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JLGMX vs. WFSPX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JLGMXWFSPX
YTD Return34.92%26.79%
1Y Return44.81%37.33%
3Y Return (Ann)4.58%9.83%
5Y Return (Ann)14.03%15.66%
10Y Return (Ann)9.43%13.10%
Sharpe Ratio2.503.03
Sortino Ratio3.264.04
Omega Ratio1.451.57
Calmar Ratio2.024.41
Martin Ratio13.0519.94
Ulcer Index3.43%1.87%
Daily Std Dev17.91%12.27%
Max Drawdown-39.64%-89.72%
Current Drawdown0.00%-0.28%

Correlation

-0.50.00.51.00.9

The correlation between JLGMX and WFSPX 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

JLGMX vs. WFSPX - Performance Comparison

In the year-to-date period, JLGMX achieves a 34.92% return, which is significantly higher than WFSPX's 26.79% return. Over the past 10 years, JLGMX has underperformed WFSPX with an annualized return of 9.43%, while WFSPX has yielded a comparatively higher 13.10% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
16.69%
14.71%
JLGMX
WFSPX

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JLGMX vs. WFSPX - Expense Ratio Comparison

JLGMX has a 0.44% expense ratio, which is higher than WFSPX's 0.03% expense ratio.


JLGMX
JPMorgan Large Cap Growth Fund Class R6
Expense ratio chart for JLGMX: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%
Expense ratio chart for WFSPX: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

JLGMX vs. WFSPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Large Cap Growth Fund Class R6 (JLGMX) and iShares S&P 500 Index Fund (WFSPX). 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.


JLGMX
Sharpe ratio
The chart of Sharpe ratio for JLGMX, currently valued at 2.50, compared to the broader market0.002.004.002.50
Sortino ratio
The chart of Sortino ratio for JLGMX, currently valued at 3.26, compared to the broader market0.005.0010.003.26
Omega ratio
The chart of Omega ratio for JLGMX, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for JLGMX, currently valued at 2.02, compared to the broader market0.005.0010.0015.0020.002.02
Martin ratio
The chart of Martin ratio for JLGMX, currently valued at 13.05, compared to the broader market0.0020.0040.0060.0080.00100.0013.05
WFSPX
Sharpe ratio
The chart of Sharpe ratio for WFSPX, currently valued at 3.03, compared to the broader market0.002.004.003.03
Sortino ratio
The chart of Sortino ratio for WFSPX, currently valued at 4.04, compared to the broader market0.005.0010.004.04
Omega ratio
The chart of Omega ratio for WFSPX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for WFSPX, currently valued at 4.41, compared to the broader market0.005.0010.0015.0020.004.41
Martin ratio
The chart of Martin ratio for WFSPX, currently valued at 19.94, compared to the broader market0.0020.0040.0060.0080.00100.0019.94

JLGMX vs. WFSPX - Sharpe Ratio Comparison

The current JLGMX Sharpe Ratio is 2.50, which is comparable to the WFSPX Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of JLGMX and WFSPX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.50
3.03
JLGMX
WFSPX

Dividends

JLGMX vs. WFSPX - Dividend Comparison

JLGMX's dividend yield for the trailing twelve months is around 0.23%, less than WFSPX's 1.20% yield.


TTM20232022202120202019201820172016201520142013
JLGMX
JPMorgan Large Cap Growth Fund Class R6
0.23%0.31%0.61%0.00%0.12%0.26%0.08%0.00%0.00%0.00%0.00%0.09%
WFSPX
iShares S&P 500 Index Fund
1.20%1.44%1.69%1.25%1.55%1.99%2.03%1.74%2.07%1.95%1.84%1.70%

Drawdowns

JLGMX vs. WFSPX - Drawdown Comparison

The maximum JLGMX drawdown since its inception was -39.64%, smaller than the maximum WFSPX drawdown of -89.72%. Use the drawdown chart below to compare losses from any high point for JLGMX and WFSPX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.28%
JLGMX
WFSPX

Volatility

JLGMX vs. WFSPX - Volatility Comparison

JPMorgan Large Cap Growth Fund Class R6 (JLGMX) has a higher volatility of 4.76% compared to iShares S&P 500 Index Fund (WFSPX) at 3.85%. This indicates that JLGMX's price experiences larger fluctuations and is considered to be riskier than WFSPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.76%
3.85%
JLGMX
WFSPX