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BBEU vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

BBEU vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan BetaBuilders Europe ETF (BBEU) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-5.61%
12.14%
BBEU
^GSPC

Returns By Period

In the year-to-date period, BBEU achieves a 2.71% return, which is significantly lower than ^GSPC's 24.72% return.


BBEU

YTD

2.71%

1M

-5.86%

6M

-4.91%

1Y

9.12%

5Y (annualized)

6.40%

10Y (annualized)

N/A

^GSPC

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

Key characteristics


BBEU^GSPC
Sharpe Ratio0.722.54
Sortino Ratio1.053.40
Omega Ratio1.131.47
Calmar Ratio0.923.66
Martin Ratio3.0216.26
Ulcer Index3.03%1.91%
Daily Std Dev12.79%12.23%
Max Drawdown-36.26%-56.78%
Current Drawdown-9.95%-0.88%

Compare stocks, funds, or ETFs

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Correlation

-0.50.00.51.00.8

The correlation between BBEU and ^GSPC is 0.77, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

BBEU vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan BetaBuilders Europe ETF (BBEU) and S&P 500 (^GSPC). 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 0.71, compared to the broader market0.002.004.000.722.54
The chart of Sortino ratio for BBEU, currently valued at 1.05, compared to the broader market-2.000.002.004.006.008.0010.001.053.40
The chart of Omega ratio for BBEU, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.47
The chart of Calmar ratio for BBEU, currently valued at 0.92, compared to the broader market0.005.0010.0015.000.923.66
The chart of Martin ratio for BBEU, currently valued at 3.02, compared to the broader market0.0020.0040.0060.0080.00100.003.0216.26
BBEU
^GSPC

The current BBEU Sharpe Ratio is 0.72, which is lower than the ^GSPC Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of BBEU and ^GSPC, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
0.72
2.54
BBEU
^GSPC

Drawdowns

BBEU vs. ^GSPC - Drawdown Comparison

The maximum BBEU drawdown since its inception was -36.26%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BBEU and ^GSPC. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.95%
-0.88%
BBEU
^GSPC

Volatility

BBEU vs. ^GSPC - Volatility Comparison

JPMorgan BetaBuilders Europe ETF (BBEU) has a higher volatility of 4.29% compared to S&P 500 (^GSPC) at 3.96%. This indicates that BBEU's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.29%
3.96%
BBEU
^GSPC