JDESX vs. SPY
Compare and contrast key facts about JPMorgan U.S. Research Enhanced Equity Fund (JDESX) and SPDR S&P 500 ETF (SPY).
JDESX is managed by JPMorgan Chase. It was launched on Sep 10, 2001. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JDESX or SPY.
Key characteristics
| JDESX | SPY | |
|---|---|---|
| YTD Return | 27.74% | 26.83% |
| 1Y Return | 35.42% | 34.88% |
| 3Y Return (Ann) | 6.21% | 10.16% |
| 5Y Return (Ann) | 13.41% | 15.71% |
| 10Y Return (Ann) | 7.89% | 13.33% |
| Sharpe Ratio | 3.10 | 3.08 |
| Sortino Ratio | 4.14 | 4.10 |
| Omega Ratio | 1.58 | 1.58 |
| Calmar Ratio | 3.08 | 4.46 |
| Martin Ratio | 21.02 | 20.22 |
| Ulcer Index | 1.80% | 1.85% |
| Daily Std Dev | 12.24% | 12.18% |
| Max Drawdown | -54.25% | -55.19% |
| Current Drawdown | -0.28% | -0.26% |
Correlation
The correlation between JDESX and SPY is 0.98, 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
JDESX vs. SPY - Performance Comparison
The year-to-date returns for both stocks are quite close, with JDESX having a 27.74% return and SPY slightly lower at 26.83%. Over the past 10 years, JDESX has underperformed SPY with an annualized return of 7.89%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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JDESX vs. SPY - Expense Ratio Comparison
JDESX has a 0.35% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
JDESX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Research Enhanced Equity Fund (JDESX) and SPDR S&P 500 ETF (SPY). 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.
Dividends
JDESX vs. SPY - Dividend Comparison
JDESX's dividend yield for the trailing twelve months is around 0.90%, less than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JDESX JPMorgan U.S. Research Enhanced Equity Fund | 0.90% | 1.11% | 1.24% | 0.95% | 1.29% | 1.49% | 1.75% | 1.39% | 1.40% | 1.14% | 1.14% | 1.07% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
JDESX vs. SPY - Drawdown Comparison
The maximum JDESX drawdown since its inception was -54.25%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JDESX and SPY. For additional features, visit the drawdowns tool.
Volatility
JDESX vs. SPY - Volatility Comparison
JPMorgan U.S. Research Enhanced Equity Fund (JDESX) and SPDR S&P 500 ETF (SPY) have volatilities of 3.75% and 3.77%, 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.