EMEQ vs IEMG: returns, Sharpe ratio and drawdown
Performance
EMEQ+50.49%IEMG+11.34%
Summary
EMEQ vs IEMG
Over the past year, EMEQ returned +50.49% against +11.34% for IEMG. EMEQ had the higher Sharpe ratio over the past year (1.08 vs 0.38), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.78% for IEMG and -26.30% for EMEQ. Dividends over the past year came to 2.42% of IEMG's price, against 1.90% for EMEQ.
Current Drawdown
EMEQ-25.37%IEMG-13.66%
Rolling Volatility
EMEQ+2.03%IEMG+1.34%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EMEQIEMG
Alpha
EMEQ
27.27%
IEMG
-2.76%
Beta
EMEQ
2.29x
IEMG
1.51x
Sharpe
EMEQ
1.08
IEMG
0.38
Sortino
EMEQ
1.54
IEMG
0.53
Omega
EMEQ
1.20
IEMG
1.07
Calmar
EMEQ
1.92
IEMG
0.82
Martin
EMEQ
3.88
IEMG
1.67
Comparisons