JAM.L vs. QUAL
Compare and contrast key facts about JPMorgan American Investment Trust (JAM.L) and iShares Edge MSCI USA Quality Factor ETF (QUAL).
QUAL is a passively managed fund by iShares that tracks the performance of the MSCI USA Quality Index. It was launched on Jul 16, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JAM.L or QUAL.
Key characteristics
| JAM.L | QUAL | |
|---|---|---|
| YTD Return | 26.78% | 25.96% |
| 1Y Return | 37.50% | 36.30% |
| 3Y Return (Ann) | 14.26% | 9.71% |
| 5Y Return (Ann) | 19.12% | 15.51% |
| 10Y Return (Ann) | 16.01% | 13.40% |
| Sharpe Ratio | 2.44 | 2.90 |
| Sortino Ratio | 3.42 | 3.98 |
| Omega Ratio | 1.45 | 1.53 |
| Calmar Ratio | 4.76 | 4.81 |
| Martin Ratio | 15.45 | 18.41 |
| Ulcer Index | 2.37% | 1.99% |
| Daily Std Dev | 14.99% | 12.68% |
| Max Drawdown | -58.93% | -34.06% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between JAM.L and QUAL is 0.50, 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
JAM.L vs. QUAL - Performance Comparison
The year-to-date returns for both stocks are quite close, with JAM.L having a 26.78% return and QUAL slightly lower at 25.96%. Over the past 10 years, JAM.L has outperformed QUAL with an annualized return of 16.01%, while QUAL has yielded a comparatively lower 13.40% 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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Risk-Adjusted Performance
JAM.L vs. QUAL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan American Investment Trust (JAM.L) and iShares Edge MSCI USA Quality Factor ETF (QUAL). 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
JAM.L vs. QUAL - Dividend Comparison
JAM.L's dividend yield for the trailing twelve months is around 0.74%, less than QUAL's 0.98% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JAM.L JPMorgan American Investment Trust | 0.74% | 0.84% | 1.02% | 0.88% | 1.13% | 1.35% | 1.44% | 1.23% | 1.29% | 0.55% | 0.01% | 1.05% |
QUAL iShares Edge MSCI USA Quality Factor ETF | 0.98% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% | 1.35% | 0.63% |
Drawdowns
JAM.L vs. QUAL - Drawdown Comparison
The maximum JAM.L drawdown since its inception was -58.93%, which is greater than QUAL's maximum drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for JAM.L and QUAL. For additional features, visit the drawdowns tool.
Volatility
JAM.L vs. QUAL - Volatility Comparison
JPMorgan American Investment Trust (JAM.L) has a higher volatility of 6.09% compared to iShares Edge MSCI USA Quality Factor ETF (QUAL) at 3.79%. This indicates that JAM.L's price experiences larger fluctuations and is considered to be riskier than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.