PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DSTX vs. JIRE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DSTX vs. JIRE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Distillate International Fundamental Stability & Value ETF (DSTX) and JPMorgan International Research Enhanced Equity ETF (JIRE). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
-2.57%
-4.06%
DSTX
JIRE

Returns By Period

In the year-to-date period, DSTX achieves a 0.52% return, which is significantly lower than JIRE's 3.83% return.


DSTX

YTD

0.52%

1M

-5.50%

6M

-3.16%

1Y

6.06%

5Y (annualized)

N/A

10Y (annualized)

N/A

JIRE

YTD

3.83%

1M

-5.20%

6M

-4.47%

1Y

9.78%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


DSTXJIRE
Sharpe Ratio0.410.71
Sortino Ratio0.661.07
Omega Ratio1.081.13
Calmar Ratio0.421.02
Martin Ratio1.773.25
Ulcer Index3.30%2.90%
Daily Std Dev14.30%13.21%
Max Drawdown-34.02%-16.11%
Current Drawdown-9.86%-9.23%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DSTX vs. JIRE - Expense Ratio Comparison

DSTX has a 0.55% expense ratio, which is higher than JIRE's 0.24% expense ratio.


DSTX
Distillate International Fundamental Stability & Value ETF
Expense ratio chart for DSTX: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
Expense ratio chart for JIRE: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Correlation

-0.50.00.51.00.9

The correlation between DSTX and JIRE is 0.90, 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.

Risk-Adjusted Performance

DSTX vs. JIRE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Distillate International Fundamental Stability & Value ETF (DSTX) and JPMorgan International Research Enhanced Equity ETF (JIRE). 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 DSTX, currently valued at 0.41, compared to the broader market0.002.004.000.410.71
The chart of Sortino ratio for DSTX, currently valued at 0.66, compared to the broader market-2.000.002.004.006.008.0010.0012.000.661.07
The chart of Omega ratio for DSTX, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.13
The chart of Calmar ratio for DSTX, currently valued at 0.58, compared to the broader market0.005.0010.0015.000.581.02
The chart of Martin ratio for DSTX, currently valued at 1.77, compared to the broader market0.0020.0040.0060.0080.00100.001.773.25
DSTX
JIRE

The current DSTX Sharpe Ratio is 0.41, which is lower than the JIRE Sharpe Ratio of 0.71. The chart below compares the historical Sharpe Ratios of DSTX and JIRE, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.41
0.71
DSTX
JIRE

Dividends

DSTX vs. JIRE - Dividend Comparison

DSTX's dividend yield for the trailing twelve months is around 2.19%, less than JIRE's 2.64% yield.


TTM2023202220212020
DSTX
Distillate International Fundamental Stability & Value ETF
2.19%1.81%3.12%2.24%0.07%
JIRE
JPMorgan International Research Enhanced Equity ETF
2.64%2.74%2.62%0.00%0.00%

Drawdowns

DSTX vs. JIRE - Drawdown Comparison

The maximum DSTX drawdown since its inception was -34.02%, which is greater than JIRE's maximum drawdown of -16.11%. Use the drawdown chart below to compare losses from any high point for DSTX and JIRE. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.86%
-9.23%
DSTX
JIRE

Volatility

DSTX vs. JIRE - Volatility Comparison

Distillate International Fundamental Stability & Value ETF (DSTX) and JPMorgan International Research Enhanced Equity ETF (JIRE) have volatilities of 4.37% and 4.32%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.37%
4.32%
DSTX
JIRE