JEMDX vs. VEMBX
JEMDX (JPMorgan Emerging Markets Debt Fund) and VEMBX (Vanguard Emerging Markets Bond Fund Investor Shares) are both Emerging Markets Bonds funds. Over the past 5 years, JEMDX returned 1.63%/yr vs 3.99%/yr for VEMBX. Their correlation of 0.90 means they have usually moved in the same direction. JEMDX charges 0.83%/yr vs 0.50%/yr for VEMBX.
Performance
JEMDX vs. VEMBX - 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 VEMBX's 2.14% 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%
VEMBX
- 1D
- -0.09%
- 1M
- -1.12%
- 6M
- 1.57%
- YTD
- 2.14%
- 1Y
- 8.80%
- 3Y*
- 9.83%
- 5Y*
- 3.99%
- 10Y*
- —
- ALL TIME*
- 6.63%
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. VEMBX - 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% |
VEMBX Vanguard Emerging Markets Bond Fund Investor Shares | 2.14% | 14.32% | 7.38% | 13.66% | -13.18% | -1.53% | 14.99% | 17.72% | -0.89% | 13.12% |
Correlation
The correlation between JEMDX and VEMBX is 0.92, 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. | 0.92 |
Correlation (3Y) Balances recent behavior with more history. | 0.90 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.91 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017 | 0.90 |
The correlation between JEMDX and VEMBX has been stable across timeframes, ranging from 0.90 to 0.92 - a consistent structural relationship.
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Return for Risk
JEMDX vs. VEMBX — Risk / Return Rank
JEMDX
VEMBX
JEMDX vs. VEMBX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Emerging Markets Debt Fund (JEMDX) and Vanguard Emerging Markets Bond Fund Investor Shares (VEMBX). 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 | VEMBX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.22 | ||
| Sortino ratioReturn per unit of downside risk | -0.50 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.42 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 1.79 | 2.43 | -0.64 |
| Martin ratioReturn relative to average drawdown | 7.15 | 10.42 | -3.28 |
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Drawdowns
JEMDX vs. VEMBX - Drawdown Comparison
The maximum JEMDX drawdown since its inception was -38.84%, which is greater than VEMBX's maximum drawdown of -24.36%. Use the drawdown chart below to compare losses from any high point for JEMDX and VEMBX.
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Drawdown Indicators
| JEMDX | VEMBX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.84% | -24.36% | -14.48% |
Max Drawdown (1Y)Largest decline over 1 year | -5.14% | -3.77% | -1.37% |
Max Drawdown (3Y)Largest decline over 3 years | -6.32% | -5.00% | -1.32% |
Max Drawdown (5Y)Largest decline over 5 years | -30.83% | -24.36% | -6.47% |
Max Drawdown (10Y)Largest decline over 10 years | -30.83% | — | — |
Current DrawdownCurrent decline from peak | -1.97% | -1.36% | -0.61% |
Average DrawdownAverage peak-to-trough decline | -6.07% | -3.82% | -2.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.29% | 0.88% | +0.41% |
Volatility
JEMDX vs. VEMBX - Volatility Comparison
JPMorgan Emerging Markets Debt Fund (JEMDX) and Vanguard Emerging Markets Bond Fund Investor Shares (VEMBX) have volatilities of 1.04% and 1.00%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JEMDX | VEMBX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.04% | 1.00% | +0.04% |
Volatility (6M)Calculated over the trailing 6-month period | 4.11% | 3.67% | +0.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.84% | 4.32% | +0.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.94% | 6.38% | +0.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.14% | 6.33% | +0.81% |
JEMDX vs. VEMBX - Expense Ratio Comparison
JEMDX has a 0.83% expense ratio, which is higher than VEMBX's 0.50% expense ratio.
Dividends
JEMDX vs. VEMBX - Dividend Comparison
JEMDX's dividend yield for the trailing twelve months is around 5.42%, less than VEMBX's 5.50% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
VEMBX Vanguard Emerging Markets Bond Fund Investor Shares | 5.50% | 6.20% | 6.86% | 7.06% | 5.43% | 5.00% | 4.50% | 6.27% | 4.81% | 6.50% | 0.00% | 0.00% |
Frequently Asked Questions
With a correlation of 0.92, JEMDX and VEMBX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
JEMDX has higher volatility (1.04%) compared to VEMBX (1.00%). In terms of maximum drawdown, JEMDX dropped -38.84% vs VEMBX's -24.36%.
VEMBX currently has the higher Sharpe Ratio (2.12 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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