JPSE vs. BIGZ
Compare and contrast key facts about JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) and Blackrock Innovation & Growth Trust (BIGZ).
JPSE is a passively managed fund by JPMorgan Chase that tracks the performance of the JPMorgan Diversified Factor US Small Cap Equity Index. It was launched on Nov 15, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPSE or BIGZ.
Key characteristics
| JPSE | BIGZ | |
|---|---|---|
| YTD Return | 17.75% | 16.90% |
| 1Y Return | 36.53% | 27.81% |
| 3Y Return (Ann) | 4.24% | -16.03% |
| Sharpe Ratio | 1.98 | 1.53 |
| Sortino Ratio | 2.88 | 2.13 |
| Omega Ratio | 1.36 | 1.26 |
| Calmar Ratio | 2.17 | 0.48 |
| Martin Ratio | 11.28 | 5.16 |
| Ulcer Index | 3.41% | 5.76% |
| Daily Std Dev | 19.40% | 19.41% |
| Max Drawdown | -43.02% | -67.28% |
| Current Drawdown | 0.00% | -52.04% |
Correlation
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.
Performance
JPSE vs. BIGZ - Performance Comparison
The year-to-date returns for both stocks are quite close, with JPSE having a 17.75% return and BIGZ slightly lower at 16.90%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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.
Dividends
JPSE vs. BIGZ - Dividend Comparison
JPSE's dividend yield for the trailing twelve months is around 1.58%, less than BIGZ's 9.57% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
JPSE JPMorgan Diversified Return U.S. Small Cap Equity ETF | 1.58% | 1.76% | 1.55% | 1.24% | 1.32% | 1.23% | 1.18% | 0.74% | 0.14% |
BIGZ Blackrock Innovation & Growth Trust | 9.57% | 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.
Volatility
JPSE vs. BIGZ - Volatility Comparison
JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) has a higher volatility of 6.92% compared to Blackrock Innovation & Growth Trust (BIGZ) at 4.79%. 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.