JEL.F vs. SPY
Compare and contrast key facts about JEOL Ltd (JEL.F) and SPDR S&P 500 ETF (SPY).
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: JEL.F or SPY.
Key characteristics
| JEL.F | SPY | |
|---|---|---|
| YTD Return | -16.24% | 23.55% |
| 1Y Return | 25.00% | 41.88% |
| 3Y Return (Ann) | -19.94% | 9.84% |
| 5Y Return (Ann) | 58.09% | 15.74% |
| 10Y Return (Ann) | 84.10% | 13.19% |
| Sharpe Ratio | 0.21 | 3.62 |
| Sortino Ratio | 0.61 | 4.77 |
| Omega Ratio | 1.08 | 1.68 |
| Calmar Ratio | 0.15 | 4.11 |
| Martin Ratio | 0.60 | 23.79 |
| Ulcer Index | 15.46% | 1.83% |
| Daily Std Dev | 46.42% | 12.04% |
| Max Drawdown | -92.25% | -55.19% |
| Current Drawdown | -55.70% | -0.48% |
Correlation
The correlation between JEL.F and SPY 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
JEL.F vs. SPY - Performance Comparison
In the year-to-date period, JEL.F achieves a -16.24% return, which is significantly lower than SPY's 23.55% return. Over the past 10 years, JEL.F has outperformed SPY with an annualized return of 84.10%, while SPY has yielded a comparatively lower 13.19% 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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Risk-Adjusted Performance
JEL.F vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JEOL Ltd (JEL.F) 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
JEL.F vs. SPY - Dividend Comparison
JEL.F's dividend yield for the trailing twelve months is around 1.75%, more than SPY's 1.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JEL.F JEOL Ltd | 1.75% | 1.16% | 1.87% | 0.29% | 0.52% | 0.74% | 0.80% | 1.20% | 1.44% | 0.64% | 0.85% | 1.04% |
SPY SPDR S&P 500 ETF | 1.20% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
JEL.F vs. SPY - Drawdown Comparison
The maximum JEL.F drawdown since its inception was -92.25%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JEL.F and SPY. For additional features, visit the drawdowns tool.
Volatility
JEL.F vs. SPY - Volatility Comparison
JEOL Ltd (JEL.F) has a higher volatility of 12.41% compared to SPDR S&P 500 ETF (SPY) at 2.67%. This indicates that JEL.F's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.