JPEF vs. SPLG
Compare and contrast key facts about JPMorgan Equity Focus ETF (JPEF) and SPDR Portfolio S&P 500 ETF (SPLG).
JPEF and SPLG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. JPEF is an actively managed fund by JPMorgan. It was launched on Jul 29, 2011. SPLG is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Nov 15, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPEF or SPLG.
Key characteristics
| JPEF | SPLG | |
|---|---|---|
| YTD Return | 30.84% | 27.16% |
| 1Y Return | 43.46% | 39.88% |
| Sharpe Ratio | 3.28 | 3.16 |
| Sortino Ratio | 4.42 | 4.21 |
| Omega Ratio | 1.61 | 1.59 |
| Calmar Ratio | 5.09 | 4.60 |
| Martin Ratio | 22.62 | 20.90 |
| Ulcer Index | 1.89% | 1.86% |
| Daily Std Dev | 13.02% | 12.27% |
| Max Drawdown | -9.38% | -54.50% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between JPEF and SPLG is 0.97, 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
JPEF vs. SPLG - Performance Comparison
In the year-to-date period, JPEF achieves a 30.84% return, which is significantly higher than SPLG's 27.16% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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JPEF vs. SPLG - Expense Ratio Comparison
JPEF has a 0.50% expense ratio, which is higher than SPLG's 0.03% expense ratio.
Risk-Adjusted Performance
JPEF vs. SPLG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Focus ETF (JPEF) and SPDR Portfolio S&P 500 ETF (SPLG). 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.
Dividends
JPEF vs. SPLG - Dividend Comparison
JPEF's dividend yield for the trailing twelve months is around 0.30%, less than SPLG's 1.22% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPEF JPMorgan Equity Focus ETF | 0.30% | 0.39% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPLG SPDR Portfolio S&P 500 ETF | 1.22% | 1.44% | 1.69% | 1.25% | 1.54% | 1.79% | 2.23% | 1.75% | 1.97% | 1.98% | 1.79% | 1.71% |
Drawdowns
JPEF vs. SPLG - Drawdown Comparison
The maximum JPEF drawdown since its inception was -9.38%, smaller than the maximum SPLG drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for JPEF and SPLG. For additional features, visit the drawdowns tool.
Volatility
JPEF vs. SPLG - Volatility Comparison
JPMorgan Equity Focus ETF (JPEF) has a higher volatility of 4.59% compared to SPDR Portfolio S&P 500 ETF (SPLG) at 3.94%. This indicates that JPEF's price experiences larger fluctuations and is considered to be riskier than SPLG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.