PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BBEU vs. VOOG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BBEUVOOG
YTD Return2.97%35.16%
1Y Return10.97%41.67%
3Y Return (Ann)1.73%8.09%
5Y Return (Ann)6.31%17.87%
Sharpe Ratio1.062.59
Sortino Ratio1.543.32
Omega Ratio1.181.48
Calmar Ratio1.433.19
Martin Ratio5.3013.70
Ulcer Index2.63%3.21%
Daily Std Dev13.13%16.95%
Max Drawdown-36.26%-32.73%
Current Drawdown-9.72%-0.08%

Correlation

-0.50.00.51.00.7

The correlation between BBEU and VOOG is 0.69, 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.

Performance

BBEU vs. VOOG - Performance Comparison

In the year-to-date period, BBEU achieves a 2.97% return, which is significantly lower than VOOG's 35.16% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-6.20%
16.89%
BBEU
VOOG

Compare stocks, funds, or ETFs

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


BBEU vs. VOOG - Expense Ratio Comparison

BBEU has a 0.09% expense ratio, which is lower than VOOG's 0.10% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VOOG
Vanguard S&P 500 Growth ETF
Expense ratio chart for VOOG: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for BBEU: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

BBEU vs. VOOG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan BetaBuilders Europe ETF (BBEU) and Vanguard S&P 500 Growth ETF (VOOG). 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.


BBEU
Sharpe ratio
The chart of Sharpe ratio for BBEU, currently valued at 1.06, compared to the broader market-2.000.002.004.006.001.06
Sortino ratio
The chart of Sortino ratio for BBEU, currently valued at 1.54, compared to the broader market-2.000.002.004.006.008.0010.0012.001.54
Omega ratio
The chart of Omega ratio for BBEU, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for BBEU, currently valued at 1.43, compared to the broader market0.005.0010.0015.001.43
Martin ratio
The chart of Martin ratio for BBEU, currently valued at 5.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.30
VOOG
Sharpe ratio
The chart of Sharpe ratio for VOOG, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Sortino ratio
The chart of Sortino ratio for VOOG, currently valued at 3.32, compared to the broader market-2.000.002.004.006.008.0010.0012.003.32
Omega ratio
The chart of Omega ratio for VOOG, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for VOOG, currently valued at 3.19, compared to the broader market0.005.0010.0015.003.19
Martin ratio
The chart of Martin ratio for VOOG, currently valued at 13.70, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.70

BBEU vs. VOOG - Sharpe Ratio Comparison

The current BBEU Sharpe Ratio is 1.06, which is lower than the VOOG Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of BBEU and VOOG, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.06
2.59
BBEU
VOOG

Dividends

BBEU vs. VOOG - Dividend Comparison

BBEU's dividend yield for the trailing twelve months is around 3.12%, more than VOOG's 0.59% yield.


TTM20232022202120202019201820172016201520142013
BBEU
JPMorgan BetaBuilders Europe ETF
3.12%2.94%4.72%2.63%2.29%3.24%0.49%0.00%0.00%0.00%0.00%0.00%
VOOG
Vanguard S&P 500 Growth ETF
0.59%1.12%0.93%0.53%0.88%1.26%1.34%1.32%1.47%1.56%1.28%1.46%

Drawdowns

BBEU vs. VOOG - Drawdown Comparison

The maximum BBEU drawdown since its inception was -36.26%, which is greater than VOOG's maximum drawdown of -32.73%. Use the drawdown chart below to compare losses from any high point for BBEU and VOOG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.72%
-0.08%
BBEU
VOOG

Volatility

BBEU vs. VOOG - Volatility Comparison

The current volatility for JPMorgan BetaBuilders Europe ETF (BBEU) is 4.46%, while Vanguard S&P 500 Growth ETF (VOOG) has a volatility of 5.06%. This indicates that BBEU experiences smaller price fluctuations and is considered to be less risky than VOOG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
4.46%
5.06%
BBEU
VOOG