JPEM vs. EELV
Compare and contrast key facts about J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) and Invesco S&P Emerging Markets Low Volatility ETF (EELV).
JPEM and EELV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. JPEM is a passively managed fund by JPMorgan Chase that tracks the performance of the JPMorgan Diversified Factor Emerging Markets Equity Index. It was launched on Jan 7, 2015. EELV is a passively managed fund by Invesco that tracks the performance of the S&P BMI Emerging Markets Low Volatility Index. It was launched on Jan 13, 2012. Both JPEM and EELV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPEM or EELV.
Performance
JPEM vs. EELV - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with JPEM having a 5.61% return and EELV slightly lower at 5.48%.
JPEM
5.61%
-3.14%
-2.94%
9.45%
4.02%
N/A
EELV
5.48%
-3.68%
3.75%
9.64%
5.07%
2.56%
Key characteristics
| JPEM | EELV | |
|---|---|---|
| Sharpe Ratio | 0.86 | 0.97 |
| Sortino Ratio | 1.26 | 1.42 |
| Omega Ratio | 1.16 | 1.18 |
| Calmar Ratio | 1.30 | 1.37 |
| Martin Ratio | 3.66 | 4.25 |
| Ulcer Index | 2.84% | 2.43% |
| Daily Std Dev | 12.10% | 10.70% |
| Max Drawdown | -40.22% | -36.35% |
| Current Drawdown | -7.34% | -6.50% |
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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.
Correlation
The correlation between JPEM and EELV is 0.83, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
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.
Dividends
JPEM vs. EELV - Dividend Comparison
JPEM's dividend yield for the trailing twelve months is around 4.45%, more than EELV's 4.28% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPEM J.P. Morgan Diversified Return Emerging Markets Equity ETF | 4.45% | 4.46% | 4.71% | 4.40% | 2.85% | 3.47% | 2.79% | 2.14% | 1.28% | 3.22% | 0.00% | 0.00% |
EELV Invesco S&P Emerging Markets Low Volatility ETF | 4.28% | 4.00% | 3.46% | 4.34% | 2.82% | 3.14% | 5.50% | 2.91% | 2.30% | 2.53% | 3.25% | 2.10% |
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.
Volatility
JPEM vs. EELV - Volatility Comparison
J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) has a higher volatility of 3.41% compared to Invesco S&P Emerging Markets Low Volatility ETF (EELV) at 3.18%. 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.