JPSE vs. DFAS
Compare and contrast key facts about JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) and Dimensional U.S. Small Cap ETF (DFAS).
JPSE and DFAS are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. DFAS is an actively managed fund by Dimensional Fund Advisors LP. It was launched on Jun 14, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPSE or DFAS.
Key characteristics
| JPSE | DFAS | |
|---|---|---|
| YTD Return | 17.75% | 18.69% |
| 1Y Return | 36.53% | 39.26% |
| 3Y Return (Ann) | 4.24% | 5.37% |
| Sharpe Ratio | 1.98 | 2.08 |
| Sortino Ratio | 2.88 | 2.96 |
| Omega Ratio | 1.36 | 1.37 |
| Calmar Ratio | 2.17 | 2.49 |
| Martin Ratio | 11.28 | 12.20 |
| Ulcer Index | 3.41% | 3.34% |
| Daily Std Dev | 19.40% | 19.62% |
| Max Drawdown | -43.02% | -24.77% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between JPSE and DFAS is 0.98, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
JPSE vs. DFAS - Performance Comparison
In the year-to-date period, JPSE achieves a 17.75% return, which is significantly lower than DFAS's 18.69% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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JPSE vs. DFAS - Expense Ratio Comparison
JPSE has a 0.29% expense ratio, which is lower than DFAS's 0.34% expense ratio.
Risk-Adjusted Performance
JPSE vs. DFAS - 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 Dimensional U.S. Small Cap ETF (DFAS). 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. DFAS - Dividend Comparison
JPSE's dividend yield for the trailing twelve months is around 1.58%, more than DFAS's 0.85% 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% |
DFAS Dimensional U.S. Small Cap ETF | 0.85% | 1.00% | 1.03% | 3.24% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
JPSE vs. DFAS - Drawdown Comparison
The maximum JPSE drawdown since its inception was -43.02%, which is greater than DFAS's maximum drawdown of -24.77%. Use the drawdown chart below to compare losses from any high point for JPSE and DFAS. For additional features, visit the drawdowns tool.
Volatility
JPSE vs. DFAS - Volatility Comparison
JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) and Dimensional U.S. Small Cap ETF (DFAS) have volatilities of 6.92% and 6.81%, 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.