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

Performance

JCPB vs. BND - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Core Plus Bond ETF (JCPB) and Vanguard Total Bond Market ETF (BND). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.53%
2.98%
JCPB
BND

Returns By Period

In the year-to-date period, JCPB achieves a 3.12% return, which is significantly higher than BND's 1.72% return.


JCPB

YTD

3.12%

1M

-0.67%

6M

3.53%

1Y

8.14%

5Y (annualized)

0.93%

10Y (annualized)

N/A

BND

YTD

1.72%

1M

-0.70%

6M

2.98%

1Y

6.21%

5Y (annualized)

-0.32%

10Y (annualized)

1.40%

Key characteristics


JCPBBND
Sharpe Ratio1.501.12
Sortino Ratio2.201.64
Omega Ratio1.261.20
Calmar Ratio0.690.43
Martin Ratio5.373.66
Ulcer Index1.53%1.74%
Daily Std Dev5.50%5.66%
Max Drawdown-16.67%-18.84%
Current Drawdown-4.45%-9.06%

Compare stocks, funds, or ETFs

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


JCPB vs. BND - Expense Ratio Comparison

JCPB has a 0.40% expense ratio, which is higher than BND's 0.03% expense ratio.


JCPB
JPMorgan Core Plus Bond ETF
Expense ratio chart for JCPB: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.8

The correlation between JCPB and BND is 0.83, 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

JCPB vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Core Plus Bond ETF (JCPB) and Vanguard Total Bond Market ETF (BND). 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 JCPB, currently valued at 1.50, compared to the broader market0.002.004.001.501.12
The chart of Sortino ratio for JCPB, currently valued at 2.20, compared to the broader market-2.000.002.004.006.008.0010.0012.002.201.64
The chart of Omega ratio for JCPB, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.20
The chart of Calmar ratio for JCPB, currently valued at 0.69, compared to the broader market0.005.0010.0015.000.690.43
The chart of Martin ratio for JCPB, currently valued at 5.37, compared to the broader market0.0020.0040.0060.0080.00100.005.373.66
JCPB
BND

The current JCPB Sharpe Ratio is 1.50, which is higher than the BND Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of JCPB and BND, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.50
1.12
JCPB
BND

Dividends

JCPB vs. BND - Dividend Comparison

JCPB's dividend yield for the trailing twelve months is around 5.05%, more than BND's 3.57% yield.


TTM20232022202120202019201820172016201520142013
JCPB
JPMorgan Core Plus Bond ETF
5.05%4.32%3.00%2.19%2.97%3.23%0.00%0.00%0.00%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.57%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%

Drawdowns

JCPB vs. BND - Drawdown Comparison

The maximum JCPB drawdown since its inception was -16.67%, smaller than the maximum BND drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for JCPB and BND. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-4.45%
-9.06%
JCPB
BND

Volatility

JCPB vs. BND - Volatility Comparison

The current volatility for JPMorgan Core Plus Bond ETF (JCPB) is 1.39%, while Vanguard Total Bond Market ETF (BND) has a volatility of 1.53%. This indicates that JCPB experiences smaller price fluctuations and is considered to be less risky than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.80%1.00%1.20%1.40%1.60%1.80%JuneJulyAugustSeptemberOctoberNovember
1.39%
1.53%
JCPB
BND