JREZ.DE vs. CEMS.DE

Last updated Jun 5, 2026

JREZ.DE (JPMorgan Eurozone 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 - JREZ.DE tracks the JP Morgan Eurozone Research Enhanced Index Equity (ESG) while CEMS.DE tracks the MSCI Europe Enhanced Value. Both are passively managed. Over the past 3 years, JREZ.DE returned 15.63%/yr vs 21.63%/yr for CEMS.DE. Their correlation of 0.89 suggests significant overlap in exposure. Both charge a 0.25% expense ratio.

Performance

JREZ.DE vs. CEMS.DE - Performance Comparison

The chart below illustrates the hypothetical performance of a €10,000 investment in JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc) (JREZ.DE) and iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JREZ.DE achieves a 8.95% return, which is significantly lower than CEMS.DE's 13.72% return.

JREZ.DE

• 1D: 0.54%
• 1M: 1.81%
• YTD: 8.95%
• 6M: 10.72%
• 1Y: 18.03%
• 3Y*: 15.63%
• 5Y*: —
• 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%

*Multi-year figures are annualized to reflect compound growth (CAGR)

JREZ.DE vs. CEMS.DE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
JREZ.DE JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc)	8.95%	23.99%	8.26%	20.23%	0.68%
CEMS.DE iShares Edge MSCI Europe Value Factor UCITS ETF	13.72%	35.97%	9.93%	13.90%	-2.09%

Correlation

The correlation between JREZ.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	0.89
Correlation (All Time) Calculated using the full available price history since May 5, 2022	0.89

The correlation between JREZ.DE and CEMS.DE has been stable across timeframes, ranging from 0.89 to 0.91 - a consistent structural relationship.

Return for Risk

JREZ.DE vs. CEMS.DE — Risk / Return Rank

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

JREZ.DE

JREZ.DE Risk / Return Rank: 37
JREZ.DE Sharpe Ratio Rank: 35
JREZ.DE Sortino Ratio Rank: 36
JREZ.DE Omega Ratio Rank: 35
JREZ.DE Calmar Ratio Rank: 37
JREZ.DE Martin Ratio Rank: 41

CEMS.DE

CEMS.DE Risk / Return Rank: 71
CEMS.DE Sharpe Ratio Rank: 74
CEMS.DE Sortino Ratio Rank: 73
CEMS.DE Omega Ratio Rank: 74
CEMS.DE Calmar Ratio Rank: 67
CEMS.DE Martin Ratio Rank: 68

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

JREZ.DE vs. CEMS.DE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc) (JREZ.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.

	JREZ.DE	CEMS.DE	Difference
Sharpe ratio: Return per unit of total volatility	1.23	2.37	-1.14
Sortino ratio: Return per unit of downside risk	1.85	3.26	-1.41
Omega ratio: Gain probability vs. loss probability	1.23	1.43	-0.20
Calmar ratio: Return relative to maximum drawdown	1.80	3.29	-1.50
Martin ratio: Return relative to average drawdown	6.49	12.37	-5.88
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JREZ.DE vs. CEMS.DE - Sharpe Ratio Comparison

The current JREZ.DE Sharpe Ratio is 1.23, which is lower than the CEMS.DE Sharpe Ratio of 2.37. The chart below compares the historical Sharpe Ratios of JREZ.DE and CEMS.DE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	JREZ.DE	CEMS.DE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.23	2.37	-1.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.94	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.61	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.96	0.49	+0.47

Drawdowns

JREZ.DE vs. CEMS.DE - Drawdown Comparison

The maximum JREZ.DE drawdown since its inception was -14.86%, smaller than the maximum CEMS.DE drawdown of -40.20%. Use the drawdown chart below to compare losses from any high point for JREZ.DE and CEMS.DE.

Drawdown Indicators

	JREZ.DE	CEMS.DE	Difference
Max Drawdown Largest peak-to-trough decline	-14.86%	-40.20%	+25.34%
Max Drawdown (1Y) Largest decline over 1 year	-10.20%	-9.99%	-0.21%
Max Drawdown (3Y) Largest decline over 3 years	-14.81%	-17.57%	+2.76%
Max Drawdown (5Y) Largest decline over 5 years	—	-19.55%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-40.20%	—
Current Drawdown Current decline from peak	-0.54%	-1.26%	+0.72%
Average Drawdown Average peak-to-trough decline	-2.89%	-7.49%	+4.60%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.83%	2.66%	+0.17%

Volatility

JREZ.DE vs. CEMS.DE - Volatility Comparison

JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (acc) (JREZ.DE) and iShares Edge MSCI Europe Value Factor UCITS ETF (CEMS.DE) have volatilities of 4.64% and 4.65%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JREZ.DE	CEMS.DE	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.64%	4.65%	-0.01%
Volatility (6M) Calculated over the trailing 6-month period	12.16%	11.17%	+0.99%
Volatility (1Y) Calculated over the trailing 1-year period	14.92%	13.87%	+1.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.44%	15.23%	+0.21%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.44%	17.43%	-1.99%

JREZ.DE vs. CEMS.DE - Expense Ratio Comparison

Both JREZ.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

JREZ.DE vs. CEMS.DE - Dividend Comparison

Neither JREZ.DE nor CEMS.DE has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both JREZ.DE and CEMS.DE in my portfolio?

With a correlation of 0.91, JREZ.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.

Which ETF is better, JREZ.DE or CEMS.DE?

Both ETFs have the same 0.25% expense ratio. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, JREZ.DE or CEMS.DE?

JREZ.DE and CEMS.DE have the same expense ratio: 0.25% per year.

What is the main difference between JREZ.DE and CEMS.DE?

JREZ.DE tracks JP Morgan Eurozone Research Enhanced Index Equity (ESG), while CEMS.DE tracks MSCI Europe Enhanced Value. They also come from different issuers: JPMorgan and iShares.