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JPLD vs. JMST
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JPLDJMST
YTD Return5.75%2.87%
1Y Return8.27%3.99%
Sharpe Ratio4.385.09
Sortino Ratio7.569.17
Omega Ratio2.002.27
Calmar Ratio11.7323.79
Martin Ratio37.92103.24
Ulcer Index0.22%0.04%
Daily Std Dev1.90%0.78%
Max Drawdown-0.71%-2.41%
Current Drawdown-0.51%-0.04%

Correlation

-0.50.00.51.00.3

The correlation between JPLD and JMST is 0.31, 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

JPLD vs. JMST - Performance Comparison

In the year-to-date period, JPLD achieves a 5.75% return, which is significantly higher than JMST's 2.87% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
3.72%
1.85%
JPLD
JMST

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JPLD vs. JMST - Expense Ratio Comparison

JPLD has a 0.24% expense ratio, which is higher than JMST's 0.18% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


JPLD
J P Morgan Exchange-Traded Fund Trust - Limited Duration Bond ETF
Expense ratio chart for JPLD: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
Expense ratio chart for JMST: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

JPLD vs. JMST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for J P Morgan Exchange-Traded Fund Trust - Limited Duration Bond ETF (JPLD) and JPMorgan Ultra-Short Municipal Income ETF (JMST). 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.


JPLD
Sharpe ratio
The chart of Sharpe ratio for JPLD, currently valued at 4.38, compared to the broader market-2.000.002.004.006.004.38
Sortino ratio
The chart of Sortino ratio for JPLD, currently valued at 7.56, compared to the broader market0.005.0010.007.56
Omega ratio
The chart of Omega ratio for JPLD, currently valued at 2.00, compared to the broader market1.001.502.002.503.002.00
Calmar ratio
The chart of Calmar ratio for JPLD, currently valued at 11.73, compared to the broader market0.005.0010.0015.0011.73
Martin ratio
The chart of Martin ratio for JPLD, currently valued at 37.92, compared to the broader market0.0020.0040.0060.0080.00100.00120.0037.92
JMST
Sharpe ratio
The chart of Sharpe ratio for JMST, currently valued at 5.09, compared to the broader market-2.000.002.004.006.005.09
Sortino ratio
The chart of Sortino ratio for JMST, currently valued at 9.17, compared to the broader market0.005.0010.009.17
Omega ratio
The chart of Omega ratio for JMST, currently valued at 2.27, compared to the broader market1.001.502.002.503.002.27
Calmar ratio
The chart of Calmar ratio for JMST, currently valued at 23.79, compared to the broader market0.005.0010.0015.0023.79
Martin ratio
The chart of Martin ratio for JMST, currently valued at 103.24, compared to the broader market0.0020.0040.0060.0080.00100.00120.00103.24

JPLD vs. JMST - Sharpe Ratio Comparison

The current JPLD Sharpe Ratio is 4.38, which is comparable to the JMST Sharpe Ratio of 5.09. The chart below compares the historical Sharpe Ratios of JPLD and JMST, 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 Ratio4.004.505.005.50Aug 04Aug 11Aug 18Aug 25SeptemberSep 08Sep 15Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10
4.38
5.09
JPLD
JMST

Dividends

JPLD vs. JMST - Dividend Comparison

JPLD's dividend yield for the trailing twelve months is around 4.47%, more than JMST's 3.35% yield.


TTM202320222021202020192018
JPLD
J P Morgan Exchange-Traded Fund Trust - Limited Duration Bond ETF
4.47%1.83%0.00%0.00%0.00%0.00%0.00%
JMST
JPMorgan Ultra-Short Municipal Income ETF
3.35%3.09%1.11%0.27%0.87%1.63%0.34%

Drawdowns

JPLD vs. JMST - Drawdown Comparison

The maximum JPLD drawdown since its inception was -0.71%, smaller than the maximum JMST drawdown of -2.41%. Use the drawdown chart below to compare losses from any high point for JPLD and JMST. For additional features, visit the drawdowns tool.


-0.80%-0.60%-0.40%-0.20%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.51%
-0.04%
JPLD
JMST

Volatility

JPLD vs. JMST - Volatility Comparison

J P Morgan Exchange-Traded Fund Trust - Limited Duration Bond ETF (JPLD) has a higher volatility of 0.50% compared to JPMorgan Ultra-Short Municipal Income ETF (JMST) at 0.29%. This indicates that JPLD's price experiences larger fluctuations and is considered to be riskier than JMST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%JuneJulyAugustSeptemberOctoberNovember
0.50%
0.29%
JPLD
JMST