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JPGL.L vs. HWWA.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JPGL.LHWWA.L
YTD Return14.21%9.76%
1Y Return21.86%15.16%
3Y Return (Ann)6.64%7.57%
5Y Return (Ann)9.86%10.33%
Sharpe Ratio1.971.55
Daily Std Dev11.00%10.04%
Max Drawdown-35.87%-43.14%
Current Drawdown-0.34%-3.14%

Correlation

-0.50.00.51.00.9

The correlation between JPGL.L and HWWA.L is 0.85, 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.L vs. HWWA.L - Performance Comparison

In the year-to-date period, JPGL.L achieves a 14.21% return, which is significantly higher than HWWA.L's 9.76% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


40.00%50.00%60.00%70.00%80.00%AprilMayJuneJulyAugustSeptember
61.03%
71.76%
JPGL.L
HWWA.L

Compare stocks, funds, or ETFs

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


JPGL.L vs. HWWA.L - Expense Ratio Comparison

JPGL.L has a 0.19% expense ratio, which is lower than HWWA.L's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


HWWA.L
HSBC Multi Factor Worldwide Equity UCITS ETF
Expense ratio chart for HWWA.L: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for JPGL.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

JPGL.L vs. HWWA.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPM Global Equity Multi-Factor UCITS ETF USD Acc (JPGL.L) and HSBC Multi Factor Worldwide Equity UCITS ETF (HWWA.L). 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.


JPGL.L
Sharpe ratio
The chart of Sharpe ratio for JPGL.L, currently valued at 1.97, compared to the broader market0.002.004.001.97
Sortino ratio
The chart of Sortino ratio for JPGL.L, currently valued at 2.85, compared to the broader market-2.000.002.004.006.008.0010.0012.002.85
Omega ratio
The chart of Omega ratio for JPGL.L, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.35
Calmar ratio
The chart of Calmar ratio for JPGL.L, currently valued at 1.84, compared to the broader market0.005.0010.0015.001.84
Martin ratio
The chart of Martin ratio for JPGL.L, currently valued at 9.87, compared to the broader market0.0020.0040.0060.0080.00100.009.87
HWWA.L
Sharpe ratio
The chart of Sharpe ratio for HWWA.L, currently valued at 1.85, compared to the broader market0.002.004.001.85
Sortino ratio
The chart of Sortino ratio for HWWA.L, currently valued at 2.62, compared to the broader market-2.000.002.004.006.008.0010.0012.002.62
Omega ratio
The chart of Omega ratio for HWWA.L, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.36
Calmar ratio
The chart of Calmar ratio for HWWA.L, currently valued at 1.75, compared to the broader market0.005.0010.0015.001.76
Martin ratio
The chart of Martin ratio for HWWA.L, currently valued at 9.48, compared to the broader market0.0020.0040.0060.0080.00100.009.48

JPGL.L vs. HWWA.L - Sharpe Ratio Comparison

The current JPGL.L Sharpe Ratio is 1.97, which roughly equals the HWWA.L Sharpe Ratio of 1.55. The chart below compares the 12-month rolling Sharpe Ratio of JPGL.L and HWWA.L.


Rolling 12-month Sharpe Ratio1.001.502.002.50AprilMayJuneJulyAugustSeptember
1.97
1.85
JPGL.L
HWWA.L

Dividends

JPGL.L vs. HWWA.L - Dividend Comparison

JPGL.L has not paid dividends to shareholders, while HWWA.L's dividend yield for the trailing twelve months is around 1.55%.


TTM2023202220212020201920182017201620152014
JPGL.L
JPM Global Equity Multi-Factor UCITS ETF USD Acc
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HWWA.L
HSBC Multi Factor Worldwide Equity UCITS ETF
1.55%2.40%2.51%2.02%1.89%2.70%2.84%2.39%2.30%3.01%0.68%

Drawdowns

JPGL.L vs. HWWA.L - Drawdown Comparison

The maximum JPGL.L drawdown since its inception was -35.87%, smaller than the maximum HWWA.L drawdown of -43.14%. Use the drawdown chart below to compare losses from any high point for JPGL.L and HWWA.L. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.34%
-2.29%
JPGL.L
HWWA.L

Volatility

JPGL.L vs. HWWA.L - Volatility Comparison

The current volatility for JPM Global Equity Multi-Factor UCITS ETF USD Acc (JPGL.L) is 3.16%, while HSBC Multi Factor Worldwide Equity UCITS ETF (HWWA.L) has a volatility of 4.37%. This indicates that JPGL.L experiences smaller price fluctuations and is considered to be less risky than HWWA.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
3.16%
4.37%
JPGL.L
HWWA.L