JPSE vs. FLQM
Compare and contrast key facts about JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) and Franklin LibertyQ U.S. Mid Cap Equity ETF (FLQM).
JPSE and FLQM 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. FLQM is a passively managed fund by Franklin Templeton that tracks the performance of the LibertyQ U.S. Mid Cap Equity Index. It was launched on Apr 26, 2017. Both JPSE and FLQM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JPSE or FLQM.
Key characteristics
| JPSE | FLQM | |
|---|---|---|
| YTD Return | 14.58% | 20.41% |
| 1Y Return | 26.93% | 31.92% |
| 3Y Return (Ann) | 3.29% | 7.77% |
| 5Y Return (Ann) | 11.51% | 13.49% |
| Sharpe Ratio | 1.71 | 2.82 |
| Sortino Ratio | 2.53 | 4.04 |
| Omega Ratio | 1.31 | 1.49 |
| Calmar Ratio | 2.24 | 5.04 |
| Martin Ratio | 9.74 | 14.65 |
| Ulcer Index | 3.42% | 2.45% |
| Daily Std Dev | 19.47% | 12.75% |
| Max Drawdown | -43.02% | -37.26% |
| Current Drawdown | -2.69% | -0.88% |
Correlation
The correlation between JPSE and FLQM is 0.81, 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. FLQM - Performance Comparison
In the year-to-date period, JPSE achieves a 14.58% return, which is significantly lower than FLQM's 20.41% 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. FLQM - Expense Ratio Comparison
JPSE has a 0.29% expense ratio, which is lower than FLQM's 0.30% expense ratio.
Risk-Adjusted Performance
JPSE vs. FLQM - 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 Franklin LibertyQ U.S. Mid Cap Equity ETF (FLQM). 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. FLQM - Dividend Comparison
JPSE's dividend yield for the trailing twelve months is around 1.62%, more than FLQM's 1.23% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
JPSE JPMorgan Diversified Return U.S. Small Cap Equity ETF | 1.62% | 1.76% | 1.55% | 1.24% | 1.32% | 1.23% | 1.18% | 0.74% | 0.14% |
FLQM Franklin LibertyQ U.S. Mid Cap Equity ETF | 1.23% | 1.27% | 1.33% | 1.05% | 1.09% | 1.36% | 1.45% | 1.14% | 0.00% |
Drawdowns
JPSE vs. FLQM - Drawdown Comparison
The maximum JPSE drawdown since its inception was -43.02%, which is greater than FLQM's maximum drawdown of -37.26%. Use the drawdown chart below to compare losses from any high point for JPSE and FLQM. For additional features, visit the drawdowns tool.
Volatility
JPSE vs. FLQM - Volatility Comparison
JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) has a higher volatility of 7.31% compared to Franklin LibertyQ U.S. Mid Cap Equity ETF (FLQM) at 3.82%. This indicates that JPSE's price experiences larger fluctuations and is considered to be riskier than FLQM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.