JPGL.DE vs. DFAAX
Compare and contrast key facts about JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating (JPGL.DE) and DFA Global Core Plus Real Return Portfolio (DFAAX).
JPGL.DE is a passively managed fund by JPMorgan that tracks the performance of the JP Morgan Diversified Factor Global Developed (Region Aware) Equity. It was launched on Jul 9, 2019. DFAAX is managed by Dimensional Fund Advisors. It was launched on May 5, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPGL.DE or DFAAX.
Key characteristics
| JPGL.DE | DFAAX | |
|---|---|---|
| YTD Return | 20.38% | 5.34% |
| 1Y Return | 28.89% | 11.46% |
| 3Y Return (Ann) | 8.92% | -0.31% |
| Sharpe Ratio | 3.14 | 2.92 |
| Sortino Ratio | 4.35 | 4.98 |
| Omega Ratio | 1.61 | 1.63 |
| Calmar Ratio | 5.00 | 1.01 |
| Martin Ratio | 22.41 | 19.28 |
| Ulcer Index | 1.20% | 0.59% |
| Daily Std Dev | 8.57% | 3.89% |
| Max Drawdown | -35.55% | -17.30% |
| Current Drawdown | 0.00% | -1.01% |
Correlation
The correlation between JPGL.DE and DFAAX is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
JPGL.DE vs. DFAAX - Performance Comparison
In the year-to-date period, JPGL.DE achieves a 20.38% return, which is significantly higher than DFAAX's 5.34% 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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JPGL.DE vs. DFAAX - Expense Ratio Comparison
JPGL.DE has a 0.20% expense ratio, which is lower than DFAAX's 0.29% expense ratio.
Risk-Adjusted Performance
JPGL.DE vs. DFAAX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating (JPGL.DE) and DFA Global Core Plus Real Return Portfolio (DFAAX). 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
JPGL.DE vs. DFAAX - Dividend Comparison
JPGL.DE has not paid dividends to shareholders, while DFAAX's dividend yield for the trailing twelve months is around 4.78%.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
JPGL.DE JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating | 0.00% | 0.00% | 0.00% | 0.00% |
DFAAX DFA Global Core Plus Real Return Portfolio | 4.78% | 3.97% | 2.06% | 0.83% |
Drawdowns
JPGL.DE vs. DFAAX - Drawdown Comparison
The maximum JPGL.DE drawdown since its inception was -35.55%, which is greater than DFAAX's maximum drawdown of -17.30%. Use the drawdown chart below to compare losses from any high point for JPGL.DE and DFAAX. For additional features, visit the drawdowns tool.
Volatility
JPGL.DE vs. DFAAX - Volatility Comparison
JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating (JPGL.DE) has a higher volatility of 2.23% compared to DFA Global Core Plus Real Return Portfolio (DFAAX) at 0.95%. This indicates that JPGL.DE's price experiences larger fluctuations and is considered to be riskier than DFAAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.