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

Key characteristics


JCPBJPIE
YTD Return3.63%5.50%
1Y Return10.36%10.07%
3Y Return (Ann)-1.04%2.04%
Sharpe Ratio1.863.69
Sortino Ratio2.806.17
Omega Ratio1.341.87
Calmar Ratio0.802.73
Martin Ratio7.4527.43
Ulcer Index1.43%0.37%
Daily Std Dev5.71%2.75%
Max Drawdown-16.67%-9.96%
Current Drawdown-3.98%-0.67%

Correlation

-0.50.00.51.00.7

The correlation between JCPB and JPIE is 0.73, 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

JCPB vs. JPIE - Performance Comparison

In the year-to-date period, JCPB achieves a 3.63% return, which is significantly lower than JPIE's 5.50% 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
4.36%
4.17%
JCPB
JPIE

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. JPIE - Expense Ratio Comparison

JCPB has a 0.40% expense ratio, which is lower than JPIE's 0.41% expense ratio.


JPIE
JPMorgan Income ETF
Expense ratio chart for JPIE: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%
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%

Risk-Adjusted Performance

JCPB vs. JPIE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Core Plus Bond ETF (JCPB) and JPMorgan Income ETF (JPIE). 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.


JCPB
Sharpe ratio
The chart of Sharpe ratio for JCPB, currently valued at 1.86, compared to the broader market-2.000.002.004.006.001.86
Sortino ratio
The chart of Sortino ratio for JCPB, currently valued at 2.80, compared to the broader market-2.000.002.004.006.008.0010.0012.002.80
Omega ratio
The chart of Omega ratio for JCPB, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for JCPB, currently valued at 0.82, compared to the broader market0.005.0010.0015.000.82
Martin ratio
The chart of Martin ratio for JCPB, currently valued at 7.45, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.45
JPIE
Sharpe ratio
The chart of Sharpe ratio for JPIE, currently valued at 3.69, compared to the broader market-2.000.002.004.006.003.69
Sortino ratio
The chart of Sortino ratio for JPIE, currently valued at 6.17, compared to the broader market-2.000.002.004.006.008.0010.0012.006.17
Omega ratio
The chart of Omega ratio for JPIE, currently valued at 1.87, compared to the broader market1.001.502.002.503.001.87
Calmar ratio
The chart of Calmar ratio for JPIE, currently valued at 2.73, compared to the broader market0.005.0010.0015.002.73
Martin ratio
The chart of Martin ratio for JPIE, currently valued at 27.43, compared to the broader market0.0020.0040.0060.0080.00100.00120.0027.43

JCPB vs. JPIE - Sharpe Ratio Comparison

The current JCPB Sharpe Ratio is 1.86, which is lower than the JPIE Sharpe Ratio of 3.69. The chart below compares the historical Sharpe Ratios of JCPB and JPIE, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.86
3.69
JCPB
JPIE

Dividends

JCPB vs. JPIE - Dividend Comparison

JCPB's dividend yield for the trailing twelve months is around 5.02%, less than JPIE's 6.19% yield.


TTM20232022202120202019
JCPB
JPMorgan Core Plus Bond ETF
5.02%4.32%3.00%2.19%2.97%3.23%
JPIE
JPMorgan Income ETF
6.19%5.70%4.49%0.63%0.00%0.00%

Drawdowns

JCPB vs. JPIE - Drawdown Comparison

The maximum JCPB drawdown since its inception was -16.67%, which is greater than JPIE's maximum drawdown of -9.96%. Use the drawdown chart below to compare losses from any high point for JCPB and JPIE. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.68%
-0.67%
JCPB
JPIE

Volatility

JCPB vs. JPIE - Volatility Comparison

JPMorgan Core Plus Bond ETF (JCPB) has a higher volatility of 1.56% compared to JPMorgan Income ETF (JPIE) at 0.46%. This indicates that JCPB's price experiences larger fluctuations and is considered to be riskier than JPIE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.50%1.00%1.50%JuneJulyAugustSeptemberOctoberNovember
1.56%
0.46%
JCPB
JPIE