EMGF, currently valued at 1.31, compared to the broader market-2.000.002.004.001.31
Sortino ratio
The chart of Sortino ratio for EMGF, currently valued at 1.90, compared to the broader market-2.000.002.004.006.008.0010.0012.001.90
Omega ratio
The chart of Omega ratio for EMGF, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for EMGF, currently valued at 1.16, compared to the broader market0.005.0010.0015.001.16
Martin ratio
The chart of Martin ratio for EMGF, currently valued at 6.66, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.66
FDEM
Sharpe ratio
The chart of Sharpe ratio for FDEM, currently valued at 1.23, compared to the broader market-2.000.002.004.001.23
Sortino ratio
The chart of Sortino ratio for FDEM, currently valued at 1.82, compared to the broader market-2.000.002.004.006.008.0010.0012.001.82
Omega ratio
The chart of Omega ratio for FDEM, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for FDEM, currently valued at 1.27, compared to the broader market0.005.0010.0015.001.27
Martin ratio
The chart of Martin ratio for FDEM, currently valued at 6.65, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.65

EMGF vs. FDEM - Sharpe Ratio Comparison

The current EMGF Sharpe Ratio is 1.31, which is comparable to the FDEM Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of EMGF and FDEM, 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 Ratio1.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.31
1.23
EMGF
FDEM

Dividends

EMGF vs. FDEM - Dividend Comparison

EMGF's dividend yield for the trailing twelve months is around 5.32%, more than FDEM's 3.35% yield.


TTM20232022202120202019201820172016
EMGF
iShares Edge MSCI Multifactor Emerging Markets ETF
5.32%5.94%4.04%2.48%1.95%2.63%2.73%1.95%2.04%
FDEM
Fidelity Emerging Markets Multifactor ETF
3.35%4.41%3.95%2.71%1.84%2.39%0.00%0.00%0.00%

Drawdowns

EMGF vs. FDEM - Drawdown Comparison

The maximum EMGF drawdown since its inception was -40.23%, which is greater than FDEM's maximum drawdown of -33.65%. Use the drawdown chart below to compare losses from any high point for EMGF and FDEM. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.86%
-7.71%
EMGF
FDEM

Volatility

EMGF vs. FDEM - Volatility Comparison

iShares Edge MSCI Multifactor Emerging Markets ETF (EMGF) has a higher volatility of 4.82% compared to Fidelity Emerging Markets Multifactor ETF (FDEM) at 4.28%. This indicates that EMGF's price experiences larger fluctuations and is considered to be riskier than FDEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.82%
4.28%
EMGF
FDEM