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EVLU vs. JPEM
Performance
Return for Risk
Dividends
Drawdowns
Volatility

EVLU vs. JPEM

Last updated Apr 1, 2026

Compare and contrast key facts about iShares MSCI Emerging Markets Value Factor ETF (EVLU) and J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM).

EVLU and JPEM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EVLU is a passively managed fund by iShares that tracks the performance of the MSCI Emerging Markets Value Factor Select Index (Net). It was launched on Sep 4, 2024. JPEM is a passively managed fund by JPMorgan that tracks the performance of the JPMorgan Diversified Factor Emerging Markets Equity Index. It was launched on Jan 7, 2015. Both EVLU and JPEM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.

Performance

EVLU vs. JPEM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Emerging Markets Value Factor ETF (EVLU) and J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM). The values are adjusted to include any dividend payments, if applicable.

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EVLU vs. JPEM - Yearly Performance Comparison

2026 (YTD)20252024
EVLU
iShares MSCI Emerging Markets Value Factor ETF		4.44%38.54%1.61%
JPEM
J.P. Morgan Diversified Return Emerging Markets Equity ETF		2.74%22.90%-0.33%

Returns By Period

In the year-to-date period, EVLU achieves a 4.44% return, which is significantly higher than JPEM's 2.74% return.

EVLU

1D
2.98%
1M
-10.26%
YTD
4.44%
6M
14.87%
1Y
38.27%
3Y*
—
5Y*
—
10Y*
—

JPEM

1D
3.07%
1M
-6.52%
YTD
2.74%
6M
7.57%
1Y
23.72%
3Y*
12.52%
5Y*
6.75%
10Y*
7.44%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Compare stocks, funds, or ETFs

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

iShares MSCI Emerging Markets Value Factor ETF

J.P. Morgan Diversified Return Emerging Markets Equity ETF

Often compared with EVLU:
EVLU vs. FRDMEVLU vs. VGKEVLU vs. IVLUEVLU vs. AVESEVLU vs. AVEEEVLU vs. IEMGEVLU vs. DFIV
Often compared with JPEM:
JPEM vs. SCHEJPEM vs. VWOJPEM vs. EMQQJPEM vs. EELVJPEM vs. EEMJPEM vs. JEPIJPEM vs. SCHD

EVLU vs. JPEM - Expense Ratio Comparison

EVLU has a 0.35% expense ratio, which is lower than JPEM's 0.44% expense ratio.

JPEM
J.P. Morgan Diversified Return Emerging Markets Equity ETF
EVLU
iShares MSCI Emerging Markets Value Factor ETF

Return for Risk

EVLU vs. JPEM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EVLU
EVLU Risk / Return Rank: 8989
Overall Rank
EVLU Sharpe Ratio Rank: 8989
Sharpe Ratio Rank
EVLU Sortino Ratio Rank: 9090
Sortino Ratio Rank
EVLU Omega Ratio Rank: 9090
Omega Ratio Rank
EVLU Calmar Ratio Rank: 8989
Calmar Ratio Rank
EVLU Martin Ratio Rank: 8787
Martin Ratio Rank
JPEM
JPEM Risk / Return Rank: 8585
Overall Rank
JPEM Sharpe Ratio Rank: 8585
Sharpe Ratio Rank
JPEM Sortino Ratio Rank: 8686
Sortino Ratio Rank
JPEM Omega Ratio Rank: 8686
Omega Ratio Rank
JPEM Calmar Ratio Rank: 8282
Calmar Ratio Rank
JPEM Martin Ratio Rank: 8383
Martin Ratio Rank
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.

EVLU vs. JPEM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Emerging Markets Value Factor ETF (EVLU) and J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM). 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.

EVLUJPEMDifference

Sharpe ratio

Return per unit of total volatility

1.95

1.69

+0.25

Sortino ratio

Return per unit of downside risk

2.58

2.30

+0.27

Omega ratio

Gain probability vs. loss probability

1.38

1.34

+0.04

Calmar ratio

Return relative to maximum drawdown

2.89

2.27

+0.62

Martin ratio

Return relative to average drawdown

10.74

9.15

+1.59

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EVLU vs. JPEM - Sharpe Ratio Comparison

The current EVLU Sharpe Ratio is 1.95, which is comparable to the JPEM Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of EVLU and JPEM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Sharpe Ratios by Period

EVLUJPEMDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.95

1.69

+0.25

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

—

0.51

—

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.44

—

Sharpe Ratio (All Time)

Calculated using the full available price history

1.48

0.31

+1.17

Correlation

The correlation between EVLU and JPEM is 0.84, 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.

Dividends

EVLU vs. JPEM - Dividend Comparison

EVLU's dividend yield for the trailing twelve months is around 4.98%, more than JPEM's 4.59% yield.

TTM20252024202320222021202020192018201720162015
EVLU
iShares MSCI Emerging Markets Value Factor ETF		4.98%5.20%1.03%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JPEM
J.P. Morgan Diversified Return Emerging Markets Equity ETF		4.59%4.65%5.12%4.46%4.71%4.40%2.85%3.47%2.79%2.14%1.28%3.22%

Drawdowns

EVLU vs. JPEM - Drawdown Comparison

The maximum EVLU drawdown since its inception was -17.17%, smaller than the maximum JPEM drawdown of -40.22%. Use the drawdown chart below to compare losses from any high point for EVLU and JPEM.

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Drawdown Indicators

EVLUJPEMDifference

Max Drawdown

Largest peak-to-trough decline

-17.17%

-40.22%

+23.05%

Max Drawdown (1Y)

Largest decline over 1 year

-13.13%

-10.32%

-2.81%

Max Drawdown (5Y)

Largest decline over 5 years

—

-21.57%

—

Max Drawdown (10Y)

Largest decline over 10 years

—

-40.22%

—

Current Drawdown

Current decline from peak

-10.30%

-7.11%

-3.19%

Average Drawdown

Average peak-to-trough decline

-3.58%

-9.57%

+5.99%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.54%

2.57%

+0.97%

Volatility

EVLU vs. JPEM - Volatility Comparison

iShares MSCI Emerging Markets Value Factor ETF (EVLU) has a higher volatility of 9.59% compared to J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) at 7.35%. This indicates that EVLU's price experiences larger fluctuations and is considered to be riskier than JPEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

EVLUJPEMDifference

Volatility (1M)

Calculated over the trailing 1-month period

9.59%

7.35%

+2.24%

Volatility (6M)

Calculated over the trailing 6-month period

14.07%

10.11%

+3.96%

Volatility (1Y)

Calculated over the trailing 1-year period

19.75%

14.07%

+5.68%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

19.04%

13.38%

+5.66%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.04%

17.05%

+1.99%