JEMA vs. FEM

Last updated Jun 26, 2026

JEMA (JPMorgan ActiveBuilders Emerging Markets Equity ETF) and FEM (First Trust Emerging Markets AlphaDEX Fund) are both Emerging Markets Equities funds. JEMA is actively managed, while FEM is passively managed. Over the past 5 years, JEMA returned 6.89%/yr vs 6.76%/yr for FEM. Their correlation of 0.80 suggests significant overlap in exposure. JEMA charges 0.39%/yr vs 0.80%/yr for FEM.

Performance

JEMA vs. FEM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan ActiveBuilders Emerging Markets Equity ETF (JEMA) and First Trust Emerging Markets AlphaDEX Fund (FEM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JEMA achieves a 29.43% return, which is significantly higher than FEM's 16.06% return.

JEMA

• 1D: 1.14%
• 1M: 0.47%
• YTD: 29.43%
• 6M: 29.96%
• 1Y: 52.35%
• 3Y*: 23.95%
• 5Y*: 6.89%
• 10Y*: —

FEM

• 1D: 0.48%
• 1M: -5.01%
• YTD: 16.06%
• 6M: 15.66%
• 1Y: 34.10%
• 3Y*: 18.80%
• 5Y*: 6.76%
• 10Y*: 9.71%

*Multi-year figures are annualized to reflect compound growth (CAGR)

JEMA vs. FEM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
JEMA JPMorgan ActiveBuilders Emerging Markets Equity ETF	29.43%	34.89%	5.68%	9.82%	-24.98%	-4.72%
FEM First Trust Emerging Markets AlphaDEX Fund	16.06%	28.36%	3.01%	10.84%	-14.24%	5.52%

Correlation

The correlation between JEMA and FEM is 0.80, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.80
Correlation (3Y) Calculated over the trailing 3-year period	0.81
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (All Time) Calculated using the full available price history since Mar 11, 2021	0.80

The correlation between JEMA and FEM has been stable across timeframes, ranging from 0.80 to 0.81 - a consistent structural relationship.

JEMA vs. FEM - Sectors Allocation Comparison

Sectors	JEMA	FEM
Technology	46.7%	28.4%
Financial Services	19.2%	6.4%
Consumer Cyclical	8.6%	5.7%
Industrials	7.3%	19.8%
Communication Services	6.3%	4.6%
Basic Materials	3.4%	7.8%
Energy	3.3%	12.9%
Consumer Defensive	2.0%	2.9%
Healthcare	1.4%	2.8%
Utilities	1.2%	6.1%
Real Estate	0.7%	2.6%

Return for Risk

JEMA vs. FEM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JEMA

JEMA Risk / Return Rank: 81
JEMA Sharpe Ratio Rank: 82
JEMA Sortino Ratio Rank: 73
JEMA Omega Ratio Rank: 83
JEMA Calmar Ratio Rank: 84
JEMA Martin Ratio Rank: 85

FEM

FEM Risk / Return Rank: 67
FEM Sharpe Ratio Rank: 64
FEM Sortino Ratio Rank: 55
FEM Omega Ratio Rank: 63
FEM Calmar Ratio Rank: 81
FEM Martin Ratio Rank: 75

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.

JEMA vs. FEM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan ActiveBuilders Emerging Markets Equity ETF (JEMA) and First Trust Emerging Markets AlphaDEX Fund (FEM). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	JEMA	FEM	Difference
Sharpe ratio: Return per unit of total volatility	2.30	1.82	+0.48
Sortino ratio: Return per unit of downside risk	2.86	2.33	+0.54
Omega ratio: Gain probability vs. loss probability	1.43	1.33	+0.10
Calmar ratio: Return relative to maximum drawdown	4.01	3.68	+0.33
Martin ratio: Return relative to average drawdown	15.47	12.40	+3.07

JEMA vs. FEM - Sharpe Ratio Comparison

The current JEMA Sharpe Ratio is 2.30, which is comparable to the FEM Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of JEMA and FEM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

JEMA vs. FEM - Drawdown Comparison

The maximum JEMA drawdown since its inception was -39.50%, smaller than the maximum FEM drawdown of -46.23%. Use the drawdown chart below to compare losses from any high point for JEMA and FEM.

Drawdown Indicators

	JEMA	FEM	Difference
Max Drawdown Largest peak-to-trough decline	-39.50%	-46.23%	+6.73%
Max Drawdown (1Y) Largest decline over 1 year	-13.11%	-9.31%	-3.80%
Max Drawdown (3Y) Largest decline over 3 years	-18.11%	-18.79%	+0.68%
Max Drawdown (5Y) Largest decline over 5 years	-39.39%	-31.72%	-7.67%
Max Drawdown (10Y) Largest decline over 10 years	—	-46.23%	—
Current Drawdown Current decline from peak	-4.28%	-6.00%	+1.72%
Average Drawdown Average peak-to-trough decline	-16.88%	-15.00%	-1.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.39%	2.76%	+0.63%

Volatility

JEMA vs. FEM - Volatility Comparison

JPMorgan ActiveBuilders Emerging Markets Equity ETF (JEMA) has a higher volatility of 11.93% compared to First Trust Emerging Markets AlphaDEX Fund (FEM) at 8.27%. This indicates that JEMA's price experiences larger fluctuations and is considered to be riskier than FEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JEMA	FEM	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.93%	8.27%	+3.66%
Volatility (6M) Calculated over the trailing 6-month period	20.79%	16.26%	+4.53%
Volatility (1Y) Calculated over the trailing 1-year period	22.84%	18.84%	+4.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.65%	18.66%	+0.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.42%	20.96%	-1.54%

JEMA vs. FEM - Expense Ratio Comparison

JEMA has a 0.39% expense ratio, which is lower than FEM's 0.80% expense ratio.

Dividends

JEMA vs. FEM - Dividend Comparison

JEMA's dividend yield for the trailing twelve months is around 2.26%, less than FEM's 3.30% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FEM First Trust Emerging Markets AlphaDEX Fund	3.30%	3.13%	3.66%	4.96%	6.15%	4.15%	2.68%	3.31%	3.52%	2.45%	2.25%	3.61%
JEMA JPMorgan ActiveBuilders Emerging Markets Equity ETF	2.26%	2.93%	2.44%	2.95%	2.69%	1.54%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both JEMA and FEM in my portfolio?

JEMA and FEM have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JEMA or FEM?

JEMA has higher volatility (11.93%) compared to FEM (8.27%). In terms of maximum drawdown, JEMA dropped -39.50% vs FEM's -46.23%.

Which ETF is better, JEMA or FEM?

On 5-year performance, JEMA leads with 6.89% vs 6.76% for FEM. On fees, JEMA is cheaper at 0.39% per year. On volatility, FEM has been the lower-risk option at 8.27%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, JEMA or FEM?

Over the 5-year period, JEMA has performed better with a 6.89% return vs 6.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JEMA or FEM?

JEMA is cheaper with a 0.39% expense ratio, compared with 0.80% for FEM.

Which ETF pays a higher dividend yield, JEMA or FEM?

FEM has the higher dividend yield at 3.30%, compared with 2.26% for JEMA.

What is the main difference between JEMA and FEM?

They also come from different issuers: JPMorgan and First Trust. Their fees differ too: 0.39% for JEMA and 0.80% for FEM.

Which has better risk-adjusted returns?

JEMA currently has the higher Sharpe Ratio (2.30 vs 1.82), 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.