DGT vs. JHQAX
Compare and contrast key facts about SPDR Global Dow ETF (DGT) and JPMorgan Hedged Equity Fund (JHQAX).
DGT is a passively managed fund by State Street that tracks the performance of the Global Dow Index. It was launched on Sep 25, 2000. JHQAX is managed by JPMorgan Chase. It was launched on Dec 13, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DGT or JHQAX.
Key characteristics
| DGT | JHQAX | |
|---|---|---|
| YTD Return | 17.13% | 19.54% |
| 1Y Return | 29.39% | 24.42% |
| 3Y Return (Ann) | 9.22% | 8.65% |
| 5Y Return (Ann) | 12.40% | 10.73% |
| 10Y Return (Ann) | 9.97% | 8.46% |
| Sharpe Ratio | 2.64 | 3.04 |
| Sortino Ratio | 3.54 | 4.29 |
| Omega Ratio | 1.47 | 1.65 |
| Calmar Ratio | 4.07 | 4.88 |
| Martin Ratio | 17.98 | 21.85 |
| Ulcer Index | 1.59% | 1.09% |
| Daily Std Dev | 10.86% | 7.80% |
| Max Drawdown | -55.36% | -18.82% |
| Current Drawdown | -1.17% | 0.00% |
Correlation
The correlation between DGT and JHQAX is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
DGT vs. JHQAX - Performance Comparison
In the year-to-date period, DGT achieves a 17.13% return, which is significantly lower than JHQAX's 19.54% return. Over the past 10 years, DGT has outperformed JHQAX with an annualized return of 9.97%, while JHQAX has yielded a comparatively lower 8.46% annualized 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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DGT vs. JHQAX - Expense Ratio Comparison
DGT has a 0.50% expense ratio, which is lower than JHQAX's 0.83% expense ratio.
Risk-Adjusted Performance
DGT vs. JHQAX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Global Dow ETF (DGT) and JPMorgan Hedged Equity Fund (JHQAX). 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
DGT vs. JHQAX - Dividend Comparison
DGT's dividend yield for the trailing twelve months is around 2.28%, more than JHQAX's 0.55% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGT SPDR Global Dow ETF | 2.28% | 2.53% | 3.15% | 2.66% | 1.97% | 2.76% | 2.50% | 1.93% | 2.31% | 2.37% | 2.67% | 2.18% |
JHQAX JPMorgan Hedged Equity Fund | 0.55% | 0.74% | 0.74% | 0.50% | 0.89% | 0.89% | 0.91% | 0.75% | 1.11% | 0.97% | 1.07% | 0.00% |
Drawdowns
DGT vs. JHQAX - Drawdown Comparison
The maximum DGT drawdown since its inception was -55.36%, which is greater than JHQAX's maximum drawdown of -18.82%. Use the drawdown chart below to compare losses from any high point for DGT and JHQAX. For additional features, visit the drawdowns tool.
Volatility
DGT vs. JHQAX - Volatility Comparison
SPDR Global Dow ETF (DGT) has a higher volatility of 2.99% compared to JPMorgan Hedged Equity Fund (JHQAX) at 2.41%. This indicates that DGT's price experiences larger fluctuations and is considered to be riskier than JHQAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.