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JBND vs. AGG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JBNDAGG
YTD Return3.88%1.83%
1Y Return10.58%8.19%
Sharpe Ratio1.991.37
Sortino Ratio2.962.03
Omega Ratio1.371.24
Calmar Ratio2.910.53
Martin Ratio7.294.90
Ulcer Index1.45%1.67%
Daily Std Dev5.35%5.95%
Max Drawdown-3.65%-18.43%
Current Drawdown-2.90%-8.47%

Correlation

-0.50.00.51.01.0

The correlation between JBND and AGG is 0.96, 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

JBND vs. AGG - Performance Comparison

In the year-to-date period, JBND achieves a 3.88% return, which is significantly higher than AGG's 1.83% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.65%
3.42%
JBND
AGG

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JBND vs. AGG - Expense Ratio Comparison

JBND has a 0.30% expense ratio, which is higher than AGG's 0.05% expense ratio.


JBND
Jpmorgan Active Bond ETF
Expense ratio chart for JBND: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for AGG: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

JBND vs. AGG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Jpmorgan Active Bond ETF (JBND) and iShares Core U.S. Aggregate Bond ETF (AGG). 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.


JBND
Sharpe ratio
The chart of Sharpe ratio for JBND, currently valued at 1.98, compared to the broader market-2.000.002.004.001.98
Sortino ratio
The chart of Sortino ratio for JBND, currently valued at 2.95, compared to the broader market0.005.0010.002.95
Omega ratio
The chart of Omega ratio for JBND, currently valued at 1.37, compared to the broader market1.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for JBND, currently valued at 2.90, compared to the broader market0.005.0010.0015.002.90
Martin ratio
The chart of Martin ratio for JBND, currently valued at 7.22, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.22
AGG
Sharpe ratio
The chart of Sharpe ratio for AGG, currently valued at 1.37, compared to the broader market-2.000.002.004.001.37
Sortino ratio
The chart of Sortino ratio for AGG, currently valued at 2.03, compared to the broader market0.005.0010.002.03
Omega ratio
The chart of Omega ratio for AGG, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for AGG, currently valued at 2.20, compared to the broader market0.005.0010.0015.002.20
Martin ratio
The chart of Martin ratio for AGG, currently valued at 4.90, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.90

JBND vs. AGG - Sharpe Ratio Comparison

The current JBND Sharpe Ratio is 1.99, which is higher than the AGG Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of JBND and AGG, 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 Ratio1.401.601.802.002.202.402.60Wed 16Fri 18Oct 20Tue 22Thu 24Sat 26Mon 28Wed 30NovemberNov 03Tue 05Thu 07Sat 09Mon 11
1.98
1.37
JBND
AGG

Dividends

JBND vs. AGG - Dividend Comparison

JBND's dividend yield for the trailing twelve months is around 4.56%, more than AGG's 3.64% yield.


TTM20232022202120202019201820172016201520142013
JBND
Jpmorgan Active Bond ETF
4.56%1.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AGG
iShares Core U.S. Aggregate Bond ETF
3.64%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%2.32%

Drawdowns

JBND vs. AGG - Drawdown Comparison

The maximum JBND drawdown since its inception was -3.65%, smaller than the maximum AGG drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for JBND and AGG. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.90%
-3.59%
JBND
AGG

Volatility

JBND vs. AGG - Volatility Comparison

The current volatility for Jpmorgan Active Bond ETF (JBND) is 1.50%, while iShares Core U.S. Aggregate Bond ETF (AGG) has a volatility of 1.78%. This indicates that JBND experiences smaller price fluctuations and is considered to be less risky than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.20%1.40%1.60%1.80%JuneJulyAugustSeptemberOctoberNovember
1.50%
1.78%
JBND
AGG