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BIGZ vs. JPSE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

BIGZ vs. JPSE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Blackrock Innovation & Growth Trust (BIGZ) and JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.09%
14.80%
BIGZ
JPSE

Returns By Period

In the year-to-date period, BIGZ achieves a 17.13% return, which is significantly higher than JPSE's 15.62% return.


BIGZ

YTD

17.13%

1M

3.51%

6M

12.08%

1Y

19.31%

5Y (annualized)

N/A

10Y (annualized)

N/A

JPSE

YTD

15.62%

1M

5.92%

6M

14.80%

1Y

28.45%

5Y (annualized)

11.92%

10Y (annualized)

N/A

Key characteristics


BIGZJPSE
Sharpe Ratio1.041.55
Sortino Ratio1.502.28
Omega Ratio1.191.28
Calmar Ratio0.332.05
Martin Ratio3.468.45
Ulcer Index5.78%3.46%
Daily Std Dev19.16%18.84%
Max Drawdown-67.28%-43.02%
Current Drawdown-51.94%-1.81%

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Correlation

-0.50.00.51.00.7

The correlation between BIGZ and JPSE is 0.67, 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

BIGZ vs. JPSE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Blackrock Innovation & Growth Trust (BIGZ) and JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE). 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 BIGZ, currently valued at 1.04, compared to the broader market-4.00-2.000.002.004.001.041.55
The chart of Sortino ratio for BIGZ, currently valued at 1.50, compared to the broader market-4.00-2.000.002.004.001.502.28
The chart of Omega ratio for BIGZ, currently valued at 1.19, compared to the broader market0.501.001.502.001.191.28
The chart of Calmar ratio for BIGZ, currently valued at 0.33, compared to the broader market0.002.004.006.000.332.05
The chart of Martin ratio for BIGZ, currently valued at 3.46, compared to the broader market0.0010.0020.0030.003.468.45
BIGZ
JPSE

The current BIGZ Sharpe Ratio is 1.04, which is lower than the JPSE Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of BIGZ and JPSE, 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 Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.04
1.55
BIGZ
JPSE

Dividends

BIGZ vs. JPSE - Dividend Comparison

BIGZ's dividend yield for the trailing twelve months is around 10.18%, more than JPSE's 1.61% yield.


TTM20232022202120202019201820172016
BIGZ
Blackrock Innovation & Growth Trust
10.18%10.45%14.54%4.81%0.00%0.00%0.00%0.00%0.00%
JPSE
JPMorgan Diversified Return U.S. Small Cap Equity ETF
1.61%1.76%1.55%1.24%1.32%1.23%1.18%0.74%0.14%

Drawdowns

BIGZ vs. JPSE - Drawdown Comparison

The maximum BIGZ drawdown since its inception was -67.28%, which is greater than JPSE's maximum drawdown of -43.02%. Use the drawdown chart below to compare losses from any high point for BIGZ and JPSE. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-51.94%
-1.81%
BIGZ
JPSE

Volatility

BIGZ vs. JPSE - Volatility Comparison

The current volatility for Blackrock Innovation & Growth Trust (BIGZ) is 5.41%, while JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) has a volatility of 7.17%. This indicates that BIGZ experiences smaller price fluctuations and is considered to be less risky than JPSE 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
5.41%
7.17%
BIGZ
JPSE