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

Correlation

The correlation between EEM and ESGE is 0.96, 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.


-0.50.00.51.01.0

Performance

EEM vs. ESGE - Performance Comparison

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

35.00%40.00%45.00%50.00%55.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
42.72%
48.40%
EEM
ESGE

Key characteristics

Sharpe Ratio

EEM:

0.73

ESGE:

0.75

Sortino Ratio

EEM:

1.12

ESGE:

1.15

Omega Ratio

EEM:

1.14

ESGE:

1.14

Calmar Ratio

EEM:

0.38

ESGE:

0.38

Martin Ratio

EEM:

2.81

ESGE:

3.01

Ulcer Index

EEM:

4.07%

ESGE:

3.99%

Daily Std Dev

EEM:

15.60%

ESGE:

15.89%

Max Drawdown

EEM:

-66.43%

ESGE:

-41.07%

Current Drawdown

EEM:

-19.97%

ESGE:

-20.85%

Returns By Period

The year-to-date returns for both investments are quite close, with EEM having a 7.64% return and ESGE slightly higher at 7.80%.


EEM

YTD

7.64%

1M

-0.87%

6M

0.73%

1Y

9.38%

5Y*

1.11%

10Y*

3.06%

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.


EEM vs. ESGE - Expense Ratio Comparison

EEM has a 0.68% expense ratio, which is higher than ESGE's 0.25% expense ratio.


EEM
iShares MSCI Emerging Markets ETF
Expense ratio chart for EEM: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
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

EEM vs. ESGE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Emerging Markets ETF (EEM) 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 EEM, currently valued at 0.73, compared to the broader market0.002.004.000.730.75
The chart of Sortino ratio for EEM, currently valued at 1.12, compared to the broader market-2.000.002.004.006.008.0010.001.121.15
The chart of Omega ratio for EEM, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.14
The chart of Calmar ratio for EEM, currently valued at 0.38, compared to the broader market0.005.0010.0015.000.380.38
The chart of Martin ratio for EEM, currently valued at 2.81, compared to the broader market0.0020.0040.0060.0080.00100.002.813.01
EEM
ESGE

The current EEM Sharpe Ratio is 0.73, which is comparable to the ESGE Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of EEM 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
0.73
0.75
EEM
ESGE

Dividends

EEM vs. ESGE - Dividend Comparison

EEM's dividend yield for the trailing twelve months is around 2.41%, more than ESGE's 2.31% yield.


TTM20232022202120202019201820172016201520142013
EEM
iShares MSCI Emerging Markets ETF
2.41%2.63%2.50%1.99%1.45%2.76%2.24%1.89%1.89%2.49%2.23%2.06%
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%0.00%0.00%0.00%

Drawdowns

EEM vs. ESGE - Drawdown Comparison

The maximum EEM drawdown since its inception was -66.43%, which is greater than ESGE's maximum drawdown of -41.07%. Use the drawdown chart below to compare losses from any high point for EEM and ESGE. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-19.97%
-20.85%
EEM
ESGE

Volatility

EEM vs. ESGE - Volatility Comparison

iShares MSCI Emerging Markets ETF (EEM) and iShares ESG Aware MSCI EM ETF (ESGE) have volatilities of 3.88% 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%JulyAugustSeptemberOctoberNovemberDecember
3.88%
3.86%
EEM
ESGE
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