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BGX.L vs. JRDZ.L
Performance
Return for Risk
Drawdowns
Volatility
Dividends

BGX.L vs. JRDZ.L

Last updated Jul 16, 2026
Documentation

BGX.L (Expat Bulgaria SOFIX UCITS ETF) and JRDZ.L (JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (dist)) are both Europe Equities funds - BGX.L tracks the SOFIX Index while JRDZ.L tracks the MSCI EMU NR EUR. Both are passively managed. Over the past 3 years, BGX.L returned 18.92%/yr vs 39.61%/yr for JRDZ.L. At a 0.11 correlation, their price movements are largely independent.

Performance

BGX.L vs. JRDZ.L - Performance Comparison

The chart below illustrates the hypothetical performance of a €10,000 investment in Expat Bulgaria SOFIX UCITS ETF (BGX.L) and JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (dist) (JRDZ.L). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

BGX.L is traded in EUR, while JRDZ.L is traded in GBp. To make them comparable, the JRDZ.L values have been converted to EUR using the latest available exchange rates.

Returns By Period

In the year-to-date period, BGX.L achieves a 6.06% return, which is significantly lower than JRDZ.L's 97.16% return.

BGX.L

1D
-0.12%
1M
-0.28%
6M
-11.22%
YTD
6.06%
1Y
17.12%
3Y*
18.92%
5Y*
12.34%
10Y*
—

JRDZ.L

1D
0.00%
1M
0.68%
6M
18,962.08%
YTD
97.16%
1Y
21,436.91%
3Y*
39.61%
5Y*
—
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

BGX.L vs. JRDZ.L - Yearly Performance Comparison

2026 (YTD)2025202420232022
BGX.L
Expat Bulgaria SOFIX UCITS ETF		6.06%26.55%14.63%18.28%-7.96%
JRDZ.L
JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (dist)		97.16%23.21%8.35%20.31%-14.04%

Correlation

The correlation between BGX.L and JRDZ.L is 0.00, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.00

Correlation (3Y)
Calculated over the trailing 3-year period

0.09

Correlation (All Time)
Calculated using the full available price history since Apr 26, 2022

0.11

The correlation between BGX.L and JRDZ.L shifts across timeframes, from 0.00 (1 year) to 0.11 (all time), reflecting how their relationship changes across market environments.

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Expat Bulgaria SOFIX UCITS ETF

JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (dist)

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Return for Risk

BGX.L vs. JRDZ.L — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
BGX.L
BGX.L Risk / Return Rank: 4040
Overall Rank
BGX.L Sharpe Ratio Rank: 4343
Sharpe Ratio Rank
BGX.L Sortino Ratio Rank: 5757
Sortino Ratio Rank
BGX.L Omega Ratio Rank: 5151
Omega Ratio Rank
BGX.L Calmar Ratio Rank: 2727
Calmar Ratio Rank
BGX.L Martin Ratio Rank: 2222
Martin Ratio Rank
JRDZ.L
JRDZ.L Risk / Return Rank: 8585
Overall Rank
JRDZ.L Sharpe Ratio Rank: 2424
Sharpe Ratio Rank
JRDZ.L Sortino Ratio Rank: 100100
Sortino Ratio Rank
JRDZ.L Omega Ratio Rank: 100100
Omega Ratio Rank
JRDZ.L Calmar Ratio Rank: 100100
Calmar Ratio Rank
JRDZ.L Martin Ratio Rank: 100100
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

BGX.L vs. JRDZ.L - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Expat Bulgaria SOFIX UCITS ETF (BGX.L) and JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (dist) (JRDZ.L). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

BGX.LJRDZ.LDifference
Sharpe ratioReturn per unit of total volatility
1.26
0.76

+0.50

Sortino ratioReturn per unit of downside risk
2.22
318.13

-315.91

Omega ratioGain probability vs. loss probability

1.26

103.68

-102.41

Calmar ratioReturn relative to maximum drawdown

1.09

226.01

-224.92

Martin ratioReturn relative to average drawdown

2.09

326.77

-324.68

BGX.L vs. JRDZ.L - Sharpe Ratio Comparison

The current BGX.L Sharpe Ratio is 1.26, which is higher than the JRDZ.L Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of BGX.L and JRDZ.L, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

BGX.L vs. JRDZ.L - Drawdown Comparison

The maximum BGX.L drawdown since its inception was -36.41%, smaller than the maximum JRDZ.L drawdown of -99.03%. Use the drawdown chart below to compare losses from any high point for BGX.L and JRDZ.L.

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Drawdown Indicators

BGX.LJRDZ.LDifference

Max Drawdown

Largest peak-to-trough decline

-36.41%

-99.03%

+62.62%

Max Drawdown (1Y)

Largest decline over 1 year

-16.13%

-99.03%

+82.90%

Max Drawdown (3Y)

Largest decline over 3 years

-16.13%

-99.03%

+82.90%

Max Drawdown (5Y)

Largest decline over 5 years

-17.72%

—

—

Current Drawdown

Current decline from peak

-13.26%

-1.93%

-11.33%

Average Drawdown

Average peak-to-trough decline

-12.33%

-17.86%

+5.53%

Ulcer Index

Depth and duration of drawdowns from previous peaks

8.45%

68.23%

-59.78%

Volatility

BGX.L vs. JRDZ.L - Volatility Comparison

The current volatility for Expat Bulgaria SOFIX UCITS ETF (BGX.L) is 1.97%, while JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (dist) (JRDZ.L) has a volatility of 4.34%. This indicates that BGX.L experiences smaller price fluctuations and is considered to be less risky than JRDZ.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

BGX.LJRDZ.LDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.97%

4.34%

-2.37%

Volatility (6M)

Calculated over the trailing 6-month period

8.19%

1,035.15%

-1,026.96%

Volatility (1Y)

Calculated over the trailing 1-year period

13.95%

29,417.30%

-29,403.35%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.88%

14,477.81%

-14,463.93%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

14.32%

14,477.81%

-14,463.49%

Dividends

BGX.L vs. JRDZ.L - Dividend Comparison

BGX.L has not paid dividends to shareholders, while JRDZ.L's dividend yield for the trailing twelve months is around 2.30%.

PositionTTM2025202420232022
BGX.L
Expat Bulgaria SOFIX UCITS ETF		0.00%0.00%0.00%0.00%0.00%
JRDZ.L
JPMorgan Eurozone Research Enhanced Index Equity (ESG) UCITS ETF EUR (dist)		2.30%2.55%2.80%3.25%1.69%

Frequently Asked Questions

BGX.L and JRDZ.L have a correlation of 0.00, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

BGX.L tracks SOFIX Index, while JRDZ.L tracks MSCI EMU NR EUR. They also come from different issuers: Expat and JPMorgan.

Portfolio Optimizer

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