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JPSE vs. BIGZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.

-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
22.25%
-46.54%
JPSE
BIGZ

Returns By Period

In the year-to-date period, JPSE achieves a 12.38% return, which is significantly lower than BIGZ's 13.67% return.


JPSE

YTD

12.38%

1M

0.16%

6M

9.31%

1Y

26.28%

5Y (annualized)

11.05%

10Y (annualized)

N/A

BIGZ

YTD

13.67%

1M

0.18%

6M

9.20%

1Y

17.23%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


JPSEBIGZ
Sharpe Ratio1.280.94
Sortino Ratio1.921.38
Omega Ratio1.231.17
Calmar Ratio1.630.30
Martin Ratio7.043.13
Ulcer Index3.43%5.77%
Daily Std Dev18.90%19.22%
Max Drawdown-43.02%-67.28%
Current Drawdown-4.56%-53.36%

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Correlation

-0.50.00.51.00.7

The correlation between JPSE and BIGZ is 0.67, 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

JPSE vs. BIGZ - Risk-Adjusted Performance 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.


Sharpe ratio
The chart of Sharpe ratio for JPSE, currently valued at 1.28, compared to the broader market0.002.004.006.001.280.94
The chart of Sortino ratio for JPSE, currently valued at 1.92, compared to the broader market-2.000.002.004.006.008.0010.0012.001.921.38
The chart of Omega ratio for JPSE, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.231.17
The chart of Calmar ratio for JPSE, currently valued at 1.63, compared to the broader market0.005.0010.0015.001.630.30
The chart of Martin ratio for JPSE, currently valued at 7.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.043.13
JPSE
BIGZ

The current JPSE Sharpe Ratio is 1.28, which is higher than the BIGZ Sharpe Ratio of 0.94. The chart below compares the historical Sharpe Ratios of JPSE and BIGZ, 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 Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.28
0.94
JPSE
BIGZ

Dividends

JPSE vs. BIGZ - Dividend Comparison

JPSE's dividend yield for the trailing twelve months is around 1.65%, less than BIGZ's 10.49% yield.


TTM20232022202120202019201820172016
JPSE
JPMorgan Diversified Return U.S. Small Cap Equity ETF
1.65%1.76%1.55%1.24%1.32%1.23%1.18%0.74%0.14%
BIGZ
Blackrock Innovation & Growth Trust
10.49%10.45%14.54%4.81%0.00%0.00%0.00%0.00%0.00%

Drawdowns

JPSE vs. BIGZ - Drawdown Comparison

The maximum JPSE drawdown since its inception was -43.02%, smaller than the maximum BIGZ drawdown of -67.28%. Use the drawdown chart below to compare losses from any high point for JPSE and BIGZ. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.56%
-53.36%
JPSE
BIGZ

Volatility

JPSE vs. BIGZ - Volatility Comparison

JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) has a higher volatility of 7.33% compared to Blackrock Innovation & Growth Trust (BIGZ) at 5.70%. This indicates that JPSE's price experiences larger fluctuations and is considered to be riskier than BIGZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
7.33%
5.70%
JPSE
BIGZ