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JCPB vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JCPBVOO
YTD Return3.63%27.26%
1Y Return10.36%37.86%
3Y Return (Ann)-1.04%10.35%
5Y Return (Ann)1.14%16.03%
Sharpe Ratio1.863.25
Sortino Ratio2.804.31
Omega Ratio1.341.61
Calmar Ratio0.804.74
Martin Ratio7.4521.63
Ulcer Index1.43%1.85%
Daily Std Dev5.71%12.25%
Max Drawdown-16.67%-33.99%
Current Drawdown-3.98%0.00%

Correlation

-0.50.00.51.00.1

The correlation between JCPB and VOO is 0.13, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

JCPB vs. VOO - Performance Comparison

In the year-to-date period, JCPB achieves a 3.63% return, which is significantly lower than VOO's 27.26% 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%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
4.36%
15.18%
JCPB
VOO

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JCPB vs. VOO - Expense Ratio Comparison

JCPB has a 0.40% expense ratio, which is higher than VOO'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 VOO: 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%

Risk-Adjusted Performance

JCPB vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Core Plus Bond ETF (JCPB) and Vanguard S&P 500 ETF (VOO). 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 market0.005.0010.002.80
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 0.80, compared to the broader market0.005.0010.0015.000.80
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
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.31, compared to the broader market0.005.0010.004.31
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.74, compared to the broader market0.005.0010.0015.004.74
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.63, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.63

JCPB vs. VOO - Sharpe Ratio Comparison

The current JCPB Sharpe Ratio is 1.86, which is lower than the VOO Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of JCPB and VOO, 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
3.25
JCPB
VOO

Dividends

JCPB vs. VOO - Dividend Comparison

JCPB's dividend yield for the trailing twelve months is around 5.02%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
JCPB
JPMorgan Core Plus Bond ETF
5.02%4.32%3.00%2.19%2.97%3.23%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

JCPB vs. VOO - Drawdown Comparison

The maximum JCPB drawdown since its inception was -16.67%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for JCPB and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.98%
0
JCPB
VOO

Volatility

JCPB vs. VOO - Volatility Comparison

The current volatility for JPMorgan Core Plus Bond ETF (JCPB) is 1.56%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.92%. This indicates that JCPB experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.56%
3.92%
JCPB
VOO