JPRE vs. ^GSPC
Compare and contrast key facts about JPMorgan Realty Income ETF (JPRE) and S&P 500 (^GSPC).
JPRE is an actively managed fund by JPMorgan. It was launched on Dec 31, 1997.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPRE or ^GSPC.
Performance
JPRE vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, JPRE achieves a 12.77% return, which is significantly lower than ^GSPC's 24.05% return.
JPRE
12.77%
-2.36%
15.72%
24.22%
N/A
N/A
^GSPC
24.05%
0.89%
11.19%
30.12%
13.82%
11.14%
Key characteristics
| JPRE | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.65 | 2.54 |
| Sortino Ratio | 2.31 | 3.40 |
| Omega Ratio | 1.29 | 1.47 |
| Calmar Ratio | 1.77 | 3.66 |
| Martin Ratio | 6.41 | 16.28 |
| Ulcer Index | 3.91% | 1.91% |
| Daily Std Dev | 15.25% | 12.25% |
| Max Drawdown | -23.84% | -56.78% |
| Current Drawdown | -3.21% | -1.41% |
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Correlation
The correlation between JPRE and ^GSPC 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.
Risk-Adjusted Performance
JPRE vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Realty Income ETF (JPRE) and S&P 500 (^GSPC). 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.
Drawdowns
JPRE vs. ^GSPC - Drawdown Comparison
The maximum JPRE drawdown since its inception was -23.84%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for JPRE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
JPRE vs. ^GSPC - Volatility Comparison
JPMorgan Realty Income ETF (JPRE) and S&P 500 (^GSPC) have volatilities of 4.27% and 4.07%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.