JFEAX vs. VYMI
JFEAX (JPMorgan Developed International Value Fund Class A) and VYMI (Vanguard International High Dividend Yield ETF) are both funds - JFEAX is a Foreign Large Cap Equities fund actively managed by JPMorgan, while VYMI is a Dividend fund tracking the FTSE All-World ex US High Dividend Yield Index. JFEAX is actively managed, while VYMI is passively managed. Over the past 10 years, JFEAX returned 10.27%/yr vs 10.49%/yr for VYMI. Their correlation of 0.94 suggests significant overlap in exposure. JFEAX charges 1.00%/yr vs 0.07%/yr for VYMI.
Performance
JFEAX vs. VYMI - Performance Comparison
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Returns By Period
In the year-to-date period, JFEAX achieves a 9.79% return, which is significantly lower than VYMI's 11.31% return. Both investments have delivered pretty close results over the past 10 years, with JFEAX having a 10.27% annualized return and VYMI not far ahead at 10.49%.
JFEAX
- 1D
- 0.37%
- 1M
- 2.45%
- YTD
- 9.79%
- 6M
- 13.75%
- 1Y
- 31.93%
- 3Y*
- 25.85%
- 5Y*
- 14.17%
- 10Y*
- 10.27%
VYMI
- 1D
- -1.01%
- 1M
- 2.05%
- YTD
- 11.31%
- 6M
- 14.77%
- 1Y
- 30.23%
- 3Y*
- 21.88%
- 5Y*
- 11.95%
- 10Y*
- 10.49%
JFEAX vs. VYMI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JFEAX JPMorgan Developed International Value Fund Class A | 9.79% | 48.02% | 9.57% | 18.69% | -5.60% | 16.26% | -4.33% | 15.17% | -18.87% | 21.63% |
VYMI Vanguard International High Dividend Yield ETF | 11.31% | 38.05% | 7.06% | 17.07% | -7.02% | 15.39% | -1.11% | 18.43% | -12.65% | 22.36% |
Correlation
The correlation between JFEAX and VYMI is 0.95, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.95 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.96 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Mar 3, 2016 | 0.94 |
The correlation between JFEAX and VYMI has been stable across timeframes, ranging from 0.94 to 0.96 - a consistent structural relationship.
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Return for Risk
JFEAX vs. VYMI — Risk / Return Rank
JFEAX
VYMI
JFEAX vs. VYMI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Developed International Value Fund Class A (JFEAX) and Vanguard International High Dividend Yield ETF (VYMI). 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.
| JFEAX | VYMI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.13 | ||
| Sortino ratioReturn per unit of downside risk | -0.16 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.43 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.80 | 2.99 | -0.20 |
| Martin ratioReturn relative to average drawdown | 10.46 | 11.80 | -1.34 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JFEAX | VYMI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.22 | 2.35 | -0.13 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.88 | 0.81 | +0.07 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.57 | 0.62 | -0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.35 | 0.65 | -0.30 |
Drawdowns
JFEAX vs. VYMI - Drawdown Comparison
The maximum JFEAX drawdown since its inception was -62.44%, which is greater than VYMI's maximum drawdown of -40.00%. Use the drawdown chart below to compare losses from any high point for JFEAX and VYMI.
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Drawdown Indicators
| JFEAX | VYMI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.44% | -40.00% | -22.44% |
Max Drawdown (1Y)Largest decline over 1 year | -11.02% | -10.14% | -0.88% |
Max Drawdown (3Y)Largest decline over 3 years | -13.64% | -12.84% | -0.80% |
Max Drawdown (5Y)Largest decline over 5 years | -27.71% | -24.05% | -3.66% |
Max Drawdown (10Y)Largest decline over 10 years | -48.74% | -40.00% | -8.74% |
Current DrawdownCurrent decline from peak | -2.55% | -1.40% | -1.15% |
Average DrawdownAverage peak-to-trough decline | -14.89% | -6.31% | -8.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.94% | 2.57% | +0.37% |
Volatility
JFEAX vs. VYMI - Volatility Comparison
JPMorgan Developed International Value Fund Class A (JFEAX) and Vanguard International High Dividend Yield ETF (VYMI) have volatilities of 4.02% and 4.04%, 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.
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Volatility by Period
| JFEAX | VYMI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.02% | 4.04% | -0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 11.14% | 10.73% | +0.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.95% | 12.94% | +1.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.17% | 14.84% | +1.33% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.99% | 16.87% | +1.12% |
JFEAX vs. VYMI - Expense Ratio Comparison
JFEAX has a 1.00% expense ratio, which is higher than VYMI's 0.07% expense ratio.
Dividends
JFEAX vs. VYMI - Dividend Comparison
JFEAX's dividend yield for the trailing twelve months is around 2.51%, less than VYMI's 3.44% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JFEAX JPMorgan Developed International Value Fund Class A | 2.51% | 2.76% | 4.26% | 4.94% | 3.68% | 4.79% | 2.75% | 3.96% | 4.12% | 2.14% | 5.75% | 1.11% |
VYMI Vanguard International High Dividend Yield ETF | 3.44% | 3.68% | 4.84% | 4.58% | 4.70% | 4.30% | 3.22% | 4.20% | 4.29% | 3.21% | 2.39% | 0.00% |
Frequently Asked Questions
With a correlation of 0.95, JFEAX and VYMI move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
VYMI has higher volatility (4.04%) compared to JFEAX (4.02%). In terms of maximum drawdown, JFEAX dropped -62.44% vs VYMI's -40.00%.
VYMI currently has the higher Sharpe Ratio (2.35 vs 2.22), 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.
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