JPME vs. JPM
Compare and contrast key facts about JPMorgan Diversified Return US Mid Cap Equity ETF (JPME) and JPMorgan Chase & Co. (JPM).
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPME or JPM.
Key characteristics
| JPME | JPM | |
|---|---|---|
| YTD Return | 17.54% | 45.59% |
| 1Y Return | 27.01% | 65.38% |
| 3Y Return (Ann) | 5.83% | 16.51% |
| 5Y Return (Ann) | 11.20% | 16.67% |
| Sharpe Ratio | 2.25 | 2.91 |
| Sortino Ratio | 3.17 | 3.71 |
| Omega Ratio | 1.39 | 1.59 |
| Calmar Ratio | 3.24 | 6.60 |
| Martin Ratio | 12.63 | 20.08 |
| Ulcer Index | 2.18% | 3.33% |
| Daily Std Dev | 12.22% | 22.95% |
| Max Drawdown | -41.01% | -74.02% |
| Current Drawdown | -1.92% | -2.10% |
Correlation
The correlation between JPME and JPM is 0.63, 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.
Performance
JPME vs. JPM - Performance Comparison
In the year-to-date period, JPME achieves a 17.54% return, which is significantly lower than JPM's 45.59% 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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Risk-Adjusted Performance
JPME vs. JPM - 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 JPMorgan Chase & Co. (JPM). 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. JPM - Dividend Comparison
JPME's dividend yield for the trailing twelve months is around 1.70%, less than JPM's 1.90% 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% |
JPM JPMorgan Chase & Co. | 1.90% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% | 2.49% | 2.33% |
Drawdowns
JPME vs. JPM - Drawdown Comparison
The maximum JPME drawdown since its inception was -41.01%, smaller than the maximum JPM drawdown of -74.02%. Use the drawdown chart below to compare losses from any high point for JPME and JPM. For additional features, visit the drawdowns tool.
Volatility
JPME vs. JPM - Volatility Comparison
The current volatility for JPMorgan Diversified Return US Mid Cap Equity ETF (JPME) is 3.66%, while JPMorgan Chase & Co. (JPM) has a volatility of 12.51%. This indicates that JPME experiences smaller price fluctuations and is considered to be less risky than JPM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.