PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JPLD vs. VCSH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JPLD and VCSH is 0.74, 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.


-0.50.00.51.00.7

Performance

JPLD vs. VCSH - 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 Vanguard Short-Term Corporate Bond ETF (VCSH). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%JulyAugustSeptemberOctoberNovemberDecember
3.07%
3.24%
JPLD
VCSH

Key characteristics

Sharpe Ratio

JPLD:

3.57

VCSH:

2.14

Sortino Ratio

JPLD:

5.88

VCSH:

3.19

Omega Ratio

JPLD:

1.78

VCSH:

1.41

Calmar Ratio

JPLD:

9.20

VCSH:

3.81

Martin Ratio

JPLD:

26.66

VCSH:

10.24

Ulcer Index

JPLD:

0.24%

VCSH:

0.49%

Daily Std Dev

JPLD:

1.82%

VCSH:

2.33%

Max Drawdown

JPLD:

-0.71%

VCSH:

-12.86%

Current Drawdown

JPLD:

-0.37%

VCSH:

-0.75%

Returns By Period

In the year-to-date period, JPLD achieves a 6.21% return, which is significantly higher than VCSH's 4.72% return.


JPLD

YTD

6.21%

1M

0.32%

6M

2.86%

1Y

6.52%

5Y*

N/A

10Y*

N/A

VCSH

YTD

4.72%

1M

0.31%

6M

3.15%

1Y

4.99%

5Y*

1.91%

10Y*

2.35%

Compare stocks, funds, or ETFs

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


JPLD vs. VCSH - Expense Ratio Comparison

JPLD has a 0.24% expense ratio, which is higher than VCSH's 0.04% 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 VCSH: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

JPLD vs. VCSH - 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 Vanguard Short-Term Corporate Bond ETF (VCSH). 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 3.57, compared to the broader market0.002.004.003.572.14
The chart of Sortino ratio for JPLD, currently valued at 5.88, compared to the broader market-2.000.002.004.006.008.0010.005.883.19
The chart of Omega ratio for JPLD, currently valued at 1.78, compared to the broader market0.501.001.502.002.503.001.781.41
The chart of Calmar ratio for JPLD, currently valued at 9.20, compared to the broader market0.005.0010.0015.009.204.14
The chart of Martin ratio for JPLD, currently valued at 26.66, compared to the broader market0.0020.0040.0060.0080.00100.0026.6610.24
JPLD
VCSH

The current JPLD Sharpe Ratio is 3.57, which is higher than the VCSH Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of JPLD and VCSH, 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 Ratio2.002.503.003.504.004.50SeptemberOctoberNovemberDecember
3.57
2.14
JPLD
VCSH

Dividends

JPLD vs. VCSH - Dividend Comparison

JPLD's dividend yield for the trailing twelve months is around 4.48%, more than VCSH's 3.97% yield.


TTM20232022202120202019201820172016201520142013
JPLD
J P Morgan Exchange-Traded Fund Trust - Limited Duration Bond ETF
4.48%1.83%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VCSH
Vanguard Short-Term Corporate Bond ETF
3.97%3.09%2.01%1.81%2.27%2.87%2.65%2.25%2.10%2.08%2.01%2.05%

Drawdowns

JPLD vs. VCSH - Drawdown Comparison

The maximum JPLD drawdown since its inception was -0.71%, smaller than the maximum VCSH drawdown of -12.86%. Use the drawdown chart below to compare losses from any high point for JPLD and VCSH. For additional features, visit the drawdowns tool.


-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.37%
-0.75%
JPLD
VCSH

Volatility

JPLD vs. VCSH - Volatility Comparison

The current volatility for J P Morgan Exchange-Traded Fund Trust - Limited Duration Bond ETF (JPLD) is 0.52%, while Vanguard Short-Term Corporate Bond ETF (VCSH) has a volatility of 0.69%. This indicates that JPLD experiences smaller price fluctuations and is considered to be less risky than VCSH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.50%0.60%0.70%0.80%JulyAugustSeptemberOctoberNovemberDecember
0.52%
0.69%
JPLD
VCSH
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab