JREE.DE vs. CEMT.DE
JREE.DE (JPMorgan Europe Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc)) and CEMT.DE (iShares Edge MSCI Europe Size Factor UCITS ETF) are both Europe Equities funds - JREE.DE tracks the JP Morgan Europe Research Enhanced Index Equity (ESG) while CEMT.DE tracks the MSCI Europe Mid Cap Equal Weighted. Both are passively managed. Over the past 5 years, JREE.DE returned 9.92%/yr vs 4.08%/yr for CEMT.DE. Their correlation of 0.87 suggests significant overlap in exposure. Both charge a 0.25% expense ratio.
Performance
JREE.DE vs. CEMT.DE - Performance Comparison
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Returns By Period
JREE.DE
- 1D
- 0.69%
- 1M
- 3.34%
- YTD
- 7.37%
- 6M
- 9.73%
- 1Y
- 16.00%
- 3Y*
- 13.05%
- 5Y*
- 9.92%
- 10Y*
- —
CEMT.DE
- 1D
- 0.00%
- 1M
- 0.00%
- YTD
- 0.00%
- 6M
- 0.00%
- 1Y
- 4.36%
- 3Y*
- 9.41%
- 5Y*
- 4.08%
- 10Y*
- 6.44%
JREE.DE vs. CEMT.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% |
CEMT.DE iShares Edge MSCI Europe Size Factor UCITS ETF | 0.00% | 17.53% | 5.08% | 14.19% | -18.24% | 19.63% | 1.61% | 28.81% | -10.66% |
Correlation
The correlation between JREE.DE and CEMT.DE is 0.47, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.47 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.74 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since Oct 17, 2018 | 0.87 |
Over the past year, the correlation between JREE.DE and CEMT.DE has dropped to 0.47 - well below their long-term average of 0.87, suggesting their price drivers have been diverging.
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Return for Risk
JREE.DE vs. CEMT.DE — Risk / Return Rank
JREE.DE
CEMT.DE
JREE.DE vs. CEMT.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 Size Factor UCITS ETF (CEMT.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 | CEMT.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.46 | ||
| Sortino ratioReturn per unit of downside risk | +0.75 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.21 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 1.60 | 1.10 | +0.50 |
| Martin ratioReturn relative to average drawdown | 5.79 | 4.03 | +1.75 |
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 | CEMT.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.22 | 0.77 | +0.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.67 | 0.28 | +0.39 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.40 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.65 | 0.37 | +0.27 |
Drawdowns
JREE.DE vs. CEMT.DE - Drawdown Comparison
The maximum JREE.DE drawdown since its inception was -35.62%, smaller than the maximum CEMT.DE drawdown of -37.66%. Use the drawdown chart below to compare losses from any high point for JREE.DE and CEMT.DE.
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Drawdown Indicators
| JREE.DE | CEMT.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.62% | -37.66% | +2.04% |
Max Drawdown (1Y)Largest decline over 1 year | -9.97% | -4.26% | -5.71% |
Max Drawdown (3Y)Largest decline over 3 years | -16.63% | -14.36% | -2.27% |
Max Drawdown (5Y)Largest decline over 5 years | -19.02% | -29.23% | +10.21% |
Max Drawdown (10Y)Largest decline over 10 years | — | -37.66% | — |
Current DrawdownCurrent decline from peak | -1.28% | -0.39% | -0.89% |
Average DrawdownAverage peak-to-trough decline | -4.59% | -7.08% | +2.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.76% | 1.16% | +1.60% |
Volatility
JREE.DE vs. CEMT.DE - Volatility Comparison
JPMorgan Europe Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc) (JREE.DE) has a higher volatility of 4.22% compared to iShares Edge MSCI Europe Size Factor UCITS ETF (CEMT.DE) at 0.00%. This indicates that JREE.DE's price experiences larger fluctuations and is considered to be riskier than CEMT.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 | CEMT.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.22% | 0.00% | +4.22% |
Volatility (6M)Calculated over the trailing 6-month period | 10.65% | 0.00% | +10.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.05% | 6.11% | +6.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.66% | 14.61% | +0.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.70% | 16.11% | +0.59% |
JREE.DE vs. CEMT.DE - Expense Ratio Comparison
Both JREE.DE and CEMT.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. CEMT.DE - Dividend Comparison
Neither JREE.DE nor CEMT.DE has paid dividends to shareholders.
Frequently Asked Questions
JREE.DE and CEMT.DE have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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 CEMT.DE have the same expense ratio: 0.25% per year.
JREE.DE tracks JP Morgan Europe Research Enhanced Index Equity (ESG), while CEMT.DE tracks MSCI Europe Mid Cap Equal Weighted. They also come from different issuers: JPMorgan and iShares.
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