JHEQX vs. ^GSPC
Compare and contrast key facts about JPMorgan Hedged Equity Fund Class I (JHEQX) and S&P 500 (^GSPC).
JHEQX is managed by JPMorgan Chase. It was launched on Dec 13, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JHEQX or ^GSPC.
Performance
JHEQX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, JHEQX achieves a 18.88% return, which is significantly lower than ^GSPC's 24.05% return. Over the past 10 years, JHEQX has underperformed ^GSPC with an annualized return of 8.61%, while ^GSPC has yielded a comparatively higher 11.13% annualized return.
JHEQX
18.88%
0.82%
10.66%
20.51%
10.79%
8.61%
^GSPC
24.05%
1.08%
11.50%
30.38%
13.77%
11.13%
Key characteristics
| JHEQX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.65 | 2.46 |
| Sortino Ratio | 3.73 | 3.31 |
| Omega Ratio | 1.56 | 1.46 |
| Calmar Ratio | 4.24 | 3.55 |
| Martin Ratio | 18.90 | 15.76 |
| Ulcer Index | 1.09% | 1.91% |
| Daily Std Dev | 7.75% | 12.23% |
| Max Drawdown | -18.85% | -56.78% |
| Current Drawdown | -0.89% | -1.40% |
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Correlation
The correlation between JHEQX and ^GSPC is 0.92, 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.
Risk-Adjusted Performance
JHEQX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Hedged Equity Fund Class I (JHEQX) and S&P 500 (^GSPC). 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.
Drawdowns
JHEQX vs. ^GSPC - Drawdown Comparison
The maximum JHEQX drawdown since its inception was -18.85%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for JHEQX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
JHEQX vs. ^GSPC - Volatility Comparison
The current volatility for JPMorgan Hedged Equity Fund Class I (JHEQX) is 2.54%, while S&P 500 (^GSPC) has a volatility of 4.07%. This indicates that JHEQX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.