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

Performance

JPEM vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-1.89%
13.62%
JPEM
VOO

Returns By Period

In the year-to-date period, JPEM achieves a 5.35% return, which is significantly lower than VOO's 26.16% return.


JPEM

YTD

5.35%

1M

-2.87%

6M

-1.89%

1Y

9.84%

5Y (annualized)

3.98%

10Y (annualized)

N/A

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


JPEMVOO
Sharpe Ratio0.782.70
Sortino Ratio1.163.60
Omega Ratio1.151.50
Calmar Ratio1.193.90
Martin Ratio3.2517.65
Ulcer Index2.92%1.86%
Daily Std Dev12.08%12.19%
Max Drawdown-40.22%-33.99%
Current Drawdown-7.57%-0.86%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


JPEM vs. VOO - Expense Ratio Comparison

JPEM has a 0.44% expense ratio, which is higher than VOO's 0.03% expense ratio.


JPEM
J.P. Morgan Diversified Return Emerging Markets Equity ETF
Expense ratio chart for JPEM: 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 VOO: 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%

Correlation

-0.50.00.51.00.6

The correlation between JPEM and VOO is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

JPEM vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) and Vanguard S&P 500 ETF (VOO). 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 JPEM, currently valued at 0.78, compared to the broader market0.002.004.000.782.70
The chart of Sortino ratio for JPEM, currently valued at 1.16, compared to the broader market-2.000.002.004.006.008.0010.0012.001.163.60
The chart of Omega ratio for JPEM, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.50
The chart of Calmar ratio for JPEM, currently valued at 1.19, compared to the broader market0.005.0010.0015.001.193.90
The chart of Martin ratio for JPEM, currently valued at 3.25, compared to the broader market0.0020.0040.0060.0080.00100.003.2517.65
JPEM
VOO

The current JPEM Sharpe Ratio is 0.78, which is lower than the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of JPEM and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.78
2.70
JPEM
VOO

Dividends

JPEM vs. VOO - Dividend Comparison

JPEM's dividend yield for the trailing twelve months is around 4.46%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
JPEM
J.P. Morgan Diversified Return Emerging Markets Equity ETF
4.46%4.46%4.71%4.40%2.85%3.47%2.79%2.14%1.28%3.22%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

JPEM vs. VOO - Drawdown Comparison

The maximum JPEM drawdown since its inception was -40.22%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for JPEM and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.57%
-0.86%
JPEM
VOO

Volatility

JPEM vs. VOO - Volatility Comparison

The current volatility for J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) is 3.30%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.99%. This indicates that JPEM experiences smaller price fluctuations and is considered to be less risky than VOO 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%JuneJulyAugustSeptemberOctoberNovember
3.30%
3.99%
JPEM
VOO