DFAAX vs. JPGL.DE
Compare and contrast key facts about DFA Global Core Plus Real Return Portfolio (DFAAX) and JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating (JPGL.DE).
DFAAX is managed by Dimensional Fund Advisors. It was launched on May 5, 2021. JPGL.DE is a passively managed fund by JPMorgan that tracks the performance of the JP Morgan Diversified Factor Global Developed (Region Aware) Equity. It was launched on Jul 9, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFAAX or JPGL.DE.
Key characteristics
| DFAAX | JPGL.DE | |
|---|---|---|
| YTD Return | 5.34% | 20.38% |
| 1Y Return | 11.46% | 28.89% |
| 3Y Return (Ann) | -0.31% | 8.92% |
| Sharpe Ratio | 2.92 | 3.14 |
| Sortino Ratio | 4.98 | 4.35 |
| Omega Ratio | 1.63 | 1.61 |
| Calmar Ratio | 1.01 | 5.00 |
| Martin Ratio | 19.28 | 22.41 |
| Ulcer Index | 0.59% | 1.20% |
| Daily Std Dev | 3.89% | 8.57% |
| Max Drawdown | -17.30% | -35.55% |
| Current Drawdown | -1.01% | 0.00% |
Correlation
The correlation between DFAAX and JPGL.DE is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
DFAAX vs. JPGL.DE - Performance Comparison
In the year-to-date period, DFAAX achieves a 5.34% return, which is significantly lower than JPGL.DE's 20.38% 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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DFAAX vs. JPGL.DE - Expense Ratio Comparison
DFAAX has a 0.29% expense ratio, which is higher than JPGL.DE's 0.20% expense ratio.
Risk-Adjusted Performance
DFAAX vs. JPGL.DE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Global Core Plus Real Return Portfolio (DFAAX) and JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating (JPGL.DE). 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
DFAAX vs. JPGL.DE - Dividend Comparison
DFAAX's dividend yield for the trailing twelve months is around 4.78%, while JPGL.DE has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
DFAAX DFA Global Core Plus Real Return Portfolio | 4.78% | 3.97% | 2.06% | 0.83% |
JPGL.DE JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DFAAX vs. JPGL.DE - Drawdown Comparison
The maximum DFAAX drawdown since its inception was -17.30%, smaller than the maximum JPGL.DE drawdown of -35.55%. Use the drawdown chart below to compare losses from any high point for DFAAX and JPGL.DE. For additional features, visit the drawdowns tool.
Volatility
DFAAX vs. JPGL.DE - Volatility Comparison
The current volatility for DFA Global Core Plus Real Return Portfolio (DFAAX) is 0.95%, while JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating (JPGL.DE) has a volatility of 2.23%. This indicates that DFAAX experiences smaller price fluctuations and is considered to be less risky than JPGL.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.