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BBEU vs. RIO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

BBEU vs. RIO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan BetaBuilders Europe ETF (BBEU) and Rio Tinto Group (RIO). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-5.50%
-13.01%
BBEU
RIO

Returns By Period

In the year-to-date period, BBEU achieves a 3.36% return, which is significantly higher than RIO's -10.59% return.


BBEU

YTD

3.36%

1M

-6.61%

6M

-5.49%

1Y

9.94%

5Y (annualized)

6.54%

10Y (annualized)

N/A

RIO

YTD

-10.59%

1M

-4.96%

6M

-12.90%

1Y

-2.37%

5Y (annualized)

12.31%

10Y (annualized)

10.78%

Key characteristics


BBEURIO
Sharpe Ratio0.90-0.07
Sortino Ratio1.300.06
Omega Ratio1.151.01
Calmar Ratio1.19-0.10
Martin Ratio4.08-0.17
Ulcer Index2.83%9.26%
Daily Std Dev12.82%22.93%
Max Drawdown-36.26%-88.97%
Current Drawdown-9.37%-13.16%

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Correlation

-0.50.00.51.00.6

The correlation between BBEU and RIO is 0.59, 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

BBEU vs. RIO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan BetaBuilders Europe ETF (BBEU) and Rio Tinto Group (RIO). 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.


Sharpe ratio
The chart of Sharpe ratio for BBEU, currently valued at 0.90, compared to the broader market0.002.004.000.90-0.07
The chart of Sortino ratio for BBEU, currently valued at 1.30, compared to the broader market-2.000.002.004.006.008.0010.001.300.06
The chart of Omega ratio for BBEU, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.01
The chart of Calmar ratio for BBEU, currently valued at 1.19, compared to the broader market0.005.0010.0015.001.19-0.10
The chart of Martin ratio for BBEU, currently valued at 4.08, compared to the broader market0.0020.0040.0060.0080.00100.004.08-0.17
BBEU
RIO

The current BBEU Sharpe Ratio is 0.90, which is higher than the RIO Sharpe Ratio of -0.07. The chart below compares the historical Sharpe Ratios of BBEU and RIO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.90
-0.07
BBEU
RIO

Dividends

BBEU vs. RIO - Dividend Comparison

BBEU's dividend yield for the trailing twelve months is around 3.10%, less than RIO's 7.00% yield.


TTM20232022202120202019201820172016201520142013
BBEU
JPMorgan BetaBuilders Europe ETF
3.10%2.94%4.72%2.63%2.29%3.24%0.49%0.00%0.00%0.00%0.00%0.00%
RIO
Rio Tinto Group
7.00%5.40%10.48%14.39%5.13%10.70%6.32%4.45%3.96%7.79%4.46%3.15%

Drawdowns

BBEU vs. RIO - Drawdown Comparison

The maximum BBEU drawdown since its inception was -36.26%, smaller than the maximum RIO drawdown of -88.97%. Use the drawdown chart below to compare losses from any high point for BBEU and RIO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.37%
-13.16%
BBEU
RIO

Volatility

BBEU vs. RIO - Volatility Comparison

The current volatility for JPMorgan BetaBuilders Europe ETF (BBEU) is 4.38%, while Rio Tinto Group (RIO) has a volatility of 7.97%. This indicates that BBEU experiences smaller price fluctuations and is considered to be less risky than RIO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.38%
7.97%
BBEU
RIO