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

Correlation

The correlation between JIG and JEMA is 0.82, 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.


-0.50.00.51.00.8

Performance

JIG vs. JEMA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan International Growth ETF (JIG) and JPMorgan ActiveBuilders Emerging Markets Equity ETF (JEMA). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-0.27%
0.11%
JIG
JEMA

Key characteristics

Sharpe Ratio

JIG:

0.86

JEMA:

0.52

Sortino Ratio

JIG:

1.28

JEMA:

0.83

Omega Ratio

JIG:

1.16

JEMA:

1.10

Calmar Ratio

JIG:

0.42

JEMA:

0.29

Martin Ratio

JIG:

3.73

JEMA:

2.10

Ulcer Index

JIG:

3.25%

JEMA:

4.04%

Daily Std Dev

JIG:

14.08%

JEMA:

16.44%

Max Drawdown

JIG:

-43.75%

JEMA:

-39.50%

Current Drawdown

JIG:

-19.68%

JEMA:

-20.33%

Returns By Period

In the year-to-date period, JIG achieves a 10.07% return, which is significantly higher than JEMA's 5.52% return.


JIG

YTD

10.07%

1M

0.63%

6M

-0.14%

1Y

11.16%

5Y*

N/A

10Y*

N/A

JEMA

YTD

5.52%

1M

-1.14%

6M

0.05%

1Y

7.47%

5Y*

N/A

10Y*

N/A

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. JEMA - Expense Ratio Comparison

JIG has a 0.55% expense ratio, which is higher than JEMA's 0.39% expense ratio.


JIG
JPMorgan International Growth ETF
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%
Expense ratio chart for JEMA: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%

Risk-Adjusted Performance

JIG vs. JEMA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan International Growth ETF (JIG) and JPMorgan ActiveBuilders Emerging Markets Equity ETF (JEMA). 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 market0.002.004.000.860.52
The chart of Sortino ratio for JIG, currently valued at 1.28, compared to the broader market-2.000.002.004.006.008.0010.001.280.83
The chart of Omega ratio for JIG, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.10
The chart of Calmar ratio for JIG, currently valued at 0.42, compared to the broader market0.005.0010.0015.000.420.29
The chart of Martin ratio for JIG, currently valued at 3.73, compared to the broader market0.0020.0040.0060.0080.00100.003.732.10
JIG
JEMA

The current JIG Sharpe Ratio is 0.86, which is higher than the JEMA Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of JIG and JEMA, 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
0.52
JIG
JEMA

Dividends

JIG vs. JEMA - Dividend Comparison

Neither JIG nor JEMA has paid dividends to shareholders.


TTM2023202220212020
JIG
JPMorgan International Growth ETF
0.00%1.69%0.91%1.35%0.04%
JEMA
JPMorgan ActiveBuilders Emerging Markets Equity ETF
0.00%2.95%2.68%1.54%0.00%

Drawdowns

JIG vs. JEMA - Drawdown Comparison

The maximum JIG drawdown since its inception was -43.75%, which is greater than JEMA's maximum drawdown of -39.50%. Use the drawdown chart below to compare losses from any high point for JIG and JEMA. For additional features, visit the drawdowns tool.


-26.00%-24.00%-22.00%-20.00%-18.00%-16.00%-14.00%-12.00%JulyAugustSeptemberOctoberNovemberDecember
-19.68%
-20.33%
JIG
JEMA

Volatility

JIG vs. JEMA - Volatility Comparison

The current volatility for JPMorgan International Growth ETF (JIG) is 3.72%, while JPMorgan ActiveBuilders Emerging Markets Equity ETF (JEMA) has a volatility of 4.19%. This indicates that JIG experiences smaller price fluctuations and is considered to be less risky than JEMA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.72%
4.19%
JIG
JEMA
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