JPME vs. ITOT
Compare and contrast key facts about JPMorgan Diversified Return US Mid Cap Equity ETF (JPME) and iShares Core S&P Total U.S. Stock Market ETF (ITOT).
JPME and ITOT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. JPME is a passively managed fund by JPMorgan Chase that tracks the performance of the JPMorgan Diversified Factor US Mid Cap Equity Index. It was launched on May 11, 2016. ITOT is a passively managed fund by iShares that tracks the performance of the S&P Composite 1500 Index. It was launched on Jan 20, 2004. Both JPME and ITOT are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPME or ITOT.
Key characteristics
| JPME | ITOT | |
|---|---|---|
| YTD Return | 17.54% | 25.22% |
| 1Y Return | 27.01% | 34.05% |
| 3Y Return (Ann) | 5.83% | 8.46% |
| 5Y Return (Ann) | 11.20% | 14.94% |
| Sharpe Ratio | 2.25 | 2.76 |
| Sortino Ratio | 3.17 | 3.68 |
| Omega Ratio | 1.39 | 1.51 |
| Calmar Ratio | 3.24 | 4.05 |
| Martin Ratio | 12.63 | 17.65 |
| Ulcer Index | 2.18% | 1.95% |
| Daily Std Dev | 12.22% | 12.49% |
| Max Drawdown | -41.01% | -55.21% |
| Current Drawdown | -1.92% | -1.20% |
Correlation
The correlation between JPME and ITOT is 0.87, 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
JPME vs. ITOT - Performance Comparison
In the year-to-date period, JPME achieves a 17.54% return, which is significantly lower than ITOT's 25.22% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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JPME vs. ITOT - Expense Ratio Comparison
JPME has a 0.24% expense ratio, which is higher than ITOT's 0.03% 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%.
Risk-Adjusted Performance
JPME vs. ITOT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Diversified Return US Mid Cap Equity ETF (JPME) and iShares Core S&P Total U.S. Stock Market ETF (ITOT). 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.
Dividends
JPME vs. ITOT - Dividend Comparison
JPME's dividend yield for the trailing twelve months is around 1.70%, more than ITOT's 1.21% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPME JPMorgan Diversified Return US Mid Cap Equity ETF | 1.70% | 1.84% | 1.84% | 1.44% | 1.51% | 1.68% | 1.80% | 1.17% | 0.91% | 0.00% | 0.00% | 0.00% |
ITOT iShares Core S&P Total U.S. Stock Market ETF | 1.21% | 1.47% | 1.66% | 1.18% | 1.41% | 1.88% | 2.14% | 1.69% | 1.83% | 2.01% | 2.20% | 2.06% |
Drawdowns
JPME vs. ITOT - Drawdown Comparison
The maximum JPME drawdown since its inception was -41.01%, smaller than the maximum ITOT drawdown of -55.21%. Use the drawdown chart below to compare losses from any high point for JPME and ITOT. For additional features, visit the drawdowns tool.
Volatility
JPME vs. ITOT - Volatility Comparison
The current volatility for JPMorgan Diversified Return US Mid Cap Equity ETF (JPME) is 3.66%, while iShares Core S&P Total U.S. Stock Market ETF (ITOT) has a volatility of 4.02%. This indicates that JPME experiences smaller price fluctuations and is considered to be less risky than ITOT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.