JMEE vs. VTWO

Last updated Jun 24, 2026

JMEE (JPMorgan Small & Mid Cap Enhanced Equity ETF) and VTWO (Vanguard Russell 2000 ETF) are both Small Cap Blend Equities funds. JMEE is actively managed, while VTWO is passively managed. Over the past 3 years, JMEE returned 17.77%/yr vs 19.49%/yr for VTWO. With a 0.96 correlation, they move nearly in lockstep. JMEE charges 0.24%/yr vs 0.06%/yr for VTWO.

Performance

JMEE vs. VTWO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Small & Mid Cap Enhanced Equity ETF (JMEE) and Vanguard Russell 2000 ETF (VTWO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JMEE achieves a 18.13% return, which is significantly lower than VTWO's 20.53% return.

JMEE

• 1D: -0.87%
• 1M: 3.51%
• YTD: 18.13%
• 6M: 15.84%
• 1Y: 31.92%
• 3Y*: 17.77%
• 5Y*: —
• 10Y*: —

VTWO

• 1D: -0.94%
• 1M: 3.85%
• YTD: 20.53%
• 6M: 17.73%
• 1Y: 41.24%
• 3Y*: 19.49%
• 5Y*: 6.45%
• 10Y*: 11.73%

*Multi-year figures are annualized to reflect compound growth (CAGR)

JMEE vs. VTWO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
JMEE JPMorgan Small & Mid Cap Enhanced Equity ETF	18.13%	7.65%	13.65%	18.12%	0.09%
VTWO Vanguard Russell 2000 ETF	20.53%	12.90%	11.55%	17.08%	-3.22%

Correlation

The correlation between JMEE and VTWO is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (All Time) Calculated using the full available price history since May 9, 2022	0.96

The correlation between JMEE and VTWO has been stable across timeframes, ranging from 0.94 to 0.96 - a consistent structural relationship.

JMEE vs. VTWO - Sectors Allocation Comparison

Sectors	JMEE	VTWO
Industrials	20.9%	17.9%
Technology	18.3%	19.1%
Financial Services	15.3%	15.5%
Consumer Cyclical	11.9%	7.9%
Healthcare	8.9%	16.3%
Real Estate	7.6%	5.9%
Energy	5.0%	5.3%
Basic Materials	4.7%	4.7%
Consumer Defensive	3.6%	2.2%
Utilities	2.1%	2.8%
Communication Services	1.7%	2.5%

Return for Risk

JMEE vs. VTWO — Risk / Return Rank

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

JMEE

JMEE Risk / Return Rank: 70
JMEE Sharpe Ratio Rank: 65
JMEE Sortino Ratio Rank: 68
JMEE Omega Ratio Rank: 61
JMEE Calmar Ratio Rank: 80
JMEE Martin Ratio Rank: 77

VTWO

VTWO Risk / Return Rank: 68
VTWO Sharpe Ratio Rank: 67
VTWO Sortino Ratio Rank: 65
VTWO Omega Ratio Rank: 58
VTWO Calmar Ratio Rank: 76
VTWO Martin Ratio Rank: 73

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

JMEE vs. VTWO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Small & Mid Cap Enhanced Equity ETF (JMEE) and Vanguard Russell 2000 ETF (VTWO). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	JMEE	VTWO	Difference
Sharpe ratio: Return per unit of total volatility	1.98	2.11	-0.13
Sortino ratio: Return per unit of downside risk	2.84	2.89	-0.05
Omega ratio: Gain probability vs. loss probability	1.34	1.34	0.00
Calmar ratio: Return relative to maximum drawdown	3.89	3.77	+0.12
Martin ratio: Return relative to average drawdown	13.66	13.36	+0.30

JMEE vs. VTWO - Sharpe Ratio Comparison

The current JMEE Sharpe Ratio is 1.98, which is comparable to the VTWO Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of JMEE and VTWO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

JMEE vs. VTWO - Drawdown Comparison

The maximum JMEE drawdown since its inception was -25.40%, smaller than the maximum VTWO drawdown of -41.19%. Use the drawdown chart below to compare losses from any high point for JMEE and VTWO.

Drawdown Indicators

	JMEE	VTWO	Difference
Max Drawdown Largest peak-to-trough decline	-25.40%	-41.19%	+15.79%
Max Drawdown (1Y) Largest decline over 1 year	-8.24%	-10.99%	+2.75%
Max Drawdown (3Y) Largest decline over 3 years	-25.40%	-27.57%	+2.17%
Max Drawdown (5Y) Largest decline over 5 years	—	-31.88%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-41.19%	—
Current Drawdown Current decline from peak	-0.87%	-0.94%	+0.07%
Average Drawdown Average peak-to-trough decline	-5.33%	-8.36%	+3.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.34%	3.10%	-0.76%

Volatility

JMEE vs. VTWO - Volatility Comparison

The current volatility for JPMorgan Small & Mid Cap Enhanced Equity ETF (JMEE) is 4.77%, while Vanguard Russell 2000 ETF (VTWO) has a volatility of 6.57%. This indicates that JMEE experiences smaller price fluctuations and is considered to be less risky than VTWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JMEE	VTWO	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.77%	6.57%	-1.80%
Volatility (6M) Calculated over the trailing 6-month period	11.70%	14.28%	-2.58%
Volatility (1Y) Calculated over the trailing 1-year period	16.24%	19.68%	-3.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.49%	22.56%	-3.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.49%	23.11%	-3.62%

JMEE vs. VTWO - Expense Ratio Comparison

JMEE has a 0.24% expense ratio, which is higher than VTWO's 0.06% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

JMEE vs. VTWO - Dividend Comparison

JMEE's dividend yield for the trailing twelve months is around 0.95%, less than VTWO's 1.10% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JMEE JPMorgan Small & Mid Cap Enhanced Equity ETF	0.95%	1.13%	0.95%	1.25%	6.63%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VTWO Vanguard Russell 2000 ETF	1.10%	1.25%	1.21%	1.45%	1.48%	1.13%	0.92%	1.36%	1.41%	1.18%	1.27%	1.23%

Frequently Asked Questions

Can I hold both JMEE and VTWO in my portfolio?

With a correlation of 0.94, JMEE and VTWO move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, JMEE or VTWO?

VTWO has higher volatility (6.57%) compared to JMEE (4.77%). In terms of maximum drawdown, JMEE dropped -25.40% vs VTWO's -41.19%.

Which ETF is better, JMEE or VTWO?

On 3-year performance, VTWO leads with 19.49% vs 17.77% for JMEE. On fees, VTWO is cheaper at 0.06% per year. On volatility, JMEE has been the lower-risk option at 4.77%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, JMEE or VTWO?

Over the 3-year period, VTWO has performed better with a 19.49% return vs 17.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JMEE or VTWO?

VTWO is cheaper with a 0.06% expense ratio, compared with 0.24% for JMEE.

Which ETF pays a higher dividend yield, JMEE or VTWO?

VTWO has the higher dividend yield at 1.10%, compared with 0.95% for JMEE.

What is the main difference between JMEE and VTWO?

They also come from different issuers: JPMorgan and Vanguard. Their fees differ too: 0.24% for JMEE and 0.06% for VTWO.

Which has better risk-adjusted returns?

VTWO currently has the higher Sharpe Ratio (2.11 vs 1.98), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.