BIGZ vs. JPSE
Compare and contrast key facts about Blackrock Innovation & Growth Trust (BIGZ) and JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE).
JPSE is a passively managed fund by JPMorgan Chase that tracks the performance of the JPMorgan Diversified Factor US Small Cap Equity Index. It was launched on Nov 15, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BIGZ or JPSE.
Key characteristics
| BIGZ | JPSE | |
|---|---|---|
| YTD Return | 15.56% | 16.40% |
| 1Y Return | 28.23% | 36.89% |
| 3Y Return (Ann) | -16.81% | 3.73% |
| Sharpe Ratio | 1.38 | 1.82 |
| Sortino Ratio | 1.96 | 2.67 |
| Omega Ratio | 1.24 | 1.33 |
| Calmar Ratio | 0.43 | 1.90 |
| Martin Ratio | 4.67 | 10.35 |
| Ulcer Index | 5.76% | 3.41% |
| Daily Std Dev | 19.43% | 19.42% |
| Max Drawdown | -67.28% | -43.02% |
| Current Drawdown | -52.59% | -0.06% |
Correlation
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.
Performance
BIGZ vs. JPSE - Performance Comparison
In the year-to-date period, BIGZ achieves a 15.56% return, which is significantly lower than JPSE's 16.40% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
Dividends
BIGZ vs. JPSE - Dividend Comparison
BIGZ's dividend yield for the trailing twelve months is around 9.68%, more than JPSE's 1.60% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
BIGZ Blackrock Innovation & Growth Trust | 9.68% | 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 | 1.60% | 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.
Volatility
BIGZ vs. JPSE - Volatility Comparison
The current volatility for Blackrock Innovation & Growth Trust (BIGZ) is 4.75%, while JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) has a volatility of 7.00%. 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.