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XCEM vs. EMGF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

XCEM vs. EMGF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Columbia EM Core ex-China ETF (XCEM) and iShares Edge MSCI Multifactor Emerging Markets ETF (EMGF). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.86%
0.54%
XCEM
EMGF

Returns By Period

In the year-to-date period, XCEM achieves a 2.84% return, which is significantly lower than EMGF's 10.70% return.


XCEM

YTD

2.84%

1M

-4.01%

6M

-0.22%

1Y

9.91%

5Y (annualized)

4.79%

10Y (annualized)

N/A

EMGF

YTD

10.70%

1M

-4.49%

6M

0.99%

1Y

16.85%

5Y (annualized)

5.25%

10Y (annualized)

N/A

Key characteristics


XCEMEMGF
Sharpe Ratio0.681.10
Sortino Ratio1.001.62
Omega Ratio1.131.20
Calmar Ratio0.810.97
Martin Ratio3.025.06
Ulcer Index3.19%3.29%
Daily Std Dev14.17%15.06%
Max Drawdown-40.92%-40.23%
Current Drawdown-7.87%-8.62%

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XCEM vs. EMGF - Expense Ratio Comparison

XCEM has a 0.16% expense ratio, which is lower than EMGF's 0.45% expense ratio.


EMGF
iShares Edge MSCI Multifactor Emerging Markets ETF
Expense ratio chart for EMGF: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for XCEM: current value at 0.16% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.16%

Correlation

-0.50.00.51.00.8

The correlation between XCEM and EMGF is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

XCEM vs. EMGF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Columbia EM Core ex-China ETF (XCEM) and iShares Edge MSCI Multifactor Emerging Markets ETF (EMGF). 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.


Sharpe ratio
The chart of Sharpe ratio for XCEM, currently valued at 0.68, compared to the broader market0.002.004.000.681.10
The chart of Sortino ratio for XCEM, currently valued at 1.00, compared to the broader market-2.000.002.004.006.008.0010.001.001.62
The chart of Omega ratio for XCEM, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.20
The chart of Calmar ratio for XCEM, currently valued at 0.81, compared to the broader market0.005.0010.0015.000.810.97
The chart of Martin ratio for XCEM, currently valued at 3.02, compared to the broader market0.0020.0040.0060.0080.00100.003.025.06
XCEM
EMGF

The current XCEM Sharpe Ratio is 0.68, which is lower than the EMGF Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of XCEM and EMGF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.68
1.10
XCEM
EMGF

Dividends

XCEM vs. EMGF - Dividend Comparison

XCEM's dividend yield for the trailing twelve months is around 1.19%, less than EMGF's 5.30% yield.


TTM202320222021202020192018201720162015
XCEM
Columbia EM Core ex-China ETF
1.19%1.22%2.42%1.94%1.63%2.11%3.24%8.57%1.24%2.57%
EMGF
iShares Edge MSCI Multifactor Emerging Markets ETF
5.30%5.94%4.04%2.48%1.95%2.63%2.73%1.95%2.04%0.00%

Drawdowns

XCEM vs. EMGF - Drawdown Comparison

The maximum XCEM drawdown since its inception was -40.92%, roughly equal to the maximum EMGF drawdown of -40.23%. Use the drawdown chart below to compare losses from any high point for XCEM and EMGF. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.87%
-8.62%
XCEM
EMGF

Volatility

XCEM vs. EMGF - Volatility Comparison

The current volatility for Columbia EM Core ex-China ETF (XCEM) is 3.41%, while iShares Edge MSCI Multifactor Emerging Markets ETF (EMGF) has a volatility of 4.67%. This indicates that XCEM experiences smaller price fluctuations and is considered to be less risky than EMGF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.41%
4.67%
XCEM
EMGF