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JPSE vs. IJR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JPSE and IJR is 0.97, 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.


-0.50.00.51.01.0

Performance

JPSE vs. IJR - 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 Core S&P Small-Cap ETF (IJR). The values are adjusted to include any dividend payments, if applicable.

80.00%90.00%100.00%110.00%120.00%130.00%JulyAugustSeptemberOctoberNovemberDecember
107.71%
99.81%
JPSE
IJR

Key characteristics

Sharpe Ratio

JPSE:

0.52

IJR:

0.58

Sortino Ratio

JPSE:

0.87

IJR:

0.97

Omega Ratio

JPSE:

1.11

IJR:

1.12

Calmar Ratio

JPSE:

1.05

IJR:

0.97

Martin Ratio

JPSE:

2.68

IJR:

3.08

Ulcer Index

JPSE:

3.64%

IJR:

3.73%

Daily Std Dev

JPSE:

18.66%

IJR:

19.71%

Max Drawdown

JPSE:

-43.02%

IJR:

-58.15%

Current Drawdown

JPSE:

-8.91%

IJR:

-8.22%

Returns By Period

In the year-to-date period, JPSE achieves a 8.05% return, which is significantly lower than IJR's 9.20% return.


JPSE

YTD

8.05%

1M

-4.79%

6M

9.76%

1Y

8.56%

5Y*

9.33%

10Y*

N/A

IJR

YTD

9.20%

1M

-3.40%

6M

11.37%

1Y

9.69%

5Y*

8.43%

10Y*

9.00%

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. IJR - Expense Ratio Comparison

JPSE has a 0.29% expense ratio, which is higher than IJR's 0.07% expense ratio.


JPSE
JPMorgan Diversified Return U.S. Small Cap Equity ETF
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%
Expense ratio chart for IJR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

JPSE vs. IJR - 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 iShares Core S&P Small-Cap ETF (IJR). 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 market0.002.004.000.520.58
The chart of Sortino ratio for JPSE, currently valued at 0.87, compared to the broader market-2.000.002.004.006.008.0010.000.870.97
The chart of Omega ratio for JPSE, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.12
The chart of Calmar ratio for JPSE, currently valued at 1.05, compared to the broader market0.005.0010.0015.001.050.97
The chart of Martin ratio for JPSE, currently valued at 2.68, compared to the broader market0.0020.0040.0060.0080.00100.002.683.08
JPSE
IJR

The current JPSE Sharpe Ratio is 0.52, which is comparable to the IJR Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of JPSE and IJR, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.52
0.58
JPSE
IJR

Dividends

JPSE vs. IJR - Dividend Comparison

JPSE's dividend yield for the trailing twelve months is around 1.03%, less than IJR's 2.04% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%0.00%
IJR
iShares Core S&P Small-Cap ETF
2.04%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%1.00%

Drawdowns

JPSE vs. IJR - Drawdown Comparison

The maximum JPSE drawdown since its inception was -43.02%, smaller than the maximum IJR drawdown of -58.15%. Use the drawdown chart below to compare losses from any high point for JPSE and IJR. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.91%
-8.22%
JPSE
IJR

Volatility

JPSE vs. IJR - Volatility Comparison

The current volatility for JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) is 5.52%, while iShares Core S&P Small-Cap ETF (IJR) has a volatility of 5.94%. This indicates that JPSE experiences smaller price fluctuations and is considered to be less risky than IJR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.52%
5.94%
JPSE
IJR
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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.

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