JPSE vs. ESML

Last updated Jun 4, 2026

JPSE (JPMorgan Diversified Return U.S. Small Cap Equity ETF) and ESML (iShares ESG Aware MSCI USA Small-Cap ETF) are both Small Cap Growth Equities funds - JPSE tracks the JPMorgan Diversified Factor US Small Cap Equity Index while ESML tracks the MSCI USA Small Cap Extended ESG Focus Index. Both are passively managed. Over the past 5 years, JPSE returned 7.07%/yr vs 7.18%/yr for ESML. With a 0.96 correlation, they move nearly in lockstep. JPSE charges 0.29%/yr vs 0.17%/yr for ESML.

Performance

JPSE vs. ESML - 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 iShares ESG Aware MSCI USA Small-Cap ETF (ESML). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JPSE achieves a 15.46% return, which is significantly lower than ESML's 16.26% return.

JPSE

• 1D: -1.03%
• 1M: 0.95%
• YTD: 15.46%
• 6M: 14.54%
• 1Y: 31.79%
• 3Y*: 15.24%
• 5Y*: 7.07%
• 10Y*: —

ESML

• 1D: -0.47%
• 1M: 3.86%
• YTD: 16.26%
• 6M: 15.99%
• 1Y: 34.21%
• 3Y*: 17.27%
• 5Y*: 7.18%
• 10Y*: —

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

JPSE vs. ESML - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
JPSE JPMorgan Diversified Return U.S. Small Cap Equity ETF	15.46%	8.77%	8.07%	15.87%	-14.40%	29.31%	12.49%	22.95%	-8.48%
ESML iShares ESG Aware MSCI USA Small-Cap ETF	16.26%	10.62%	12.01%	17.27%	-17.28%	19.28%	19.56%	29.12%	-10.89%

Correlation

The correlation between JPSE and ESML is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Apr 13, 2018	0.96

The correlation between JPSE and ESML has been stable across timeframes, ranging from 0.94 to 0.96 - a consistent structural relationship.

JPSE vs. ESML - Sectors Allocation Comparison

Sectors	JPSE	ESML
Technology	14.6%	17.5%
Real Estate	13.1%	6.5%
Industrials	11.7%	19.3%
Financial Services	9.7%	14.4%
Basic Materials	9.6%	3.9%
Healthcare	9.0%	12.6%
Energy	8.9%	5.9%
Consumer Defensive	8.1%	3.7%
Consumer Cyclical	7.9%	11.3%
Utilities	4.8%	2.7%
Communication Services	2.7%	2.2%

Return for Risk

JPSE vs. ESML — Risk / Return Rank

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

JPSE

JPSE Risk / Return Rank: 66
JPSE Sharpe Ratio Rank: 59
JPSE Sortino Ratio Rank: 61
JPSE Omega Ratio Rank: 56
JPSE Calmar Ratio Rank: 78
JPSE Martin Ratio Rank: 75

ESML

ESML Risk / Return Rank: 66
ESML Sharpe Ratio Rank: 61
ESML Sortino Ratio Rank: 62
ESML Omega Ratio Rank: 57
ESML Calmar Ratio Rank: 75
ESML Martin Ratio Rank: 74

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. ESML - 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 iShares ESG Aware MSCI USA Small-Cap ETF (ESML). 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.

	JPSE	ESML	Difference
Sharpe ratio: Return per unit of total volatility	2.00	2.07	-0.07
Sortino ratio: Return per unit of downside risk	2.89	2.95	-0.07
Omega ratio: Gain probability vs. loss probability	1.34	1.35	-0.01
Calmar ratio: Return relative to maximum drawdown	3.99	3.80	+0.18
Martin ratio: Return relative to average drawdown	14.20	14.00	+0.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JPSE vs. ESML - Sharpe Ratio Comparison

The current JPSE Sharpe Ratio is 2.00, which is comparable to the ESML Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of JPSE and ESML, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	JPSE	ESML	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.00	2.07	-0.07
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.35	0.34	+0.01
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	0.46	+0.03

Drawdowns

JPSE vs. ESML - Drawdown Comparison

The maximum JPSE drawdown since its inception was -43.02%, roughly equal to the maximum ESML drawdown of -41.97%. Use the drawdown chart below to compare losses from any high point for JPSE and ESML.

Drawdown Indicators

	JPSE	ESML	Difference
Max Drawdown Largest peak-to-trough decline	-43.02%	-41.97%	-1.05%
Max Drawdown (1Y) Largest decline over 1 year	-8.00%	-9.04%	+1.04%
Max Drawdown (3Y) Largest decline over 3 years	-25.49%	-26.68%	+1.19%
Max Drawdown (5Y) Largest decline over 5 years	-25.56%	-28.61%	+3.05%
Current Drawdown Current decline from peak	-1.37%	-0.47%	-0.90%
Average Drawdown Average peak-to-trough decline	-7.42%	-8.97%	+1.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.24%	2.45%	-0.21%

Volatility

JPSE vs. ESML - Volatility Comparison

JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) has a higher volatility of 4.52% compared to iShares ESG Aware MSCI USA Small-Cap ETF (ESML) at 4.25%. This indicates that JPSE's price experiences larger fluctuations and is considered to be riskier than ESML based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JPSE	ESML	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.52%	4.25%	+0.27%
Volatility (6M) Calculated over the trailing 6-month period	10.90%	11.67%	-0.77%
Volatility (1Y) Calculated over the trailing 1-year period	16.00%	16.66%	-0.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.08%	21.23%	-1.15%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.82%	23.40%	-1.58%

JPSE vs. ESML - Expense Ratio Comparison

JPSE has a 0.29% expense ratio, which is higher than ESML's 0.17% expense ratio.

Dividends

JPSE vs. ESML - Dividend Comparison

JPSE's dividend yield for the trailing twelve months is around 1.38%, more than ESML's 0.95% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ESML iShares ESG Aware MSCI USA Small-Cap ETF	0.95%	1.08%	1.22%	1.31%	1.46%	0.94%	0.99%	1.10%	1.07%	0.00%	0.00%
JPSE JPMorgan Diversified Return U.S. Small Cap Equity ETF	1.38%	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 ESML in my portfolio?

With a correlation of 0.94, JPSE and ESML move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, JPSE or ESML?

JPSE has higher volatility (4.52%) compared to ESML (4.25%). In terms of maximum drawdown, JPSE dropped -43.02% vs ESML's -41.97%.

Which ETF is better, JPSE or ESML?

On 5-year performance, ESML leads with 7.18% vs 7.07% for JPSE. On fees, ESML is cheaper at 0.17% per year. On volatility, ESML has been the lower-risk option at 4.25%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, JPSE or ESML?

Over the 5-year period, ESML has performed better with a 7.18% return vs 7.07%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JPSE or ESML?

ESML is cheaper with a 0.17% expense ratio, compared with 0.29% for JPSE.

Which ETF pays a higher dividend yield, JPSE or ESML?

JPSE has the higher dividend yield at 1.38%, compared with 0.95% for ESML.

What is the main difference between JPSE and ESML?

JPSE tracks JPMorgan Diversified Factor US Small Cap Equity Index, while ESML tracks MSCI USA Small Cap Extended ESG Focus Index. They also come from different issuers: JPMorgan and iShares. Their fees differ too: 0.29% for JPSE and 0.17% for ESML.

Which has better risk-adjusted returns?

ESML currently has the higher Sharpe Ratio (2.07 vs 2.00), 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.