JREE.DE vs. CEMS.DE
JREE.DE (JPMorgan Europe Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc)) and CEMS.DE (iShares Edge MSCI Europe Value Factor UCITS ETF) are both Europe Equities funds - JREE.DE tracks the JP Morgan Europe Research Enhanced Index Equity (ESG) while CEMS.DE tracks the MSCI Europe Enhanced Value. Both are passively managed. Over the past 5 years, JREE.DE returned 9.92%/yr vs 14.47%/yr for CEMS.DE. Their correlation of 0.89 suggests significant overlap in exposure. Both charge a 0.25% expense ratio.
Performance
JREE.DE vs. CEMS.DE - Performance Comparison
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Returns By Period
In the year-to-date period, JREE.DE achieves a 7.37% return, which is significantly lower than CEMS.DE's 13.72% return.
JREE.DE
- 1D
- 0.69%
- 1M
- 1.07%
- YTD
- 7.37%
- 6M
- 9.76%
- 1Y
- 15.96%
- 3Y*
- 13.05%
- 5Y*
- 9.92%
- 10Y*
- —
CEMS.DE
- 1D
- 0.10%
- 1M
- 2.64%
- YTD
- 13.72%
- 6M
- 16.98%
- 1Y
- 32.08%
- 3Y*
- 21.63%
- 5Y*
- 14.47%
- 10Y*
- 10.71%
JREE.DE vs. CEMS.DE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
JREE.DE JPMorgan Europe Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc) | 7.37% | 20.14% | 6.61% | 17.08% | -9.48% | 25.69% | -1.97% | 30.84% | -6.54% |
CEMS.DE iShares Edge MSCI Europe Value Factor UCITS ETF | 13.72% | 35.97% | 9.93% | 13.90% | -4.54% | 26.62% | -8.86% | 23.48% | -8.66% |
Correlation
The correlation between JREE.DE and CEMS.DE is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.91 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.86 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.88 |
Correlation (All Time) Calculated using the full available price history since Oct 17, 2018 | 0.89 |
The correlation between JREE.DE and CEMS.DE has been stable across timeframes, ranging from 0.86 to 0.91 - a consistent structural relationship.
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Return for Risk
JREE.DE vs. CEMS.DE — Risk / Return Rank
JREE.DE
CEMS.DE
JREE.DE vs. CEMS.DE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Europe Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc) (JREE.DE) and iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE). 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.
| JREE.DE | CEMS.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.15 | ||
| Sortino ratioReturn per unit of downside risk | -1.45 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.43 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 1.60 | 3.29 | -1.69 |
| Martin ratioReturn relative to average drawdown | 5.79 | 12.37 | -6.58 |
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
| JREE.DE | CEMS.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.22 | 2.37 | -1.15 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.67 | 0.94 | -0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.61 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.65 | 0.49 | +0.16 |
Drawdowns
JREE.DE vs. CEMS.DE - Drawdown Comparison
The maximum JREE.DE drawdown since its inception was -35.62%, smaller than the maximum CEMS.DE drawdown of -40.20%. Use the drawdown chart below to compare losses from any high point for JREE.DE and CEMS.DE.
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Drawdown Indicators
| JREE.DE | CEMS.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.62% | -40.20% | +4.58% |
Max Drawdown (1Y)Largest decline over 1 year | -9.97% | -9.99% | +0.02% |
Max Drawdown (3Y)Largest decline over 3 years | -16.63% | -17.57% | +0.94% |
Max Drawdown (5Y)Largest decline over 5 years | -19.02% | -19.55% | +0.53% |
Max Drawdown (10Y)Largest decline over 10 years | — | -40.20% | — |
Current DrawdownCurrent decline from peak | -1.28% | -1.26% | -0.02% |
Average DrawdownAverage peak-to-trough decline | -4.59% | -7.49% | +2.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.76% | 2.66% | +0.10% |
Volatility
JREE.DE vs. CEMS.DE - Volatility Comparison
The current volatility for JPMorgan Europe Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc) (JREE.DE) is 4.22%, while iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE) has a volatility of 4.65%. This indicates that JREE.DE experiences smaller price fluctuations and is considered to be less risky than CEMS.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JREE.DE | CEMS.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.22% | 4.65% | -0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 10.65% | 11.17% | -0.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.05% | 13.87% | -0.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.66% | 15.23% | -0.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.70% | 17.43% | -0.73% |
JREE.DE vs. CEMS.DE - Expense Ratio Comparison
Both JREE.DE and CEMS.DE have an expense ratio of 0.25%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Dividends
JREE.DE vs. CEMS.DE - Dividend Comparison
Neither JREE.DE nor CEMS.DE has paid dividends to shareholders.
Frequently Asked Questions
With a correlation of 0.91, JREE.DE and CEMS.DE 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.
Both ETFs have the same 0.25% expense ratio. The better choice depends on whether you care most about return, fees, risk, or income.
JREE.DE and CEMS.DE have the same expense ratio: 0.25% per year.
JREE.DE tracks JP Morgan Europe Research Enhanced Index Equity (ESG), while CEMS.DE tracks MSCI Europe Enhanced Value. They also come from different issuers: JPMorgan and iShares.
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