PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JPMorgan Diversified Return U.S. Small Cap Equity ...
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

ISIN

US46641Q8454

CUSIP

46641Q845

Issuer

JPMorgan Chase

Inception Date

Nov 15, 2016

Region

North America (U.S.)

Leveraged

1x

Index Tracked

JPMorgan Diversified Factor US Small Cap Equity Index

Asset Class

Equity

Asset Class Size

Micro-Cap

Asset Class Style

Blend

Share Price Chart


Loading data...

Compare to other instruments

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


Popular comparisons:
JPSE vs. PULS JPSE vs. FLQM JPSE vs. BIGZ JPSE vs. VOO JPSE vs. IJR JPSE vs. IWM JPSE vs. PFFA JPSE vs. BITO JPSE vs. BSCN JPSE vs. DFAS
Popular comparisons:
JPSE vs. PULS JPSE vs. FLQM JPSE vs. BIGZ JPSE vs. VOO JPSE vs. IJR JPSE vs. IWM JPSE vs. PFFA JPSE vs. BITO JPSE vs. BSCN JPSE vs. DFAS

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in JPMorgan Diversified Return U.S. Small Cap Equity ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.95%
11.49%
JPSE (JPMorgan Diversified Return U.S. Small Cap Equity ETF)
Benchmark (^GSPC)

Returns By Period

JPMorgan Diversified Return U.S. Small Cap Equity ETF had a return of 13.48% year-to-date (YTD) and 26.84% in the last 12 months.


JPSE

YTD

13.48%

1M

3.28%

6M

10.95%

1Y

26.84%

5Y (annualized)

11.51%

10Y (annualized)

N/A

^GSPC (Benchmark)

YTD

24.05%

1M

1.08%

6M

11.50%

1Y

30.38%

5Y (annualized)

13.77%

10Y (annualized)

11.13%

Monthly Returns

The table below presents the monthly returns of JPSE, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-3.85%3.14%3.67%-5.22%4.76%-2.42%10.70%-1.83%1.80%-2.62%13.48%
20239.24%-2.06%-3.67%-2.36%-1.95%7.89%5.22%-3.38%-5.22%-5.07%7.44%10.77%15.88%
2022-7.68%2.05%1.22%-7.60%1.83%-8.93%10.10%-3.68%-10.52%12.86%4.53%-6.44%-14.40%
20215.58%8.05%3.14%1.50%2.33%1.19%-1.96%1.88%-2.20%4.65%-2.16%4.54%29.31%
2020-3.93%-9.72%-23.37%14.76%6.67%3.37%4.71%3.80%-3.39%1.76%16.31%7.62%12.49%
201910.21%4.18%-1.48%3.46%-7.68%7.05%1.04%-4.91%2.54%1.77%2.72%3.22%22.95%
20180.74%-4.41%1.98%1.14%5.20%1.99%1.35%3.93%-1.63%-8.75%1.67%-10.77%-8.61%
2017-1.42%2.79%1.02%1.79%-1.87%2.10%0.71%-1.29%5.64%1.45%3.21%-0.37%14.38%
20160.97%2.67%3.67%

Expense Ratio

JPSE features an expense ratio of 0.29%, falling within the medium range.


Expense ratio chart for JPSE: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of JPSE is 51, suggesting that the investment has average results relative to other ETFs in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of JPSE is 5151
Combined Rank
The Sharpe Ratio Rank of JPSE is 4747
Sharpe Ratio Rank
The Sortino Ratio Rank of JPSE is 4949
Sortino Ratio Rank
The Omega Ratio Rank of JPSE is 4747
Omega Ratio Rank
The Calmar Ratio Rank of JPSE is 5959
Calmar Ratio Rank
The Martin Ratio Rank of JPSE is 5252
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for JPSE, currently valued at 1.36, compared to the broader market0.002.004.001.362.46
The chart of Sortino ratio for JPSE, currently valued at 2.03, compared to the broader market-2.000.002.004.006.008.0010.0012.002.033.31
The chart of Omega ratio for JPSE, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.46
The chart of Calmar ratio for JPSE, currently valued at 1.77, compared to the broader market0.005.0010.0015.001.773.55
The chart of Martin ratio for JPSE, currently valued at 7.37, compared to the broader market0.0020.0040.0060.0080.00100.007.3715.76
JPSE
^GSPC

The current JPMorgan Diversified Return U.S. Small Cap Equity ETF Sharpe ratio is 1.36. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of JPMorgan Diversified Return U.S. Small Cap Equity ETF with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.36
2.46
JPSE (JPMorgan Diversified Return U.S. Small Cap Equity ETF)
Benchmark (^GSPC)

Dividends

Dividend History

JPMorgan Diversified Return U.S. Small Cap Equity ETF provided a 1.64% dividend yield over the last twelve months, with an annual payout of $0.81 per share. The fund has been increasing its distributions for 7 consecutive years.


0.00%0.50%1.00%1.50%$0.00$0.20$0.40$0.60$0.8020162017201820192020202120222023
Dividends
Dividend Yield
PeriodTTM20232022202120202019201820172016
Dividend$0.81$0.78$0.60$0.57$0.48$0.40$0.32$0.22$0.04

Dividend yield

1.64%1.76%1.55%1.24%1.32%1.23%1.18%0.74%0.14%

Monthly Dividends

The table displays the monthly dividend distributions for JPMorgan Diversified Return U.S. Small Cap Equity ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.09$0.00$0.00$0.20$0.00$0.00$0.20$0.00$0.00$0.49
2023$0.00$0.00$0.07$0.00$0.00$0.21$0.00$0.00$0.18$0.00$0.00$0.32$0.78
2022$0.00$0.00$0.03$0.00$0.00$0.12$0.00$0.00$0.14$0.00$0.00$0.31$0.60
2021$0.00$0.00$0.07$0.00$0.00$0.08$0.00$0.00$0.13$0.00$0.00$0.29$0.57
2020$0.00$0.00$0.09$0.00$0.00$0.11$0.00$0.00$0.08$0.00$0.00$0.20$0.48
2019$0.00$0.00$0.04$0.00$0.00$0.13$0.00$0.00$0.10$0.00$0.00$0.13$0.40
2018$0.00$0.00$0.04$0.00$0.00$0.09$0.00$0.00$0.09$0.00$0.00$0.11$0.32
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.22$0.22
2016$0.04$0.04

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.62%
-1.40%
JPSE (JPMorgan Diversified Return U.S. Small Cap Equity ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the JPMorgan Diversified Return U.S. Small Cap Equity ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the JPMorgan Diversified Return U.S. Small Cap Equity ETF was 43.02%, occurring on Mar 23, 2020. Recovery took 166 trading sessions.

The current JPMorgan Diversified Return U.S. Small Cap Equity ETF drawdown is 3.62%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.02%Jan 17, 202045Mar 23, 2020166Nov 16, 2020211
-25.56%Nov 9, 2021222Sep 27, 2022450Jul 15, 2024672
-23.27%Sep 17, 201869Dec 24, 2018265Jan 14, 2020334
-9.04%Aug 1, 20243Aug 5, 202432Sep 19, 202435
-8.4%Mar 16, 20217Mar 24, 202147Jun 1, 202154

Volatility

Volatility Chart

The current JPMorgan Diversified Return U.S. Small Cap Equity ETF volatility is 7.07%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
7.07%
4.07%
JPSE (JPMorgan Diversified Return U.S. Small Cap Equity ETF)
Benchmark (^GSPC)