EEM vs IEMG: returns, Sharpe ratio and drawdown
Performance
EEM+28.61%IEMG+26.75%
Summary
EEM vs IEMG
Over the past year, EEM returned +28.61% against +26.75% for IEMG. Over five years, EEM averaged +5.18% a year, compared with +5.03% for IEMG. EEM had the higher Sharpe ratio over the past year (0.96 vs 0.92), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.78% for IEMG and -14.24% for EEM.
Current Drawdown
EEM-6.19%IEMG-5.35%
Rolling Volatility
EEM+1.36%IEMG+1.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EEMIEMG
Alpha
EEM
2.92%
IEMG
1.72%
Beta
EEM
1.51x
IEMG
1.47x
Sharpe
EEM
0.96
IEMG
0.92
Sortino
EEM
1.37
IEMG
1.31
Omega
EEM
1.18
IEMG
1.17
Calmar
EEM
2.01
IEMG
1.94
Martin
EEM
4.48
IEMG
4.40
Comparisons