GSJY vs. JPM
Compare and contrast key facts about Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) and JPMorgan Chase & Co. (JPM).
GSJY is a passively managed fund by Goldman Sachs that tracks the performance of the Goldman Sachs ActiveBeta Japan Equity Index. It was launched on Mar 2, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GSJY or JPM.
Key characteristics
| GSJY | JPM | |
|---|---|---|
| YTD Return | 10.49% | 44.04% |
| 1Y Return | 17.60% | 67.32% |
| 3Y Return (Ann) | 2.24% | 16.06% |
| 5Y Return (Ann) | 4.89% | 16.62% |
| Sharpe Ratio | 1.08 | 3.03 |
| Sortino Ratio | 1.51 | 3.83 |
| Omega Ratio | 1.20 | 1.61 |
| Calmar Ratio | 1.27 | 6.89 |
| Martin Ratio | 5.04 | 21.04 |
| Ulcer Index | 3.67% | 3.32% |
| Daily Std Dev | 17.19% | 23.06% |
| Max Drawdown | -32.53% | -74.02% |
| Current Drawdown | -4.55% | -3.14% |
Correlation
The correlation between GSJY and JPM is 0.43, 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
GSJY vs. JPM - Performance Comparison
In the year-to-date period, GSJY achieves a 10.49% return, which is significantly lower than JPM's 44.04% 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
GSJY vs. JPM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) and JPMorgan Chase & Co. (JPM). 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
GSJY vs. JPM - Dividend Comparison
GSJY's dividend yield for the trailing twelve months is around 1.92%, which matches JPM's 1.92% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GSJY Goldman Sachs ActiveBeta Japan Equity ETF | 1.92% | 2.12% | 2.13% | 1.73% | 1.12% | 2.79% | 3.28% | 1.70% | 2.09% | 0.00% | 0.00% | 0.00% |
JPM JPMorgan Chase & Co. | 1.92% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% | 2.49% | 2.33% |
Drawdowns
GSJY vs. JPM - Drawdown Comparison
The maximum GSJY drawdown since its inception was -32.53%, smaller than the maximum JPM drawdown of -74.02%. Use the drawdown chart below to compare losses from any high point for GSJY and JPM. For additional features, visit the drawdowns tool.
Volatility
GSJY vs. JPM - Volatility Comparison
The current volatility for Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) is 4.63%, while JPMorgan Chase & Co. (JPM) has a volatility of 12.53%. This indicates that GSJY experiences smaller price fluctuations and is considered to be less risky than JPM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.