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

Correlation

The correlation between JHEQX and ^GSPC is 0.93, 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.


-0.50.00.51.0
Correlation: 0.9

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%NovemberDecember2025FebruaryMarchApril
123.73%
187.24%
JHEQX
^GSPC

Key characteristics

Sharpe Ratio

JHEQX:

0.63

^GSPC:

0.46

Sortino Ratio

JHEQX:

0.95

^GSPC:

0.77

Omega Ratio

JHEQX:

1.14

^GSPC:

1.11

Calmar Ratio

JHEQX:

0.58

^GSPC:

0.47

Martin Ratio

JHEQX:

2.33

^GSPC:

1.94

Ulcer Index

JHEQX:

3.24%

^GSPC:

4.61%

Daily Std Dev

JHEQX:

12.01%

^GSPC:

19.44%

Max Drawdown

JHEQX:

-18.85%

^GSPC:

-56.78%

Current Drawdown

JHEQX:

-8.02%

^GSPC:

-10.07%

Returns By Period

In the year-to-date period, JHEQX achieves a -5.74% return, which is significantly higher than ^GSPC's -6.06% return. Over the past 10 years, JHEQX has underperformed ^GSPC with an annualized return of 7.61%, while ^GSPC has yielded a comparatively higher 10.15% annualized return.


JHEQX

YTD

-5.74%

1M

-2.59%

6M

-5.20%

1Y

7.17%

5Y*

9.04%

10Y*

7.61%

^GSPC

YTD

-6.06%

1M

-2.95%

6M

-4.87%

1Y

8.34%

5Y*

13.98%

10Y*

10.15%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

JHEQX vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JHEQX
The Risk-Adjusted Performance Rank of JHEQX is 6565
Overall Rank
The Sharpe Ratio Rank of JHEQX is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of JHEQX is 6464
Sortino Ratio Rank
The Omega Ratio Rank of JHEQX is 6565
Omega Ratio Rank
The Calmar Ratio Rank of JHEQX is 7171
Calmar Ratio Rank
The Martin Ratio Rank of JHEQX is 6363
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6969
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6363
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7171
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7474
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for JHEQX, currently valued at 0.63, compared to the broader market-1.000.001.002.003.00
JHEQX: 0.63
^GSPC: 0.46
The chart of Sortino ratio for JHEQX, currently valued at 0.95, compared to the broader market-2.000.002.004.006.008.00
JHEQX: 0.95
^GSPC: 0.77
The chart of Omega ratio for JHEQX, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.00
JHEQX: 1.14
^GSPC: 1.11
The chart of Calmar ratio for JHEQX, currently valued at 0.58, compared to the broader market0.002.004.006.008.0010.00
JHEQX: 0.58
^GSPC: 0.47
The chart of Martin ratio for JHEQX, currently valued at 2.33, compared to the broader market0.0010.0020.0030.0040.0050.00
JHEQX: 2.33
^GSPC: 1.94

The current JHEQX Sharpe Ratio is 0.63, which is higher than the ^GSPC Sharpe Ratio of 0.46. 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.63
0.46
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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-8.02%
-10.07%
JHEQX
^GSPC

Volatility

JHEQX vs. ^GSPC - Volatility Comparison

The current volatility for JPMorgan Hedged Equity Fund Class I (JHEQX) is 8.02%, while S&P 500 (^GSPC) has a volatility of 14.23%. 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.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
8.02%
14.23%
JHEQX
^GSPC