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JHEQX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

JHEQX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Hedged Equity Fund Class I (JHEQX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

120.00%140.00%160.00%180.00%200.00%220.00%JulyAugustSeptemberOctoberNovemberDecember
138.42%
208.33%
JHEQX
^GSPC

Key characteristics

Sharpe Ratio

JHEQX:

2.36

^GSPC:

2.10

Sortino Ratio

JHEQX:

3.22

^GSPC:

2.80

Omega Ratio

JHEQX:

1.49

^GSPC:

1.39

Calmar Ratio

JHEQX:

3.97

^GSPC:

3.09

Martin Ratio

JHEQX:

17.17

^GSPC:

13.49

Ulcer Index

JHEQX:

1.12%

^GSPC:

1.94%

Daily Std Dev

JHEQX:

8.15%

^GSPC:

12.52%

Max Drawdown

JHEQX:

-18.85%

^GSPC:

-56.78%

Current Drawdown

JHEQX:

-1.94%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, JHEQX achieves a 18.77% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, JHEQX has underperformed ^GSPC with an annualized return of 8.48%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


JHEQX

YTD

18.77%

1M

-0.09%

6M

7.37%

1Y

19.06%

5Y*

10.43%

10Y*

8.48%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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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.


Sharpe ratio
The chart of Sharpe ratio for JHEQX, currently valued at 2.36, compared to the broader market-1.000.001.002.003.004.002.362.10
The chart of Sortino ratio for JHEQX, currently valued at 3.22, compared to the broader market-2.000.002.004.006.008.0010.003.222.80
The chart of Omega ratio for JHEQX, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.003.501.491.39
The chart of Calmar ratio for JHEQX, currently valued at 3.97, compared to the broader market0.002.004.006.008.0010.0012.0014.003.973.09
The chart of Martin ratio for JHEQX, currently valued at 17.17, compared to the broader market0.0020.0040.0060.0017.1713.49
JHEQX
^GSPC

The current JHEQX Sharpe Ratio is 2.36, which is comparable to the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of JHEQX and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.36
2.10
JHEQX
^GSPC

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.94%
-2.62%
JHEQX
^GSPC

Volatility

JHEQX vs. ^GSPC - Volatility Comparison

The current volatility for JPMorgan Hedged Equity Fund Class I (JHEQX) is 2.62%, while S&P 500 (^GSPC) has a volatility of 3.79%. 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.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.62%
3.79%
JHEQX
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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