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BBIN vs. HDEF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BBINHDEF
YTD Return4.99%4.36%
1Y Return15.30%15.05%
3Y Return (Ann)1.82%7.07%
Sharpe Ratio1.141.31
Sortino Ratio1.641.85
Omega Ratio1.211.23
Calmar Ratio1.671.80
Martin Ratio6.136.37
Ulcer Index2.56%2.44%
Daily Std Dev13.72%11.88%
Max Drawdown-33.37%-36.43%
Current Drawdown-8.17%-8.66%

Correlation

-0.50.00.51.00.9

The correlation between BBIN and HDEF is 0.92, 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.

Performance

BBIN vs. HDEF - Performance Comparison

In the year-to-date period, BBIN achieves a 4.99% return, which is significantly higher than HDEF's 4.36% 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%JuneJulyAugustSeptemberOctoberNovember
-2.18%
-0.28%
BBIN
HDEF

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BBIN vs. HDEF - Expense Ratio Comparison

BBIN has a 0.07% expense ratio, which is lower than HDEF's 0.20% 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%.


HDEF
Xtrackers MSCI EAFE High Dividend Yield Equity ETF
Expense ratio chart for HDEF: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for BBIN: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

BBIN vs. HDEF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan BetaBuilders International Equity ETF (BBIN) and Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF). 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.


BBIN
Sharpe ratio
The chart of Sharpe ratio for BBIN, currently valued at 1.14, compared to the broader market-2.000.002.004.006.001.14
Sortino ratio
The chart of Sortino ratio for BBIN, currently valued at 1.64, compared to the broader market-2.000.002.004.006.008.0010.0012.001.64
Omega ratio
The chart of Omega ratio for BBIN, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for BBIN, currently valued at 1.67, compared to the broader market0.005.0010.0015.001.67
Martin ratio
The chart of Martin ratio for BBIN, currently valued at 6.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.13
HDEF
Sharpe ratio
The chart of Sharpe ratio for HDEF, currently valued at 1.31, compared to the broader market-2.000.002.004.006.001.31
Sortino ratio
The chart of Sortino ratio for HDEF, currently valued at 1.85, compared to the broader market-2.000.002.004.006.008.0010.0012.001.85
Omega ratio
The chart of Omega ratio for HDEF, currently valued at 1.23, compared to the broader market1.001.502.002.503.001.23
Calmar ratio
The chart of Calmar ratio for HDEF, currently valued at 1.80, compared to the broader market0.005.0010.0015.001.80
Martin ratio
The chart of Martin ratio for HDEF, currently valued at 6.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.37

BBIN vs. HDEF - Sharpe Ratio Comparison

The current BBIN Sharpe Ratio is 1.14, which is comparable to the HDEF Sharpe Ratio of 1.31. The chart below compares the historical Sharpe Ratios of BBIN and HDEF, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.14
1.31
BBIN
HDEF

Dividends

BBIN vs. HDEF - Dividend Comparison

BBIN's dividend yield for the trailing twelve months is around 3.37%, less than HDEF's 4.32% yield.


TTM202320222021202020192018201720162015
BBIN
JPMorgan BetaBuilders International Equity ETF
3.37%3.20%2.83%3.54%1.07%0.09%0.00%0.00%0.00%0.00%
HDEF
Xtrackers MSCI EAFE High Dividend Yield Equity ETF
4.32%4.38%5.41%4.76%3.93%4.20%3.55%3.38%9.13%1.72%

Drawdowns

BBIN vs. HDEF - Drawdown Comparison

The maximum BBIN drawdown since its inception was -33.37%, smaller than the maximum HDEF drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for BBIN and HDEF. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.17%
-8.66%
BBIN
HDEF

Volatility

BBIN vs. HDEF - Volatility Comparison

JPMorgan BetaBuilders International Equity ETF (BBIN) has a higher volatility of 5.93% compared to Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) at 4.15%. This indicates that BBIN's price experiences larger fluctuations and is considered to be riskier than HDEF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
5.93%
4.15%
BBIN
HDEF