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JIRE vs. AVDV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JIREAVDV
YTD Return6.76%9.82%
1Y Return17.40%23.35%
Sharpe Ratio1.351.63
Sortino Ratio1.942.24
Omega Ratio1.241.28
Calmar Ratio2.362.22
Martin Ratio7.299.54
Ulcer Index2.47%2.48%
Daily Std Dev13.32%14.50%
Max Drawdown-16.11%-43.01%
Current Drawdown-6.67%-5.24%

Correlation

-0.50.00.51.00.9

The correlation between JIRE and AVDV is 0.90, 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.

Performance

JIRE vs. AVDV - Performance Comparison

In the year-to-date period, JIRE achieves a 6.76% return, which is significantly lower than AVDV's 9.82% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
-1.28%
2.91%
JIRE
AVDV

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JIRE vs. AVDV - Expense Ratio Comparison

JIRE has a 0.24% expense ratio, which is lower than AVDV's 0.36% expense ratio.


AVDV
Avantis International Small Cap Value ETF
Expense ratio chart for AVDV: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for JIRE: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Risk-Adjusted Performance

JIRE vs. AVDV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan International Research Enhanced Equity ETF (JIRE) and Avantis International Small Cap Value ETF (AVDV). 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.


JIRE
Sharpe ratio
The chart of Sharpe ratio for JIRE, currently valued at 1.35, compared to the broader market-2.000.002.004.006.001.35
Sortino ratio
The chart of Sortino ratio for JIRE, currently valued at 1.94, compared to the broader market0.005.0010.001.94
Omega ratio
The chart of Omega ratio for JIRE, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for JIRE, currently valued at 2.36, compared to the broader market0.005.0010.0015.002.36
Martin ratio
The chart of Martin ratio for JIRE, currently valued at 7.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.29
AVDV
Sharpe ratio
The chart of Sharpe ratio for AVDV, currently valued at 1.63, compared to the broader market-2.000.002.004.006.001.63
Sortino ratio
The chart of Sortino ratio for AVDV, currently valued at 2.24, compared to the broader market0.005.0010.002.24
Omega ratio
The chart of Omega ratio for AVDV, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for AVDV, currently valued at 2.92, compared to the broader market0.005.0010.0015.002.92
Martin ratio
The chart of Martin ratio for AVDV, currently valued at 9.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.54

JIRE vs. AVDV - Sharpe Ratio Comparison

The current JIRE Sharpe Ratio is 1.35, which is comparable to the AVDV Sharpe Ratio of 1.63. The chart below compares the historical Sharpe Ratios of JIRE and AVDV, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.35
1.63
JIRE
AVDV

Dividends

JIRE vs. AVDV - Dividend Comparison

JIRE's dividend yield for the trailing twelve months is around 2.56%, less than AVDV's 3.07% yield.


TTM20232022202120202019
JIRE
JPMorgan International Research Enhanced Equity ETF
2.56%2.74%2.62%0.00%0.00%0.00%
AVDV
Avantis International Small Cap Value ETF
3.07%3.29%3.17%2.39%1.67%0.36%

Drawdowns

JIRE vs. AVDV - Drawdown Comparison

The maximum JIRE drawdown since its inception was -16.11%, smaller than the maximum AVDV drawdown of -43.01%. Use the drawdown chart below to compare losses from any high point for JIRE and AVDV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.67%
-5.24%
JIRE
AVDV

Volatility

JIRE vs. AVDV - Volatility Comparison

JPMorgan International Research Enhanced Equity ETF (JIRE) has a higher volatility of 4.36% compared to Avantis International Small Cap Value ETF (AVDV) at 3.77%. This indicates that JIRE's price experiences larger fluctuations and is considered to be riskier than AVDV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.36%
3.77%
JIRE
AVDV