JEMDX vs. GMCDX
JEMDX (JPMorgan Emerging Markets Debt Fund) and GMCDX (GMO Emerging Country Debt Fund) are both Emerging Markets Bonds funds. Over the past 10 years, JEMDX returned 2.76%/yr vs 7.35%/yr for GMCDX. Their correlation of 0.83 means they have usually moved in the same direction. JEMDX charges 0.83%/yr vs 0.53%/yr for GMCDX.
Performance
JEMDX vs. GMCDX - Performance Comparison
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Returns By Period
In the year-to-date period, JEMDX achieves a 1.34% return, which is significantly lower than GMCDX's 8.12% return. Over the past 10 years, JEMDX has underperformed GMCDX with an annualized return of 2.76%, while GMCDX has yielded a comparatively higher 7.35% annualized return.
JEMDX
- 1D
- -0.15%
- 1M
- -1.23%
- 6M
- 0.19%
- YTD
- 1.34%
- 1Y
- 9.00%
- 3Y*
- 8.97%
- 5Y*
- 1.63%
- 10Y*
- 2.76%
- ALL TIME*
- 6.10%
GMCDX
- 1D
- -0.41%
- 1M
- -1.06%
- 6M
- 4.10%
- YTD
- 8.12%
- 1Y
- 19.70%
- 3Y*
- 17.38%
- 5Y*
- 9.30%
- 10Y*
- 7.35%
- ALL TIME*
- 4.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
JEMDX vs. GMCDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JEMDX JPMorgan Emerging Markets Debt Fund | 1.34% | 13.87% | 7.37% | 10.17% | -18.60% | -3.22% | 5.37% | 13.86% | -5.82% | 10.25% |
GMCDX GMO Emerging Country Debt Fund | 8.12% | 22.34% | 13.39% | 17.63% | -16.30% | 6.56% | 7.25% | 14.28% | -5.89% | 12.49% |
Correlation
The correlation between JEMDX and GMCDX is 0.89, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.89 |
Correlation (3Y) Balances recent behavior with more history. | 0.85 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.88 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.89 |
Correlation (All Time) Calculated using the full available price history since Apr 17, 1997 | 0.83 |
The correlation between JEMDX and GMCDX has been stable across timeframes, ranging from 0.83 to 0.89 - a consistent structural relationship.
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Return for Risk
JEMDX vs. GMCDX — Risk / Return Rank
JEMDX
GMCDX
JEMDX vs. GMCDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Emerging Markets Debt Fund (JEMDX) and GMO Emerging Country Debt Fund (GMCDX). 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.
| JEMDX | GMCDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.84 | ||
| Sortino ratioReturn per unit of downside risk | -3.74 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.89 | -0.50 |
| Calmar ratioReturn relative to maximum drawdown | 1.79 | 5.14 | -3.35 |
| Martin ratioReturn relative to average drawdown | 7.15 | 21.50 | -14.36 |
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Drawdowns
JEMDX vs. GMCDX - Drawdown Comparison
The maximum JEMDX drawdown since its inception was -38.84%, smaller than the maximum GMCDX drawdown of -68.24%. Use the drawdown chart below to compare losses from any high point for JEMDX and GMCDX.
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Drawdown Indicators
| JEMDX | GMCDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.84% | -68.24% | +29.40% |
Max Drawdown (1Y)Largest decline over 1 year | -5.14% | -3.85% | -1.29% |
Max Drawdown (3Y)Largest decline over 3 years | -6.32% | -9.00% | +2.68% |
Max Drawdown (5Y)Largest decline over 5 years | -30.83% | -26.02% | -4.81% |
Max Drawdown (10Y)Largest decline over 10 years | -30.83% | -26.02% | -4.81% |
Current DrawdownCurrent decline from peak | -1.97% | -1.46% | -0.51% |
Average DrawdownAverage peak-to-trough decline | -6.07% | -17.57% | +11.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.29% | 0.92% | +0.37% |
Volatility
JEMDX vs. GMCDX - Volatility Comparison
JPMorgan Emerging Markets Debt Fund (JEMDX) has a higher volatility of 1.04% compared to GMO Emerging Country Debt Fund (GMCDX) at 0.99%. This indicates that JEMDX's price experiences larger fluctuations and is considered to be riskier than GMCDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JEMDX | GMCDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.04% | 0.99% | +0.05% |
Volatility (6M)Calculated over the trailing 6-month period | 4.11% | 4.00% | +0.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.84% | 5.29% | -0.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.94% | 11.22% | -4.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.14% | 9.30% | -2.16% |
JEMDX vs. GMCDX - Expense Ratio Comparison
JEMDX has a 0.83% expense ratio, which is higher than GMCDX's 0.53% expense ratio.
Dividends
JEMDX vs. GMCDX - Dividend Comparison
JEMDX's dividend yield for the trailing twelve months is around 5.42%, more than GMCDX's 4.52% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMCDX GMO Emerging Country Debt Fund | 4.52% | 6.27% | 6.88% | 10.26% | 13.73% | 17.75% | 9.66% | 6.60% | 7.76% | 7.06% | 6.00% | 2.50% |
JEMDX JPMorgan Emerging Markets Debt Fund | 5.42% | 5.61% | 6.13% | 5.47% | 6.15% | 4.38% | 3.71% | 4.52% | 4.64% | 4.43% | 5.06% | 4.76% |
Frequently Asked Questions
JEMDX and GMCDX have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JEMDX has higher volatility (1.04%) compared to GMCDX (0.99%). In terms of maximum drawdown, JEMDX dropped -38.84% vs GMCDX's -68.24%.
GMCDX currently has the higher Sharpe Ratio (3.74 vs 1.90), 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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