JPM vs. EFG
JPM (JPMorgan Chase & Co.) is a stock, while EFG (iShares MSCI EAFE Growth ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Growth Index. Over the past 10 years, JPM returned 20.32%/yr vs 8.09%/yr for EFG. A 0.54 correlation means they provide meaningful diversification when combined.
Performance
JPM vs. EFG - Performance Comparison
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Returns By Period
In the year-to-date period, JPM achieves a -2.52% return, which is significantly lower than EFG's 6.44% return. Over the past 10 years, JPM has outperformed EFG with an annualized return of 20.32%, while EFG has yielded a comparatively lower 8.09% annualized return.
JPM
- 1D
- -0.40%
- 1M
- 2.98%
- YTD
- -2.52%
- 6M
- -0.35%
- 1Y
- 19.35%
- 3Y*
- 33.18%
- 5Y*
- 16.72%
- 10Y*
- 20.32%
EFG
- 1D
- 1.13%
- 1M
- -1.06%
- YTD
- 6.44%
- 6M
- 7.52%
- 1Y
- 11.82%
- 3Y*
- 10.54%
- 5Y*
- 3.87%
- 10Y*
- 8.09%
JPM vs. EFG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JPM JPMorgan Chase & Co. | -2.52% | 37.27% | 44.29% | 30.63% | -12.64% | 27.75% | -5.53% | 47.26% | -6.62% | 26.76% |
EFG iShares MSCI EAFE Growth ETF | 6.44% | 20.70% | 1.53% | 17.55% | -23.12% | 11.01% | 17.85% | 27.47% | -12.93% | 28.86% |
Correlation
The correlation between JPM and EFG is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.39 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.46 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.46 |
Correlation (All Time) Calculated using the full available price history since Aug 5, 2005 | 0.54 |
The correlation between JPM and EFG shifts across timeframes, from 0.38 (3 years) to 0.54 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
JPM vs. EFG — Risk / Return Rank
JPM
EFG
JPM vs. EFG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Chase & Co. (JPM) and iShares MSCI EAFE Growth ETF (EFG). 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.
| JPM | EFG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.22 | ||
| Sortino ratioReturn per unit of downside risk | +0.22 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.13 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 1.26 | 0.93 | +0.33 |
| Martin ratioReturn relative to average drawdown | 2.98 | 3.41 | -0.43 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JPM | EFG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.90 | 0.68 | +0.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.69 | 0.21 | +0.47 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.74 | 0.46 | +0.29 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.34 | 0.29 | +0.05 |
Drawdowns
JPM vs. EFG - Drawdown Comparison
The maximum JPM drawdown since its inception was -76.16%, which is greater than EFG's maximum drawdown of -58.40%. Use the drawdown chart below to compare losses from any high point for JPM and EFG.
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Drawdown Indicators
| JPM | EFG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -76.16% | -58.40% | -17.76% |
Max Drawdown (1Y)Largest decline over 1 year | -15.47% | -12.78% | -2.69% |
Max Drawdown (3Y)Largest decline over 3 years | -24.42% | -16.87% | -7.55% |
Max Drawdown (5Y)Largest decline over 5 years | -38.77% | -35.78% | -2.99% |
Max Drawdown (10Y)Largest decline over 10 years | -43.63% | -35.78% | -7.85% |
Current DrawdownCurrent decline from peak | -6.55% | -2.28% | -4.27% |
Average DrawdownAverage peak-to-trough decline | -17.62% | -12.15% | -5.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.50% | 3.47% | +3.03% |
Volatility
JPM vs. EFG - Volatility Comparison
JPMorgan Chase & Co. (JPM) has a higher volatility of 6.40% compared to iShares MSCI EAFE Growth ETF (EFG) at 5.78%. This indicates that JPM's price experiences larger fluctuations and is considered to be riskier than EFG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JPM | EFG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.40% | 5.78% | +0.62% |
Volatility (6M)Calculated over the trailing 6-month period | 17.38% | 14.82% | +2.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.62% | 17.48% | +4.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 24.45% | 18.18% | +6.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.40% | 17.73% | +9.67% |
Dividends
JPM vs. EFG - Dividend Comparison
JPM's dividend yield for the trailing twelve months is around 1.90%, less than EFG's 2.37% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFG iShares MSCI EAFE Growth ETF | 2.37% | 2.53% | 1.64% | 1.63% | 1.27% | 1.54% | 0.85% | 1.69% | 1.98% | 1.56% | 2.20% | 1.75% |
JPM JPMorgan Chase & Co. | 1.90% | 1.72% | 1.92% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% |
Frequently Asked Questions
JPM and EFG have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JPM has higher volatility (6.40%) compared to EFG (5.78%). In terms of maximum drawdown, JPM dropped -76.16% vs EFG's -58.40%.
JPM currently has the higher Sharpe Ratio (0.90 vs 0.68), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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