PortfoliosLab logoPortfoliosLab logo
SJB vs. EEM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

SJB vs. EEM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Short High Yield (SJB) and iShares MSCI Emerging Markets ETF (EEM). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, SJB achieves a 0.74% return, which is significantly lower than EEM's 23.41% return. Over the past 10 years, SJB has underperformed EEM with an annualized return of -3.86%, while EEM has yielded a comparatively higher 9.87% annualized return.


SJB

1D
0.13%
1M
-0.16%
YTD
0.74%
6M
0.66%
1Y
-0.07%
3Y*
-2.22%
5Y*
-0.36%
10Y*
-3.86%

EEM

1D
-5.67%
1M
2.49%
YTD
23.41%
6M
24.32%
1Y
46.62%
3Y*
22.58%
5Y*
6.54%
10Y*
9.87%
*Multi-year figures are annualized to reflect compound growth (CAGR)

SJB vs. EEM - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
SJB
ProShares Short High Yield
0.74%-1.87%-0.84%-5.63%9.57%-6.69%-9.23%-11.42%2.47%-6.17%
EEM
iShares MSCI Emerging Markets ETF
23.41%33.98%6.49%8.95%-20.56%-3.63%17.02%18.22%-15.31%37.26%

Correlation

The correlation between SJB and EEM is -0.57, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.57

Correlation (3Y)
Calculated over the trailing 3-year period

-0.54

Correlation (5Y)
Calculated over the trailing 5-year period

-0.55

Correlation (10Y)
Calculated over the trailing 10-year period

-0.59

Correlation (All Time)
Calculated using the full available price history since Mar 22, 2011

-0.60

The correlation between SJB and EEM has been stable across timeframes, ranging from -0.59 to -0.54 - a consistent structural relationship.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Return for Risk

SJB vs. EEM — Risk / Return Rank

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

SJB
SJB Risk / Return Rank: 88
Overall Rank
SJB Sharpe Ratio Rank: 99
Sharpe Ratio Rank
SJB Sortino Ratio Rank: 77
Sortino Ratio Rank
SJB Omega Ratio Rank: 77
Omega Ratio Rank
SJB Calmar Ratio Rank: 88
Calmar Ratio Rank
SJB Martin Ratio Rank: 88
Martin Ratio Rank

EEM
EEM Risk / Return Rank: 6767
Overall Rank
EEM Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
EEM Sortino Ratio Rank: 5757
Sortino Ratio Rank
EEM Omega Ratio Rank: 6969
Omega Ratio Rank
EEM Calmar Ratio Rank: 7171
Calmar Ratio Rank
EEM Martin Ratio Rank: 7070
Martin Ratio Rank
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.

SJB vs. EEM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short High Yield (SJB) and iShares MSCI Emerging Markets ETF (EEM). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.


SJBEEMDifference
Sharpe ratioReturn per unit of total volatility

-2.08

Sortino ratioReturn per unit of downside risk

-2.63

Omega ratioGain probability vs. loss probability

1.00

1.39

-0.39

Calmar ratioReturn relative to maximum drawdown

-0.02

3.46

-3.49

Martin ratioReturn relative to average drawdown

-0.05

12.70

-12.75

SJB vs. EEM - Sharpe Ratio Comparison

The current SJB Sharpe Ratio is -0.02, which is lower than the EEM Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of SJB and EEM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


Loading charts...

Drawdowns

SJB vs. EEM - Drawdown Comparison

The maximum SJB drawdown since its inception was -58.06%, smaller than the maximum EEM drawdown of -66.43%. Use the drawdown chart below to compare losses from any high point for SJB and EEM.


Loading charts...

Drawdown Indicators


SJBEEMDifference

Max Drawdown

Largest peak-to-trough decline

-58.06%

-66.43%

+8.37%

Max Drawdown (1Y)

Largest decline over 1 year

-2.74%

-13.52%

+10.78%

Max Drawdown (3Y)

Largest decline over 3 years

-10.54%

-17.29%

+6.75%

Max Drawdown (5Y)

Largest decline over 5 years

-13.30%

-37.49%

+24.19%

Max Drawdown (10Y)

Largest decline over 10 years

-34.57%

-39.82%

+5.25%

Current Drawdown

Current decline from peak

-57.40%

-5.67%

-51.73%

Average Drawdown

Average peak-to-trough decline

-42.52%

-15.99%

-26.53%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.30%

3.68%

-2.38%

Volatility

SJB vs. EEM - Volatility Comparison

The current volatility for ProShares Short High Yield (SJB) is 1.06%, while iShares MSCI Emerging Markets ETF (EEM) has a volatility of 12.59%. This indicates that SJB experiences smaller price fluctuations and is considered to be less risky than EEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


Loading charts...

Volatility by Period


SJBEEMDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.06%

12.59%

-11.53%

Volatility (6M)

Calculated over the trailing 6-month period

3.03%

20.73%

-17.70%

Volatility (1Y)

Calculated over the trailing 1-year period

3.88%

22.77%

-18.89%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

7.52%

19.55%

-12.03%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

8.50%

20.67%

-12.17%

SJB vs. EEM - Expense Ratio Comparison

SJB has a 0.95% expense ratio, which is higher than EEM's 0.72% expense ratio.


Dividends

SJB vs. EEM - Dividend Comparison

SJB's dividend yield for the trailing twelve months is around 3.43%, more than EEM's 1.66% yield.


PositionTTM20252024202320222021202020192018201720162015
EEM
iShares MSCI Emerging Markets ETF
1.66%2.22%2.43%2.63%2.50%1.99%1.45%2.76%2.24%1.89%1.89%2.49%
SJB
ProShares Short High Yield
3.43%3.86%5.86%4.10%0.46%0.00%0.07%1.27%0.71%0.00%0.00%0.00%

Frequently Asked Questions


SJB and EEM have a correlation of -0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EEM has higher volatility (12.59%) compared to SJB (1.06%). In terms of maximum drawdown, SJB dropped -58.06% vs EEM's -66.43%.

On 10-year performance, EEM leads with 9.87% vs -3.86% for SJB. On fees, EEM is cheaper at 0.72% per year. On volatility, SJB has been the lower-risk option at 1.06%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, EEM has performed better with a 9.87% return vs -3.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

EEM is cheaper with a 0.72% expense ratio, compared with 0.95% for SJB.

SJB has the higher dividend yield at 3.43%, compared with 1.66% for EEM.

SJB is categorized as Inverse Bonds, while EEM is Emerging Markets Diversified. SJB tracks iBoxx $ Liquid High Yield Index (-100%), while EEM tracks MSCI Emerging Markets Index (Net). They also come from different issuers: ProShares and iShares. Their fees differ too: 0.95% for SJB and 0.72% for EEM.

EEM currently has the higher Sharpe Ratio (2.06 vs -0.02), 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.

Portfolio Optimizer

Find the right allocation for SJB and EEM

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer