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JPME vs. JPM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JPME and JPM is 0.61, 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.


-0.50.00.51.0
Correlation: 0.6

Performance

JPME vs. JPM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Diversified Return US Mid Cap Equity ETF (JPME) and JPMorgan Chase & Co. (JPM). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%NovemberDecember2025FebruaryMarchApril
128.20%
386.75%
JPME
JPM

Key characteristics

Sharpe Ratio

JPME:

0.28

JPM:

1.04

Sortino Ratio

JPME:

0.51

JPM:

1.56

Omega Ratio

JPME:

1.07

JPM:

1.23

Calmar Ratio

JPME:

0.25

JPM:

1.22

Martin Ratio

JPME:

0.90

JPM:

4.27

Ulcer Index

JPME:

5.25%

JPM:

6.96%

Daily Std Dev

JPME:

17.14%

JPM:

28.58%

Max Drawdown

JPME:

-41.01%

JPM:

-74.02%

Current Drawdown

JPME:

-11.26%

JPM:

-12.47%

Returns By Period

In the year-to-date period, JPME achieves a -4.55% return, which is significantly lower than JPM's 2.76% return.


JPME

YTD

-4.55%

1M

-3.50%

6M

-5.32%

1Y

4.78%

5Y*

13.67%

10Y*

N/A

JPM

YTD

2.76%

1M

-1.24%

6M

10.80%

1Y

28.79%

5Y*

24.31%

10Y*

17.61%

*Annualized

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Risk-Adjusted Performance

JPME vs. JPM — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JPME
The Risk-Adjusted Performance Rank of JPME is 4242
Overall Rank
The Sharpe Ratio Rank of JPME is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of JPME is 4242
Sortino Ratio Rank
The Omega Ratio Rank of JPME is 4141
Omega Ratio Rank
The Calmar Ratio Rank of JPME is 4444
Calmar Ratio Rank
The Martin Ratio Rank of JPME is 4141
Martin Ratio Rank

JPM
The Risk-Adjusted Performance Rank of JPM is 8484
Overall Rank
The Sharpe Ratio Rank of JPM is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of JPM is 7979
Sortino Ratio Rank
The Omega Ratio Rank of JPM is 8181
Omega Ratio Rank
The Calmar Ratio Rank of JPM is 8787
Calmar Ratio Rank
The Martin Ratio Rank of JPM is 8585
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for JPME, currently valued at 0.28, compared to the broader market-1.000.001.002.003.004.00
JPME: 0.28
JPM: 1.04
The chart of Sortino ratio for JPME, currently valued at 0.51, compared to the broader market-2.000.002.004.006.008.00
JPME: 0.51
JPM: 1.56
The chart of Omega ratio for JPME, currently valued at 1.07, compared to the broader market0.501.001.502.002.50
JPME: 1.07
JPM: 1.23
The chart of Calmar ratio for JPME, currently valued at 0.25, compared to the broader market0.002.004.006.008.0010.0012.00
JPME: 0.25
JPM: 1.22
The chart of Martin ratio for JPME, currently valued at 0.90, compared to the broader market0.0020.0040.0060.00
JPME: 0.90
JPM: 4.27

The current JPME Sharpe Ratio is 0.28, which is lower than the JPM Sharpe Ratio of 1.04. The chart below compares the historical Sharpe Ratios of JPME and JPM, 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.28
1.04
JPME
JPM

Dividends

JPME vs. JPM - Dividend Comparison

JPME's dividend yield for the trailing twelve months is around 1.98%, less than JPM's 2.07% yield.


TTM20242023202220212020201920182017201620152014
JPME
JPMorgan Diversified Return US Mid Cap Equity ETF
1.98%1.77%1.84%1.84%1.44%1.51%1.68%1.80%1.17%0.91%0.00%0.00%
JPM
JPMorgan Chase & Co.
2.07%1.92%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%

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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-11.26%
-12.47%
JPME
JPM

Volatility

JPME vs. JPM - Volatility Comparison

The current volatility for JPMorgan Diversified Return US Mid Cap Equity ETF (JPME) is 12.09%, while JPMorgan Chase & Co. (JPM) has a volatility of 15.62%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%NovemberDecember2025FebruaryMarchApril
12.09%
15.62%
JPME
JPM