PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JIG vs. DNL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JIG and DNL 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

JIG vs. DNL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan International Growth ETF (JIG) and WisdomTree Global ex-U.S. Quality Dividend Growth Fund (DNL). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
-0.28%
-6.59%
JIG
DNL

Key characteristics

Sharpe Ratio

JIG:

0.86

DNL:

0.19

Sortino Ratio

JIG:

1.28

DNL:

0.36

Omega Ratio

JIG:

1.16

DNL:

1.04

Calmar Ratio

JIG:

0.42

DNL:

0.21

Martin Ratio

JIG:

3.73

DNL:

0.61

Ulcer Index

JIG:

3.25%

DNL:

4.42%

Daily Std Dev

JIG:

14.08%

DNL:

14.49%

Max Drawdown

JIG:

-43.75%

DNL:

-44.53%

Current Drawdown

JIG:

-19.68%

DNL:

-9.99%

Returns By Period

In the year-to-date period, JIG achieves a 10.07% return, which is significantly higher than DNL's 0.46% return.


JIG

YTD

10.07%

1M

0.63%

6M

-0.14%

1Y

11.16%

5Y*

N/A

10Y*

N/A

DNL

YTD

0.46%

1M

0.77%

6M

-6.40%

1Y

1.57%

5Y*

4.82%

10Y*

6.34%

Compare stocks, funds, or ETFs

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


JIG vs. DNL - Expense Ratio Comparison

JIG has a 0.55% expense ratio, which is lower than DNL's 0.58% expense ratio.


DNL
WisdomTree Global ex-U.S. Quality Dividend Growth Fund
Expense ratio chart for DNL: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for JIG: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%

Risk-Adjusted Performance

JIG vs. DNL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan International Growth ETF (JIG) and WisdomTree Global ex-U.S. Quality Dividend Growth Fund (DNL). 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 JIG, currently valued at 0.86, compared to the broader market0.002.004.000.860.19
The chart of Sortino ratio for JIG, currently valued at 1.28, compared to the broader market-2.000.002.004.006.008.0010.001.280.36
The chart of Omega ratio for JIG, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.04
The chart of Calmar ratio for JIG, currently valued at 0.42, compared to the broader market0.005.0010.0015.000.420.21
The chart of Martin ratio for JIG, currently valued at 3.73, compared to the broader market0.0020.0040.0060.0080.00100.003.730.61
JIG
DNL

The current JIG Sharpe Ratio is 0.86, which is higher than the DNL Sharpe Ratio of 0.19. The chart below compares the historical Sharpe Ratios of JIG and DNL, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.86
0.19
JIG
DNL

Dividends

JIG vs. DNL - Dividend Comparison

JIG has not paid dividends to shareholders, while DNL's dividend yield for the trailing twelve months is around 1.94%.


TTM20232022202120202019201820172016201520142013
JIG
JPMorgan International Growth ETF
0.00%1.69%0.91%1.35%0.04%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DNL
WisdomTree Global ex-U.S. Quality Dividend Growth Fund
1.94%1.81%4.82%1.37%1.76%1.93%2.55%1.86%2.51%1.98%2.37%2.30%

Drawdowns

JIG vs. DNL - Drawdown Comparison

The maximum JIG drawdown since its inception was -43.75%, roughly equal to the maximum DNL drawdown of -44.53%. Use the drawdown chart below to compare losses from any high point for JIG and DNL. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-19.68%
-9.99%
JIG
DNL

Volatility

JIG vs. DNL - Volatility Comparison

The current volatility for JPMorgan International Growth ETF (JIG) is 3.72%, while WisdomTree Global ex-U.S. Quality Dividend Growth Fund (DNL) has a volatility of 3.97%. This indicates that JIG experiences smaller price fluctuations and is considered to be less risky than DNL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.72%
3.97%
JIG
DNL
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab