PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JPSE vs. BITO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JPSE and BITO is 0.40, 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.


-0.50.00.51.00.4

Performance

JPSE vs. BITO - 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 ProShares Bitcoin Strategy ETF (BITO). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
9.76%
45.66%
JPSE
BITO

Key characteristics

Sharpe Ratio

JPSE:

0.52

BITO:

1.82

Sortino Ratio

JPSE:

0.87

BITO:

2.47

Omega Ratio

JPSE:

1.11

BITO:

1.29

Calmar Ratio

JPSE:

1.05

BITO:

2.22

Martin Ratio

JPSE:

2.68

BITO:

7.75

Ulcer Index

JPSE:

3.64%

BITO:

13.51%

Daily Std Dev

JPSE:

18.66%

BITO:

57.57%

Max Drawdown

JPSE:

-43.02%

BITO:

-77.86%

Current Drawdown

JPSE:

-8.91%

BITO:

-9.85%

Returns By Period

In the year-to-date period, JPSE achieves a 8.05% return, which is significantly lower than BITO's 113.45% return.


JPSE

YTD

8.05%

1M

-4.79%

6M

9.76%

1Y

8.56%

5Y*

9.33%

10Y*

N/A

BITO

YTD

113.45%

1M

1.10%

6M

45.67%

1Y

103.62%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


JPSE vs. BITO - Expense Ratio Comparison

JPSE has a 0.29% expense ratio, which is lower than BITO's 0.95% expense ratio.


BITO
ProShares Bitcoin Strategy ETF
Expense ratio chart for BITO: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for JPSE: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

JPSE vs. BITO - 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 ProShares Bitcoin Strategy ETF (BITO). 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 0.52, compared to the broader market0.002.004.000.521.82
The chart of Sortino ratio for JPSE, currently valued at 0.87, compared to the broader market-2.000.002.004.006.008.0010.000.872.47
The chart of Omega ratio for JPSE, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.29
The chart of Calmar ratio for JPSE, currently valued at 1.05, compared to the broader market0.005.0010.0015.001.052.22
The chart of Martin ratio for JPSE, currently valued at 2.68, compared to the broader market0.0020.0040.0060.0080.00100.002.687.75
JPSE
BITO

The current JPSE Sharpe Ratio is 0.52, which is lower than the BITO Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of JPSE and BITO, 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.52
1.82
JPSE
BITO

Dividends

JPSE vs. BITO - Dividend Comparison

JPSE's dividend yield for the trailing twelve months is around 1.03%, less than BITO's 52.26% yield.


TTM20232022202120202019201820172016
JPSE
JPMorgan Diversified Return U.S. Small Cap Equity ETF
1.03%1.76%1.55%1.24%1.32%1.23%1.18%0.74%0.14%
BITO
ProShares Bitcoin Strategy ETF
52.26%15.14%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

JPSE vs. BITO - Drawdown Comparison

The maximum JPSE drawdown since its inception was -43.02%, smaller than the maximum BITO drawdown of -77.86%. Use the drawdown chart below to compare losses from any high point for JPSE and BITO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.91%
-9.85%
JPSE
BITO

Volatility

JPSE vs. BITO - Volatility Comparison

The current volatility for JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) is 5.52%, while ProShares Bitcoin Strategy ETF (BITO) has a volatility of 16.28%. This indicates that JPSE experiences smaller price fluctuations and is considered to be less risky than BITO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
5.52%
16.28%
JPSE
BITO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab