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GMF vs. EEMA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GMF and EEMA is 0.92, 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.


-0.50.00.51.00.9

Performance

GMF vs. EEMA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P Emerging Asia Pacific ETF (GMF) and iShares MSCI Emerging Markets Asia ETF (EEMA). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%110.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
103.41%
67.70%
GMF
EEMA

Key characteristics

Sharpe Ratio

GMF:

1.37

EEMA:

0.87

Sortino Ratio

GMF:

1.96

EEMA:

1.33

Omega Ratio

GMF:

1.26

EEMA:

1.16

Calmar Ratio

GMF:

0.77

EEMA:

0.45

Martin Ratio

GMF:

5.17

EEMA:

3.33

Ulcer Index

GMF:

4.36%

EEMA:

4.68%

Daily Std Dev

GMF:

16.48%

EEMA:

17.94%

Max Drawdown

GMF:

-67.18%

EEMA:

-44.18%

Current Drawdown

GMF:

-11.79%

EEMA:

-21.56%

Returns By Period

In the year-to-date period, GMF achieves a 17.70% return, which is significantly higher than EEMA's 11.09% return. Over the past 10 years, GMF has outperformed EEMA with an annualized return of 5.94%, while EEMA has yielded a comparatively lower 4.31% annualized return.


GMF

YTD

17.70%

1M

0.74%

6M

5.80%

1Y

20.02%

5Y*

4.89%

10Y*

5.94%

EEMA

YTD

11.09%

1M

-1.05%

6M

0.47%

1Y

13.23%

5Y*

2.32%

10Y*

4.31%

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GMF vs. EEMA - Expense Ratio Comparison

GMF has a 0.49% expense ratio, which is lower than EEMA's 0.50% expense ratio.


EEMA
iShares MSCI Emerging Markets Asia ETF
Expense ratio chart for EEMA: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for GMF: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

GMF vs. EEMA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Emerging Asia Pacific ETF (GMF) and iShares MSCI Emerging Markets Asia ETF (EEMA). 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 GMF, currently valued at 1.37, compared to the broader market0.002.004.001.370.87
The chart of Sortino ratio for GMF, currently valued at 1.96, compared to the broader market-2.000.002.004.006.008.0010.001.961.33
The chart of Omega ratio for GMF, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.16
The chart of Calmar ratio for GMF, currently valued at 0.77, compared to the broader market0.005.0010.0015.000.770.45
The chart of Martin ratio for GMF, currently valued at 5.17, compared to the broader market0.0020.0040.0060.0080.00100.005.173.33
GMF
EEMA

The current GMF Sharpe Ratio is 1.37, which is higher than the EEMA Sharpe Ratio of 0.87. The chart below compares the historical Sharpe Ratios of GMF and EEMA, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.37
0.87
GMF
EEMA

Dividends

GMF vs. EEMA - Dividend Comparison

GMF's dividend yield for the trailing twelve months is around 0.54%, less than EEMA's 1.73% yield.


TTM20232022202120202019201820172016201520142013
GMF
SPDR S&P Emerging Asia Pacific ETF
0.54%2.75%2.54%2.71%1.32%1.75%2.26%1.70%2.49%3.76%1.55%2.18%
EEMA
iShares MSCI Emerging Markets Asia ETF
1.73%2.25%1.78%2.19%1.15%1.86%2.17%1.73%1.74%2.44%1.33%2.42%

Drawdowns

GMF vs. EEMA - Drawdown Comparison

The maximum GMF drawdown since its inception was -67.18%, which is greater than EEMA's maximum drawdown of -44.18%. Use the drawdown chart below to compare losses from any high point for GMF and EEMA. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-11.79%
-21.56%
GMF
EEMA

Volatility

GMF vs. EEMA - Volatility Comparison

SPDR S&P Emerging Asia Pacific ETF (GMF) has a higher volatility of 4.73% compared to iShares MSCI Emerging Markets Asia ETF (EEMA) at 4.10%. This indicates that GMF's price experiences larger fluctuations and is considered to be riskier than EEMA 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%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
4.73%
4.10%
GMF
EEMA
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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.

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