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

Performance

JPLD vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in J P Morgan Exchange-Traded Fund Trust - Limited Duration Bond ETF (JPLD) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.71%
0.99%
JPLD
TLT

Returns By Period

In the year-to-date period, JPLD achieves a 5.88% return, which is significantly higher than TLT's -5.20% return.


JPLD

YTD

5.88%

1M

-0.08%

6M

3.71%

1Y

7.81%

5Y (annualized)

N/A

10Y (annualized)

N/A

TLT

YTD

-5.20%

1M

-3.05%

6M

1.00%

1Y

4.14%

5Y (annualized)

-6.00%

10Y (annualized)

-0.32%

Key characteristics


JPLDTLT
Sharpe Ratio4.250.32
Sortino Ratio7.240.56
Omega Ratio1.961.06
Calmar Ratio11.290.11
Martin Ratio34.200.77
Ulcer Index0.23%6.23%
Daily Std Dev1.88%14.74%
Max Drawdown-0.71%-48.35%
Current Drawdown-0.40%-40.93%

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JPLD vs. TLT - Expense Ratio Comparison

JPLD has a 0.24% expense ratio, which is higher than TLT's 0.15% 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 TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.7

The correlation between JPLD and TLT is 0.68, 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

JPLD vs. TLT - 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 iShares 20+ Year Treasury Bond ETF (TLT). 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 JPLD, currently valued at 4.25, compared to the broader market0.002.004.006.004.250.32
The chart of Sortino ratio for JPLD, currently valued at 7.24, compared to the broader market-2.000.002.004.006.008.0010.0012.007.240.56
The chart of Omega ratio for JPLD, currently valued at 1.96, compared to the broader market0.501.001.502.002.503.001.961.06
The chart of Calmar ratio for JPLD, currently valued at 11.29, compared to the broader market0.005.0010.0015.0011.290.40
The chart of Martin ratio for JPLD, currently valued at 34.20, compared to the broader market0.0020.0040.0060.0080.00100.0034.200.77
JPLD
TLT

The current JPLD Sharpe Ratio is 4.25, which is higher than the TLT Sharpe Ratio of 0.32. The chart below compares the historical Sharpe Ratios of JPLD and TLT, 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 Ratio0.001.002.003.004.005.00Aug 04Aug 11Aug 18Aug 25SeptemberSep 08Sep 15Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10Nov 17
4.25
0.32
JPLD
TLT

Dividends

JPLD vs. TLT - Dividend Comparison

JPLD's dividend yield for the trailing twelve months is around 4.47%, more than TLT's 4.06% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
4.06%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

JPLD vs. TLT - Drawdown Comparison

The maximum JPLD drawdown since its inception was -0.71%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for JPLD and TLT. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.40%
-9.90%
JPLD
TLT

Volatility

JPLD vs. TLT - Volatility Comparison

The current volatility for J P Morgan Exchange-Traded Fund Trust - Limited Duration Bond ETF (JPLD) is 0.47%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.65%. This indicates that JPLD experiences smaller price fluctuations and is considered to be less risky than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
0.47%
4.65%
JPLD
TLT