JPGL.DE vs. ZPRV.DE
Compare and contrast key facts about JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating (JPGL.DE) and SPDR MSCI USA Small Cap Value Weighted UCITS ETF (ZPRV.DE).
JPGL.DE and ZPRV.DE are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. ZPRV.DE is a passively managed fund by State Street that tracks the performance of the MSCI USA Small Cap Value Weighted Index. It was launched on Feb 18, 2015. Both JPGL.DE and ZPRV.DE are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPGL.DE or ZPRV.DE.
Key characteristics
| JPGL.DE | ZPRV.DE | |
|---|---|---|
| YTD Return | 18.95% | 19.21% |
| 1Y Return | 27.14% | 39.52% |
| 3Y Return (Ann) | 9.00% | 9.83% |
| 5Y Return (Ann) | 10.13% | 14.72% |
| Sharpe Ratio | 3.00 | 1.85 |
| Sortino Ratio | 4.16 | 2.76 |
| Omega Ratio | 1.58 | 1.37 |
| Calmar Ratio | 4.74 | 3.36 |
| Martin Ratio | 21.24 | 9.68 |
| Ulcer Index | 1.20% | 3.58% |
| Daily Std Dev | 8.49% | 19.03% |
| Max Drawdown | -35.55% | -46.04% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between JPGL.DE and ZPRV.DE is 0.83, 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
JPGL.DE vs. ZPRV.DE - Performance Comparison
The year-to-date returns for both investments are quite close, with JPGL.DE having a 18.95% return and ZPRV.DE slightly higher at 19.21%. 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. ZPRV.DE - Expense Ratio Comparison
JPGL.DE has a 0.20% expense ratio, which is lower than ZPRV.DE's 0.30% expense ratio.
Risk-Adjusted Performance
JPGL.DE vs. ZPRV.DE - 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 SPDR MSCI USA Small Cap Value Weighted UCITS ETF (ZPRV.DE). 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. ZPRV.DE - Dividend Comparison
Neither JPGL.DE nor ZPRV.DE has paid dividends to shareholders.
Drawdowns
JPGL.DE vs. ZPRV.DE - Drawdown Comparison
The maximum JPGL.DE drawdown since its inception was -35.55%, smaller than the maximum ZPRV.DE drawdown of -46.04%. Use the drawdown chart below to compare losses from any high point for JPGL.DE and ZPRV.DE. For additional features, visit the drawdowns tool.
Volatility
JPGL.DE vs. ZPRV.DE - Volatility Comparison
The current volatility for JPMorgan Global Equity Multi-Factor UCITS ETF Accumulating (JPGL.DE) is 2.17%, while SPDR MSCI USA Small Cap Value Weighted UCITS ETF (ZPRV.DE) has a volatility of 6.22%. This indicates that JPGL.DE experiences smaller price fluctuations and is considered to be less risky than ZPRV.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.