AUSF vs. JLGMX
Compare and contrast key facts about Global X Adaptive U.S. Factor ETF (AUSF) and JPMorgan Large Cap Growth Fund Class R6 (JLGMX).
AUSF is a passively managed fund by Global X that tracks the performance of the Adaptive Wealth Strategies U.S. Factor Index (USD). It was launched on Aug 24, 2018. JLGMX is a passively managed fund by JPMorgan that tracks the performance of the Russell 1000 Growth Index. It was launched on Nov 30, 2010. Both AUSF and JLGMX are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUSF or JLGMX.
Performance
AUSF vs. JLGMX - Performance Comparison
Returns By Period
In the year-to-date period, AUSF achieves a 22.89% return, which is significantly lower than JLGMX's 33.65% return.
AUSF
22.89%
4.22%
13.91%
33.52%
14.77%
N/A
JLGMX
33.65%
3.37%
12.38%
38.73%
13.56%
9.18%
Key characteristics
| AUSF | JLGMX | |
|---|---|---|
| Sharpe Ratio | 2.77 | 2.16 |
| Sortino Ratio | 4.03 | 2.85 |
| Omega Ratio | 1.50 | 1.39 |
| Calmar Ratio | 6.26 | 1.87 |
| Martin Ratio | 17.25 | 11.24 |
| Ulcer Index | 1.94% | 3.44% |
| Daily Std Dev | 12.09% | 17.96% |
| Max Drawdown | -44.24% | -39.64% |
| Current Drawdown | 0.00% | -0.95% |
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AUSF vs. JLGMX - Expense Ratio Comparison
AUSF has a 0.27% expense ratio, which is lower than JLGMX's 0.44% expense ratio.
Correlation
The correlation between AUSF and JLGMX is 0.60, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
AUSF vs. JLGMX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X Adaptive U.S. Factor ETF (AUSF) and JPMorgan Large Cap Growth Fund Class R6 (JLGMX). 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.
Dividends
AUSF vs. JLGMX - Dividend Comparison
AUSF's dividend yield for the trailing twelve months is around 2.16%, more than JLGMX's 0.23% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUSF Global X Adaptive U.S. Factor ETF | 2.16% | 1.83% | 1.99% | 2.22% | 2.95% | 4.03% | 1.47% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JLGMX JPMorgan Large Cap Growth Fund Class R6 | 0.23% | 0.31% | 0.61% | 0.00% | 0.12% | 0.26% | 0.08% | 0.00% | 0.00% | 0.00% | 0.00% | 0.09% |
Drawdowns
AUSF vs. JLGMX - Drawdown Comparison
The maximum AUSF drawdown since its inception was -44.24%, which is greater than JLGMX's maximum drawdown of -39.64%. Use the drawdown chart below to compare losses from any high point for AUSF and JLGMX. For additional features, visit the drawdowns tool.
Volatility
AUSF vs. JLGMX - Volatility Comparison
The current volatility for Global X Adaptive U.S. Factor ETF (AUSF) is 4.58%, while JPMorgan Large Cap Growth Fund Class R6 (JLGMX) has a volatility of 4.99%. This indicates that AUSF experiences smaller price fluctuations and is considered to be less risky than JLGMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.