NEA vs. EMB
NEA (Nuveen AMT-Free Quality Municipal Income Fund) is a stock, while EMB (iShares J.P. Morgan USD Emerging Markets Bond ETF) is Emerging Markets Bonds fund tracking the JPMorgan EMBI Global Core Index. Over the past 10 years, NEA returned 2.81%/yr vs 3.19%/yr for EMB. At a 0.28 correlation, their price movements are largely independent. NEA charges 1.41%/yr vs 0.39%/yr for EMB.
Performance
NEA vs. EMB - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with NEA having a 1.11% return and EMB slightly higher at 1.14%. Over the past 10 years, NEA has underperformed EMB with an annualized return of 2.81%, while EMB has yielded a comparatively higher 3.19% annualized return.
NEA
- 1D
- -0.70%
- 1M
- -1.31%
- YTD
- 1.11%
- 6M
- 1.88%
- 1Y
- 13.65%
- 3Y*
- 8.73%
- 5Y*
- -0.37%
- 10Y*
- 2.81%
EMB
- 1D
- -0.13%
- 1M
- -0.48%
- YTD
- 1.14%
- 6M
- 1.92%
- 1Y
- 10.87%
- 3Y*
- 9.37%
- 5Y*
- 1.62%
- 10Y*
- 3.19%
NEA vs. EMB - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NEA Nuveen AMT-Free Quality Municipal Income Fund | 1.11% | 11.31% | 9.50% | 0.75% | -23.32% | 8.16% | 10.07% | 22.42% | -5.72% | 8.77% |
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF | 1.14% | 13.85% | 5.54% | 10.62% | -18.63% | -2.23% | 5.42% | 15.48% | -5.47% | 10.28% |
Correlation
The correlation between NEA and EMB is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.41 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.49 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.42 |
Correlation (All Time) Calculated using the full available price history since Dec 20, 2007 | 0.28 |
The correlation between NEA and EMB shifts across timeframes, from 0.28 (all time) to 0.52 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
NEA vs. EMB — Risk / Return Rank
NEA
EMB
NEA vs. EMB - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Nuveen AMT-Free Quality Municipal Income Fund (NEA) and iShares J.P. Morgan USD Emerging Markets Bond ETF (EMB). 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.
| NEA | EMB | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.66 | ||
| Sortino ratioReturn per unit of downside risk | -0.89 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.38 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 1.88 | 2.42 | -0.54 |
| Martin ratioReturn relative to average drawdown | 7.51 | 10.32 | -2.81 |
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
| NEA | EMB | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.29 | 1.95 | -0.66 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.03 | 0.17 | -0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.24 | 0.32 | -0.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.43 | -0.12 |
Drawdowns
NEA vs. EMB - Drawdown Comparison
The maximum NEA drawdown since its inception was -43.83%, which is greater than EMB's maximum drawdown of -34.70%. Use the drawdown chart below to compare losses from any high point for NEA and EMB.
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Drawdown Indicators
| NEA | EMB | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -43.83% | -34.70% | -9.13% |
Max Drawdown (1Y)Largest decline over 1 year | -7.27% | -4.51% | -2.76% |
Max Drawdown (3Y)Largest decline over 3 years | -15.16% | -7.95% | -7.21% |
Max Drawdown (5Y)Largest decline over 5 years | -36.57% | -28.74% | -7.83% |
Max Drawdown (10Y)Largest decline over 10 years | -36.57% | -28.74% | -7.83% |
Current DrawdownCurrent decline from peak | -5.99% | -1.02% | -4.97% |
Average DrawdownAverage peak-to-trough decline | -8.01% | -5.06% | -2.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.82% | 1.06% | +0.76% |
Volatility
NEA vs. EMB - Volatility Comparison
Nuveen AMT-Free Quality Municipal Income Fund (NEA) has a higher volatility of 2.94% compared to iShares J.P. Morgan USD Emerging Markets Bond ETF (EMB) at 1.76%. This indicates that NEA's price experiences larger fluctuations and is considered to be riskier than EMB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NEA | EMB | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.94% | 1.76% | +1.18% |
Volatility (6M)Calculated over the trailing 6-month period | 8.53% | 4.57% | +3.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.65% | 5.60% | +5.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.49% | 9.75% | +1.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.81% | 9.96% | +1.85% |
NEA vs. EMB - Expense Ratio Comparison
NEA has a 1.41% expense ratio, which is higher than EMB's 0.39% expense ratio.
Dividends
NEA vs. EMB - Dividend Comparison
NEA's dividend yield for the trailing twelve months is around 7.28%, more than EMB's 5.09% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF | 5.09% | 4.98% | 5.46% | 4.74% | 5.04% | 3.89% | 3.88% | 4.51% | 5.64% | 4.54% | 4.83% | 4.84% |
NEA Nuveen AMT-Free Quality Municipal Income Fund | 7.28% | 7.36% | 6.63% | 3.95% | 5.49% | 4.50% | 4.45% | 4.46% | 5.40% | 5.33% | 5.70% | 5.71% |
Frequently Asked Questions
NEA and EMB have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NEA has higher volatility (2.94%) compared to EMB (1.76%). In terms of maximum drawdown, NEA dropped -43.83% vs EMB's -34.70%.
EMB currently has the higher Sharpe Ratio (1.95 vs 1.29), 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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