JPSE vs. BIGZ

Last updated Jun 23, 2026

JPSE (JPMorgan Diversified Return U.S. Small Cap Equity ETF) is Small Cap Growth Equities fund tracking the JPMorgan Diversified Factor US Small Cap Equity Index, while BIGZ (Blackrock Innovation & Growth Trust) is a stock. Over the past 5 years, JPSE returned 7.84%/yr vs -6.19%/yr for BIGZ. A 0.64 correlation means they provide meaningful diversification when combined.

Performance

JPSE vs. BIGZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) and Blackrock Innovation & Growth Trust (BIGZ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JPSE achieves a 18.86% return, which is significantly lower than BIGZ's 37.95% return.

JPSE

• 1D: 0.34%
• 1M: 3.24%
• YTD: 18.86%
• 6M: 16.31%
• 1Y: 35.69%
• 3Y*: 16.60%
• 5Y*: 7.84%
• 10Y*: —

BIGZ

• 1D: -4.89%
• 1M: -1.68%
• YTD: 37.95%
• 6M: 34.68%
• 1Y: 34.99%
• 3Y*: 16.26%
• 5Y*: -6.19%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

JPSE vs. BIGZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
JPSE JPMorgan Diversified Return U.S. Small Cap Equity ETF	18.86%	8.77%	8.07%	15.87%	-14.40%	12.34%
BIGZ Blackrock Innovation & Growth Trust	37.95%	0.86%	13.42%	19.29%	-47.76%	-24.45%

Correlation

The correlation between JPSE and BIGZ is 0.50, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.50
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.67
Correlation (All Time) Calculated using the full available price history since Mar 26, 2021	0.64

The correlation between JPSE and BIGZ shifts across timeframes, from 0.50 (1 year) to 0.67 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

JPSE vs. BIGZ — Risk / Return Rank

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

JPSE

JPSE Risk / Return Rank: 75
JPSE Sharpe Ratio Rank: 71
JPSE Sortino Ratio Rank: 73
JPSE Omega Ratio Rank: 65
JPSE Calmar Ratio Rank: 85
JPSE Martin Ratio Rank: 82

BIGZ

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

JPSE vs. BIGZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) and Blackrock Innovation & Growth Trust (BIGZ). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	JPSE	BIGZ	Difference
Sharpe ratio: Return per unit of total volatility	2.21	1.53	+0.68
Sortino ratio: Return per unit of downside risk	3.15	2.19	+0.97
Omega ratio: Gain probability vs. loss probability	1.38	1.26	+0.12
Calmar ratio: Return relative to maximum drawdown	4.48	2.66	+1.82
Martin ratio: Return relative to average drawdown	15.97	6.61	+9.36

JPSE vs. BIGZ - Sharpe Ratio Comparison

The current JPSE Sharpe Ratio is 2.21, which is higher than the BIGZ Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of JPSE and BIGZ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

JPSE vs. BIGZ - Drawdown Comparison

The maximum JPSE drawdown since its inception was -43.02%, smaller than the maximum BIGZ drawdown of -67.27%. Use the drawdown chart below to compare losses from any high point for JPSE and BIGZ.

Drawdown Indicators

	JPSE	BIGZ	Difference
Max Drawdown Largest peak-to-trough decline	-43.02%	-67.27%	+24.25%
Max Drawdown (1Y) Largest decline over 1 year	-8.00%	-13.99%	+5.99%
Max Drawdown (3Y) Largest decline over 3 years	-25.49%	-31.71%	+6.22%
Max Drawdown (5Y) Largest decline over 5 years	-25.56%	-63.54%	+37.98%
Current Drawdown Current decline from peak	-0.09%	-35.25%	+35.16%
Average Drawdown Average peak-to-trough decline	-7.39%	-49.52%	+42.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.24%	5.63%	-3.39%

Volatility

JPSE vs. BIGZ - Volatility Comparison

The current volatility for JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) is 4.74%, while Blackrock Innovation & Growth Trust (BIGZ) has a volatility of 9.93%. This indicates that JPSE experiences smaller price fluctuations and is considered to be less risky than BIGZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JPSE	BIGZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.74%	9.93%	-5.19%
Volatility (6M) Calculated over the trailing 6-month period	11.20%	19.72%	-8.52%
Volatility (1Y) Calculated over the trailing 1-year period	16.23%	24.37%	-8.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.08%	29.75%	-9.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.79%	29.54%	-7.75%

Dividends

JPSE vs. BIGZ - Dividend Comparison

JPSE's dividend yield for the trailing twelve months is around 1.34%, while BIGZ has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
BIGZ Blackrock Innovation & Growth Trust	7.50%	13.68%	11.21%	10.45%	14.54%	4.81%	0.00%	0.00%	0.00%	0.00%	0.00%
JPSE JPMorgan Diversified Return U.S. Small Cap Equity ETF	1.34%	1.62%	1.66%	1.76%	1.55%	1.24%	1.32%	1.23%	1.18%	0.74%	0.14%

Frequently Asked Questions

Can I hold both JPSE and BIGZ in my portfolio?

JPSE and BIGZ have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JPSE or BIGZ?

BIGZ has higher volatility (9.93%) compared to JPSE (4.74%). In terms of maximum drawdown, JPSE dropped -43.02% vs BIGZ's -67.27%.

Which has better risk-adjusted returns?

JPSE currently has the higher Sharpe Ratio (2.21 vs 1.53), 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.