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

Performance

JCPB vs. FBND - Performance Comparison

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

0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.78%
3.54%
JCPB
FBND

Returns By Period

In the year-to-date period, JCPB achieves a 3.19% return, which is significantly higher than FBND's 2.54% return.


JCPB

YTD

3.19%

1M

-0.31%

6M

3.77%

1Y

8.12%

5Y (annualized)

0.94%

10Y (annualized)

N/A

FBND

YTD

2.54%

1M

-0.46%

6M

3.54%

1Y

7.82%

5Y (annualized)

0.95%

10Y (annualized)

2.21%

Key characteristics


JCPBFBND
Sharpe Ratio1.481.28
Sortino Ratio2.171.87
Omega Ratio1.261.23
Calmar Ratio0.680.62
Martin Ratio5.204.70
Ulcer Index1.56%1.58%
Daily Std Dev5.50%5.76%
Max Drawdown-16.67%-17.25%
Current Drawdown-4.39%-5.16%

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. FBND - Expense Ratio Comparison

JCPB has a 0.40% expense ratio, which is higher than FBND's 0.36% 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 FBND: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%

Correlation

-0.50.00.51.00.8

The correlation between JCPB and FBND is 0.81, 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. FBND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Core Plus Bond ETF (JCPB) and Fidelity Total Bond ETF (FBND). 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 1.48, compared to the broader market0.002.004.001.481.28
The chart of Sortino ratio for JCPB, currently valued at 2.17, compared to the broader market-2.000.002.004.006.008.0010.0012.002.171.87
The chart of Omega ratio for JCPB, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.23
The chart of Calmar ratio for JCPB, currently valued at 0.68, compared to the broader market0.005.0010.0015.0020.000.680.62
The chart of Martin ratio for JCPB, currently valued at 5.20, compared to the broader market0.0020.0040.0060.0080.00100.005.204.70
JCPB
FBND

The current JCPB Sharpe Ratio is 1.48, which is comparable to the FBND Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of JCPB and FBND, 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
1.48
1.28
JCPB
FBND

Dividends

JCPB vs. FBND - Dividend Comparison

JCPB's dividend yield for the trailing twelve months is around 5.05%, more than FBND's 4.59% yield.


TTM2023202220212020201920182017201620152014
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%
FBND
Fidelity Total Bond ETF
4.59%4.26%3.07%1.86%4.25%2.90%2.93%2.56%2.84%3.26%0.66%

Drawdowns

JCPB vs. FBND - Drawdown Comparison

The maximum JCPB drawdown since its inception was -16.67%, roughly equal to the maximum FBND drawdown of -17.25%. Use the drawdown chart below to compare losses from any high point for JCPB and FBND. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%JuneJulyAugustSeptemberOctoberNovember
-4.39%
-5.16%
JCPB
FBND

Volatility

JCPB vs. FBND - Volatility Comparison

JPMorgan Core Plus Bond ETF (JCPB) and Fidelity Total Bond ETF (FBND) have volatilities of 1.36% and 1.38%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
1.36%
1.38%
JCPB
FBND