How long of a period are you looking at?

Here is a comparison of SPY (the S&P 500) and EEM (the Emerging Markets index) over the last five years:

http://finance.google.com/finance?chdnp=1&chdd=1&chds=1&chdv=1&chvs=maximized&chdeh=0&chfdeh=0&chdet=1194555600000&chddm=492660&cmpto=NYSE:EEM&q=AMEX:SPY

I would say that the difference is fairly dramatic.

Obviously, past performance is no indicator future results, and they both may go down. But historically, they are pretty different.