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GSJY vs. JPM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GSJY and JPM is 0.42, 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.


-0.50.00.51.00.4

Performance

GSJY vs. JPM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) and JPMorgan Chase & Co. (JPM). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
70.24%
404.43%
GSJY
JPM

Key characteristics

Sharpe Ratio

GSJY:

0.62

JPM:

1.97

Sortino Ratio

GSJY:

0.95

JPM:

2.70

Omega Ratio

GSJY:

1.12

JPM:

1.40

Calmar Ratio

GSJY:

0.93

JPM:

4.55

Martin Ratio

GSJY:

2.66

JPM:

13.24

Ulcer Index

GSJY:

4.07%

JPM:

3.48%

Daily Std Dev

GSJY:

17.41%

JPM:

23.42%

Max Drawdown

GSJY:

-32.53%

JPM:

-74.02%

Current Drawdown

GSJY:

-7.17%

JPM:

-5.07%

Returns By Period

In the year-to-date period, GSJY achieves a 7.46% return, which is significantly lower than JPM's 43.02% return.


GSJY

YTD

7.46%

1M

0.14%

6M

3.29%

1Y

9.04%

5Y*

3.99%

10Y*

N/A

JPM

YTD

43.02%

1M

-1.32%

6M

22.46%

1Y

45.24%

5Y*

14.90%

10Y*

17.53%

Compare stocks, funds, or ETFs

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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.


Sharpe ratio
The chart of Sharpe ratio for GSJY, currently valued at 0.62, compared to the broader market0.002.004.000.621.97
The chart of Sortino ratio for GSJY, currently valued at 0.95, compared to the broader market-2.000.002.004.006.008.0010.000.952.70
The chart of Omega ratio for GSJY, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.40
The chart of Calmar ratio for GSJY, currently valued at 0.93, compared to the broader market0.005.0010.0015.000.934.55
The chart of Martin ratio for GSJY, currently valued at 2.66, compared to the broader market0.0020.0040.0060.0080.00100.002.6613.24
GSJY
JPM

The current GSJY Sharpe Ratio is 0.62, which is lower than the JPM Sharpe Ratio of 1.97. The chart below compares the historical Sharpe Ratios of GSJY and JPM, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.62
1.97
GSJY
JPM

Dividends

GSJY vs. JPM - Dividend Comparison

GSJY's dividend yield for the trailing twelve months is around 1.97%, more than JPM's 1.94% yield.


TTM20232022202120202019201820172016201520142013
GSJY
Goldman Sachs ActiveBeta Japan Equity ETF
1.97%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.
1.94%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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.17%
-5.07%
GSJY
JPM

Volatility

GSJY vs. JPM - Volatility Comparison

The current volatility for Goldman Sachs ActiveBeta Japan Equity ETF (GSJY) is 4.77%, while JPMorgan Chase & Co. (JPM) has a volatility of 5.60%. 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.


4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
4.77%
5.60%
GSJY
JPM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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