JDESX vs. SGOIX

Last updated Jul 11, 2026

JDESX (JPMorgan U.S. Research Enhanced Equity Fund) and SGOIX (First Eagle Overseas Fund Class I) are both Large Cap Blend Equities funds. Over the past 10 years, JDESX returned 15.98%/yr vs 8.32%/yr for SGOIX. At a 0.47 correlation, their price movements are largely independent. JDESX charges 0.35%/yr vs 0.88%/yr for SGOIX.

Performance

JDESX vs. SGOIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan U.S. Research Enhanced Equity Fund (JDESX) and First Eagle Overseas Fund Class I (SGOIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JDESX achieves a 8.69% return, which is significantly higher than SGOIX's 7.95% return. Over the past 10 years, JDESX has outperformed SGOIX with an annualized return of 15.98%, while SGOIX has yielded a comparatively lower 8.32% annualized return.

JDESX

• 1D: 0.79%
• 1M: 1.86%
• 6M: 7.04%
• YTD: 8.69%
• 1Y: 18.58%
• 3Y*: 21.98%
• 5Y*: 13.85%
• 10Y*: 15.98%

SGOIX

• 1D: 0.03%
• 1M: -0.32%
• 6M: 4.48%
• YTD: 7.95%
• 1Y: 24.60%
• 3Y*: 18.38%
• 5Y*: 10.06%
• 10Y*: 8.32%

*Multi-year figures are annualized to reflect compound growth (CAGR)

JDESX vs. SGOIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JDESX JPMorgan U.S. Research Enhanced Equity Fund	8.69%	16.33%	31.02%	28.23%	-18.15%	30.35%	20.65%	31.16%	-5.53%	21.49%
SGOIX First Eagle Overseas Fund Class I	7.95%	39.06%	6.45%	10.73%	-7.86%	5.25%	7.25%	17.90%	-9.95%	14.38%

Correlation

The correlation between JDESX and SGOIX is 0.63, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.63
Correlation (3Y) Calculated over the trailing 3-year period	0.59
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (10Y) Calculated over the trailing 10-year period	0.66
Correlation (All Time) Calculated using the full available price history since Jan 4, 1999	0.47

The correlation between JDESX and SGOIX shifts across timeframes, from 0.47 (all time) to 0.66 (10 years), reflecting how their relationship changes across market environments.

Return for Risk

JDESX vs. SGOIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JDESX

JDESX Risk / Return Rank: 47
JDESX Sharpe Ratio Rank: 47
JDESX Sortino Ratio Rank: 44
JDESX Omega Ratio Rank: 47
JDESX Calmar Ratio Rank: 44
JDESX Martin Ratio Rank: 56

SGOIX

SGOIX Risk / Return Rank: 61
SGOIX Sharpe Ratio Rank: 75
SGOIX Sortino Ratio Rank: 68
SGOIX Omega Ratio Rank: 73
SGOIX Calmar Ratio Rank: 51
SGOIX Martin Ratio Rank: 39

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

JDESX vs. SGOIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Research Enhanced Equity Fund (JDESX) and First Eagle Overseas Fund Class I (SGOIX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	JDESX	SGOIX	Difference
Sharpe ratio: Return per unit of total volatility	1.52	1.94	-0.41
Sortino ratio: Return per unit of downside risk	2.12	2.58	-0.46
Omega ratio: Gain probability vs. loss probability	1.28	1.36	-0.08
Calmar ratio: Return relative to maximum drawdown	2.03	2.20	-0.17
Martin ratio: Return relative to average drawdown	8.84	6.65	+2.19

JDESX vs. SGOIX - Sharpe Ratio Comparison

The current JDESX Sharpe Ratio is 1.52, which is comparable to the SGOIX Sharpe Ratio of 1.94. The chart below compares the historical Sharpe Ratios of JDESX and SGOIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

JDESX vs. SGOIX - Drawdown Comparison

The maximum JDESX drawdown since its inception was -54.56%, which is greater than SGOIX's maximum drawdown of -35.54%. Use the drawdown chart below to compare losses from any high point for JDESX and SGOIX.

Drawdown Indicators

	JDESX	SGOIX	Difference
Max Drawdown Largest peak-to-trough decline	-54.56%	-35.54%	-19.02%
Max Drawdown (1Y) Largest decline over 1 year	-9.22%	-11.35%	+2.13%
Max Drawdown (3Y) Largest decline over 3 years	-18.85%	-11.35%	-7.50%
Max Drawdown (5Y) Largest decline over 5 years	-31.30%	-20.21%	-11.09%
Max Drawdown (10Y) Largest decline over 10 years	-34.71%	-24.79%	-9.92%
Current Drawdown Current decline from peak	-0.72%	-5.27%	+4.55%
Average Drawdown Average peak-to-trough decline	-11.88%	-4.58%	-7.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.11%	3.74%	-1.63%

Volatility

JDESX vs. SGOIX - Volatility Comparison

JPMorgan U.S. Research Enhanced Equity Fund (JDESX) and First Eagle Overseas Fund Class I (SGOIX) have volatilities of 4.21% and 4.07%, 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.

Volatility by Period

	JDESX	SGOIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.21%	4.07%	+0.14%
Volatility (6M) Calculated over the trailing 6-month period	9.73%	11.07%	-1.34%
Volatility (1Y) Calculated over the trailing 1-year period	12.30%	12.87%	-0.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.88%	12.03%	+6.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.71%	11.42%	+8.29%

JDESX vs. SGOIX - Expense Ratio Comparison

JDESX has a 0.35% expense ratio, which is lower than SGOIX's 0.88% expense ratio.

Dividends

JDESX vs. SGOIX - Dividend Comparison

JDESX's dividend yield for the trailing twelve months is around 4.91%, less than SGOIX's 7.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JDESX JPMorgan U.S. Research Enhanced Equity Fund	4.91%	5.33%	11.20%	1.23%	2.79%	12.94%	3.89%	11.29%	14.15%	1.39%	1.40%	5.56%
SGOIX First Eagle Overseas Fund Class I	7.83%	8.45%	8.49%	2.45%	3.81%	5.92%	0.47%	5.70%	3.36%	3.59%	3.80%	1.58%

Frequently Asked Questions

Can I hold both JDESX and SGOIX in my portfolio?

JDESX and SGOIX have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JDESX or SGOIX?

JDESX has higher volatility (4.21%) compared to SGOIX (4.07%). In terms of maximum drawdown, JDESX dropped -54.56% vs SGOIX's -35.54%.

Which has better risk-adjusted returns?

SGOIX currently has the higher Sharpe Ratio (1.94 vs 1.52), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.