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JPEM vs. EELV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JPEM and EELV is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.6

Performance

JPEM vs. EELV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) and Invesco S&P Emerging Markets Low Volatility ETF (EELV). The values are adjusted to include any dividend payments, if applicable.

30.00%35.00%40.00%45.00%50.00%NovemberDecember2025FebruaryMarchApril
48.01%
41.98%
JPEM
EELV

Key characteristics

Sharpe Ratio

JPEM:

0.31

EELV:

0.89

Sortino Ratio

JPEM:

0.54

EELV:

1.33

Omega Ratio

JPEM:

1.07

EELV:

1.18

Calmar Ratio

JPEM:

0.31

EELV:

0.93

Martin Ratio

JPEM:

0.78

EELV:

2.13

Ulcer Index

JPEM:

5.69%

EELV:

5.14%

Daily Std Dev

JPEM:

14.24%

EELV:

12.36%

Max Drawdown

JPEM:

-40.22%

EELV:

-36.35%

Current Drawdown

JPEM:

-5.72%

EELV:

-3.32%

Returns By Period

In the year-to-date period, JPEM achieves a 3.10% return, which is significantly lower than EELV's 7.04% return. Over the past 10 years, JPEM has outperformed EELV with an annualized return of 2.99%, while EELV has yielded a comparatively lower 2.72% annualized return.


JPEM

YTD

3.10%

1M

0.33%

6M

0.29%

1Y

4.10%

5Y*

10.02%

10Y*

2.99%

EELV

YTD

7.04%

1M

1.56%

6M

1.58%

1Y

11.59%

5Y*

10.80%

10Y*

2.72%

*Annualized

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JPEM vs. EELV - Expense Ratio Comparison

JPEM has a 0.44% expense ratio, which is higher than EELV's 0.30% expense ratio.


Expense ratio chart for JPEM: current value is 0.44%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
JPEM: 0.44%
Expense ratio chart for EELV: current value is 0.30%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
EELV: 0.30%

Risk-Adjusted Performance

JPEM vs. EELV — Risk-Adjusted Performance Rank

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

JPEM
The Risk-Adjusted Performance Rank of JPEM is 4141
Overall Rank
The Sharpe Ratio Rank of JPEM is 4242
Sharpe Ratio Rank
The Sortino Ratio Rank of JPEM is 4141
Sortino Ratio Rank
The Omega Ratio Rank of JPEM is 4040
Omega Ratio Rank
The Calmar Ratio Rank of JPEM is 4646
Calmar Ratio Rank
The Martin Ratio Rank of JPEM is 3636
Martin Ratio Rank

EELV
The Risk-Adjusted Performance Rank of EELV is 7474
Overall Rank
The Sharpe Ratio Rank of EELV is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of EELV is 7777
Sortino Ratio Rank
The Omega Ratio Rank of EELV is 7676
Omega Ratio Rank
The Calmar Ratio Rank of EELV is 8181
Calmar Ratio Rank
The Martin Ratio Rank of EELV is 6161
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

JPEM vs. EELV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) and Invesco S&P Emerging Markets Low Volatility ETF (EELV). 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.


The chart of Sharpe ratio for JPEM, currently valued at 0.31, compared to the broader market-1.000.001.002.003.004.00
JPEM: 0.31
EELV: 0.89
The chart of Sortino ratio for JPEM, currently valued at 0.54, compared to the broader market-2.000.002.004.006.008.00
JPEM: 0.54
EELV: 1.33
The chart of Omega ratio for JPEM, currently valued at 1.07, compared to the broader market0.501.001.502.00
JPEM: 1.07
EELV: 1.18
The chart of Calmar ratio for JPEM, currently valued at 0.31, compared to the broader market0.002.004.006.008.0010.0012.00
JPEM: 0.31
EELV: 0.93
The chart of Martin ratio for JPEM, currently valued at 0.78, compared to the broader market0.0020.0040.0060.00
JPEM: 0.78
EELV: 2.13

The current JPEM Sharpe Ratio is 0.31, which is lower than the EELV Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of JPEM and EELV, 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 Ratio-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.31
0.89
JPEM
EELV

Dividends

JPEM vs. EELV - Dividend Comparison

JPEM's dividend yield for the trailing twelve months is around 5.25%, more than EELV's 4.92% yield.


TTM20242023202220212020201920182017201620152014
JPEM
J.P. Morgan Diversified Return Emerging Markets Equity ETF
5.25%5.12%4.46%4.71%4.40%2.85%3.47%2.79%2.14%1.28%3.22%0.00%
EELV
Invesco S&P Emerging Markets Low Volatility ETF
4.92%4.70%4.00%3.46%4.34%2.82%3.14%5.50%2.91%2.30%2.53%3.25%

Drawdowns

JPEM vs. EELV - Drawdown Comparison

The maximum JPEM drawdown since its inception was -40.22%, which is greater than EELV's maximum drawdown of -36.35%. Use the drawdown chart below to compare losses from any high point for JPEM and EELV. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%NovemberDecember2025FebruaryMarchApril
-5.72%
-3.32%
JPEM
EELV

Volatility

JPEM vs. EELV - Volatility Comparison

J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) has a higher volatility of 8.18% compared to Invesco S&P Emerging Markets Low Volatility ETF (EELV) at 7.31%. This indicates that JPEM's price experiences larger fluctuations and is considered to be riskier than EELV 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%NovemberDecember2025FebruaryMarchApril
8.18%
7.31%
JPEM
EELV