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CGBL vs. JPEM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CGBLJPEM
YTD Return18.37%6.38%
1Y Return28.22%14.11%
Sharpe Ratio3.121.20
Sortino Ratio4.361.72
Omega Ratio1.591.22
Calmar Ratio4.981.49
Martin Ratio21.225.68
Ulcer Index1.39%2.58%
Daily Std Dev9.42%12.24%
Max Drawdown-5.93%-40.22%
Current Drawdown-0.16%-6.67%

Correlation

-0.50.00.51.00.6

The correlation between CGBL and JPEM is 0.58, 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

CGBL vs. JPEM - Performance Comparison

In the year-to-date period, CGBL achieves a 18.37% return, which is significantly higher than JPEM's 6.38% 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
11.50%
-1.07%
CGBL
JPEM

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CGBL vs. JPEM - Expense Ratio Comparison

CGBL has a 0.33% expense ratio, which is lower than JPEM's 0.44% expense ratio.


JPEM
J.P. Morgan Diversified Return Emerging Markets Equity ETF
Expense ratio chart for JPEM: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%
Expense ratio chart for CGBL: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%

Risk-Adjusted Performance

CGBL vs. JPEM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Capital Group Core Balanced ETF (CGBL) and J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM). 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.


CGBL
Sharpe ratio
The chart of Sharpe ratio for CGBL, currently valued at 3.12, compared to the broader market-2.000.002.004.006.003.12
Sortino ratio
The chart of Sortino ratio for CGBL, currently valued at 4.36, compared to the broader market0.005.0010.004.36
Omega ratio
The chart of Omega ratio for CGBL, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for CGBL, currently valued at 4.98, compared to the broader market0.005.0010.0015.004.98
Martin ratio
The chart of Martin ratio for CGBL, currently valued at 21.22, compared to the broader market0.0020.0040.0060.0080.00100.0021.22
JPEM
Sharpe ratio
The chart of Sharpe ratio for JPEM, currently valued at 1.20, compared to the broader market-2.000.002.004.006.001.20
Sortino ratio
The chart of Sortino ratio for JPEM, currently valued at 1.72, compared to the broader market0.005.0010.001.72
Omega ratio
The chart of Omega ratio for JPEM, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for JPEM, currently valued at 2.11, compared to the broader market0.005.0010.0015.002.11
Martin ratio
The chart of Martin ratio for JPEM, currently valued at 5.68, compared to the broader market0.0020.0040.0060.0080.00100.005.68

CGBL vs. JPEM - Sharpe Ratio Comparison

The current CGBL Sharpe Ratio is 3.12, which is higher than the JPEM Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of CGBL and JPEM, 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 Ratio1.001.502.002.503.003.50Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10
3.12
1.20
CGBL
JPEM

Dividends

CGBL vs. JPEM - Dividend Comparison

CGBL's dividend yield for the trailing twelve months is around 1.65%, less than JPEM's 4.42% yield.


TTM202320222021202020192018201720162015
CGBL
Capital Group Core Balanced ETF
1.65%0.48%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JPEM
J.P. Morgan Diversified Return Emerging Markets Equity ETF
4.42%4.46%4.71%4.40%2.85%3.47%2.79%2.14%1.28%3.22%

Drawdowns

CGBL vs. JPEM - Drawdown Comparison

The maximum CGBL drawdown since its inception was -5.93%, smaller than the maximum JPEM drawdown of -40.22%. Use the drawdown chart below to compare losses from any high point for CGBL and JPEM. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.16%
-6.67%
CGBL
JPEM

Volatility

CGBL vs. JPEM - Volatility Comparison

The current volatility for Capital Group Core Balanced ETF (CGBL) is 2.73%, while J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) has a volatility of 3.78%. This indicates that CGBL experiences smaller price fluctuations and is considered to be less risky than JPEM 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
2.73%
3.78%
CGBL
JPEM