JPEM vs. EVLU
JPEM (J.P. Morgan Diversified Return Emerging Markets Equity ETF) and EVLU (iShares MSCI Emerging Markets Value Factor ETF) are both Emerging Markets Equities funds - JPEM tracks the JPMorgan Diversified Factor Emerging Markets Equity Index while EVLU tracks the MSCI Emerging Markets Value Factor Select Index (Net). Both are passively managed. Over the past year, JPEM returned 22.05% vs 68.50% for EVLU. Their correlation of 0.83 suggests significant overlap in exposure. JPEM charges 0.44%/yr vs 0.35%/yr for EVLU.
Performance
JPEM vs. EVLU - Performance Comparison
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Returns By Period
In the year-to-date period, JPEM achieves a 7.27% return, which is significantly lower than EVLU's 32.77% return.
JPEM
- 1D
- 0.07%
- 1M
- -0.46%
- YTD
- 7.27%
- 6M
- 8.61%
- 1Y
- 22.05%
- 3Y*
- 13.62%
- 5Y*
- 6.05%
- 10Y*
- 7.80%
EVLU
- 1D
- -0.92%
- 1M
- 10.76%
- YTD
- 32.77%
- 6M
- 35.00%
- 1Y
- 68.50%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
JPEM vs. EVLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
JPEM J.P. Morgan Diversified Return Emerging Markets Equity ETF | 7.27% | 22.90% | -0.33% |
EVLU iShares MSCI Emerging Markets Value Factor ETF | 32.77% | 38.54% | 1.61% |
Correlation
The correlation between JPEM and EVLU is 0.79, 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 | 0.79 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2024 | 0.83 |
The correlation between JPEM and EVLU has been stable across timeframes, ranging from 0.79 to 0.83 - a consistent structural relationship.
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Return for Risk
JPEM vs. EVLU — Risk / Return Rank
JPEM
EVLU
JPEM vs. EVLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) and iShares MSCI Emerging Markets Value Factor ETF (EVLU). 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.
| JPEM | EVLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.90 | ||
| Sortino ratioReturn per unit of downside risk | -2.15 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.64 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | 2.14 | 5.34 | -3.19 |
| Martin ratioReturn relative to average drawdown | 8.02 | 19.73 | -11.72 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JPEM | EVLU | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.71 | 3.61 | -1.90 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.45 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.46 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.33 | 2.19 | -1.86 |
Drawdowns
JPEM vs. EVLU - Drawdown Comparison
The maximum JPEM drawdown since its inception was -40.22%, which is greater than EVLU's maximum drawdown of -17.17%. Use the drawdown chart below to compare losses from any high point for JPEM and EVLU.
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Drawdown Indicators
| JPEM | EVLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.22% | -17.17% | -23.05% |
Max Drawdown (1Y)Largest decline over 1 year | -10.32% | -12.90% | +2.58% |
Max Drawdown (3Y)Largest decline over 3 years | -14.30% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -21.57% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -40.22% | — | — |
Current DrawdownCurrent decline from peak | -3.01% | -3.18% | +0.17% |
Average DrawdownAverage peak-to-trough decline | -9.47% | -3.48% | -5.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.76% | 3.48% | -0.72% |
Volatility
JPEM vs. EVLU - Volatility Comparison
The current volatility for J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) is 4.38%, while iShares MSCI Emerging Markets Value Factor ETF (EVLU) has a volatility of 8.93%. This indicates that JPEM experiences smaller price fluctuations and is considered to be less risky than EVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JPEM | EVLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.38% | 8.93% | -4.55% |
Volatility (6M)Calculated over the trailing 6-month period | 11.22% | 16.27% | -5.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.96% | 19.07% | -6.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.49% | 19.92% | -6.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.04% | 19.92% | -2.88% |
JPEM vs. EVLU - Expense Ratio Comparison
JPEM has a 0.44% expense ratio, which is higher than EVLU's 0.35% expense ratio.
Dividends
JPEM vs. EVLU - Dividend Comparison
JPEM's dividend yield for the trailing twelve months is around 4.40%, more than EVLU's 3.92% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EVLU iShares MSCI Emerging Markets Value Factor ETF | 3.92% | 5.20% | 1.03% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JPEM J.P. Morgan Diversified Return Emerging Markets Equity ETF | 4.40% | 4.65% | 5.12% | 4.46% | 4.71% | 4.40% | 2.85% | 3.47% | 2.79% | 2.14% | 1.28% | 3.22% |
Frequently Asked Questions
JPEM and EVLU have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EVLU has higher volatility (8.93%) compared to JPEM (4.38%). In terms of maximum drawdown, JPEM dropped -40.22% vs EVLU's -17.17%.
On 1-year performance, EVLU leads with 68.50% vs 22.05% for JPEM. On fees, EVLU is cheaper at 0.35% per year. On volatility, JPEM has been the lower-risk option at 4.38%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, EVLU has performed better with a 68.50% return vs 22.05%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EVLU is cheaper with a 0.35% expense ratio, compared with 0.44% for JPEM.
JPEM has the higher dividend yield at 4.40%, compared with 3.92% for EVLU.
JPEM tracks JPMorgan Diversified Factor Emerging Markets Equity Index, while EVLU tracks MSCI Emerging Markets Value Factor Select Index (Net). They also come from different issuers: JPMorgan and iShares. Their fees differ too: 0.44% for JPEM and 0.35% for EVLU.
EVLU currently has the higher Sharpe Ratio (3.61 vs 1.71), 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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