JEF vs. EEM
JEF (Jefferies Financial Group Inc.) is a stock, while EEM (iShares MSCI Emerging Markets ETF) is Emerging Markets Diversified fund tracking the MSCI Emerging Markets Index (Net). Over the past 10 years, JEF returned 16.70%/yr vs 9.68%/yr for EEM. A 0.54 correlation means they provide meaningful diversification when combined.
Performance
JEF vs. EEM - Performance Comparison
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Returns By Period
In the year-to-date period, JEF achieves a -13.45% return, which is significantly lower than EEM's 26.30% return. Over the past 10 years, JEF has outperformed EEM with an annualized return of 16.70%, while EEM has yielded a comparatively lower 9.68% annualized return.
JEF
- 1D
- -2.60%
- 1M
- 9.61%
- YTD
- -13.45%
- 6M
- -8.17%
- 1Y
- 10.41%
- 3Y*
- 22.45%
- 5Y*
- 14.94%
- 10Y*
- 16.70%
EEM
- 1D
- -1.17%
- 1M
- 5.66%
- YTD
- 26.30%
- 6M
- 29.01%
- 1Y
- 52.09%
- 3Y*
- 23.47%
- 5Y*
- 6.76%
- 10Y*
- 9.68%
JEF vs. EEM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JEF Jefferies Financial Group Inc. | -13.45% | -18.78% | 98.84% | 27.74% | -8.46% | 61.95% | 19.00% | 44.18% | -33.15% | 15.42% |
EEM iShares MSCI Emerging Markets ETF | 26.30% | 33.98% | 6.49% | 8.95% | -20.56% | -3.63% | 17.02% | 18.22% | -15.31% | 37.26% |
Correlation
The correlation between JEF and EEM is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.44 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.45 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.46 |
Correlation (All Time) Calculated using the full available price history since Apr 15, 2003 | 0.54 |
The correlation between JEF and EEM has been stable across timeframes, ranging from 0.44 to 0.54 - a consistent structural relationship.
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Return for Risk
JEF vs. EEM — Risk / Return Rank
JEF
EEM
JEF vs. EEM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Jefferies Financial Group Inc. (JEF) and iShares MSCI Emerging Markets ETF (EEM). 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.
| JEF | EEM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.36 | ||
| Sortino ratioReturn per unit of downside risk | -2.83 | ||
| Omega ratioGain probability vs. loss probability | 1.08 | 1.48 | -0.39 |
| Calmar ratioReturn relative to maximum drawdown | 0.22 | 3.87 | -3.65 |
| Martin ratioReturn relative to average drawdown | 0.49 | 14.91 | -14.42 |
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
| JEF | EEM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.26 | 2.62 | -2.36 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.42 | 0.36 | +0.06 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.48 | 0.47 | +0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.38 | +0.06 |
Drawdowns
JEF vs. EEM - Drawdown Comparison
The maximum JEF drawdown since its inception was -80.74%, which is greater than EEM's maximum drawdown of -66.43%. Use the drawdown chart below to compare losses from any high point for JEF and EEM.
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Drawdown Indicators
| JEF | EEM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -80.74% | -66.43% | -14.31% |
Max Drawdown (1Y)Largest decline over 1 year | -48.05% | -13.52% | -34.53% |
Max Drawdown (3Y)Largest decline over 3 years | -54.39% | -17.29% | -37.10% |
Max Drawdown (5Y)Largest decline over 5 years | -54.39% | -37.71% | -16.68% |
Max Drawdown (10Y)Largest decline over 10 years | -54.39% | -39.82% | -14.57% |
Current DrawdownCurrent decline from peak | -32.58% | -2.40% | -30.18% |
Average DrawdownAverage peak-to-trough decline | -25.53% | -16.02% | -9.51% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 21.30% | 3.50% | +17.80% |
Volatility
JEF vs. EEM - Volatility Comparison
The current volatility for Jefferies Financial Group Inc. (JEF) is 7.25%, while iShares MSCI Emerging Markets ETF (EEM) has a volatility of 8.49%. This indicates that JEF experiences smaller price fluctuations and is considered to be less risky than EEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JEF | EEM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.25% | 8.49% | -1.24% |
Volatility (6M)Calculated over the trailing 6-month period | 30.07% | 17.47% | +12.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 40.47% | 20.02% | +20.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 35.85% | 18.92% | +16.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.96% | 20.50% | +14.46% |
Dividends
JEF vs. EEM - Dividend Comparison
JEF's dividend yield for the trailing twelve months is around 3.03%, more than EEM's 1.76% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EEM iShares MSCI Emerging Markets ETF | 1.76% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
JEF Jefferies Financial Group Inc. | 3.03% | 2.58% | 1.66% | 2.97% | 3.50% | 2.32% | 2.44% | 8.07% | 2.59% | 1.23% | 1.08% | 1.44% |
Frequently Asked Questions
JEF and EEM have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EEM has higher volatility (8.49%) compared to JEF (7.25%). In terms of maximum drawdown, JEF dropped -80.74% vs EEM's -66.43%.
EEM currently has the higher Sharpe Ratio (2.62 vs 0.26), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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