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

Key characteristics


JPSEVOO
YTD Return17.75%27.26%
1Y Return36.53%37.86%
3Y Return (Ann)4.24%10.35%
5Y Return (Ann)12.24%16.03%
Sharpe Ratio1.983.25
Sortino Ratio2.884.31
Omega Ratio1.361.61
Calmar Ratio2.174.74
Martin Ratio11.2821.63
Ulcer Index3.41%1.85%
Daily Std Dev19.40%12.25%
Max Drawdown-43.02%-33.99%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between JPSE and VOO is 0.78, 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. VOO - Performance Comparison

In the year-to-date period, JPSE achieves a 17.75% return, which is significantly lower than VOO's 27.26% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.51%
15.18%
JPSE
VOO

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JPSE vs. VOO - Expense Ratio Comparison

JPSE has a 0.29% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

JPSE vs. VOO - 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 Vanguard S&P 500 ETF (VOO). 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
Sharpe ratio
The chart of Sharpe ratio for JPSE, currently valued at 1.98, compared to the broader market-2.000.002.004.006.001.98
Sortino ratio
The chart of Sortino ratio for JPSE, currently valued at 2.88, compared to the broader market0.005.0010.002.88
Omega ratio
The chart of Omega ratio for JPSE, currently valued at 1.36, compared to the broader market1.001.502.002.503.001.36
Calmar ratio
The chart of Calmar ratio for JPSE, currently valued at 2.17, compared to the broader market0.005.0010.0015.002.17
Martin ratio
The chart of Martin ratio for JPSE, currently valued at 11.28, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.28
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.31, compared to the broader market0.005.0010.004.31
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.74, compared to the broader market0.005.0010.0015.004.74
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.63, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.63

JPSE vs. VOO - Sharpe Ratio Comparison

The current JPSE Sharpe Ratio is 1.98, which is lower than the VOO Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of JPSE and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.98
3.25
JPSE
VOO

Dividends

JPSE vs. VOO - Dividend Comparison

JPSE's dividend yield for the trailing twelve months is around 1.58%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

JPSE vs. VOO - Drawdown Comparison

The maximum JPSE drawdown since its inception was -43.02%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for JPSE and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
JPSE
VOO

Volatility

JPSE vs. VOO - Volatility Comparison

JPMorgan Diversified Return U.S. Small Cap Equity ETF (JPSE) has a higher volatility of 6.92% compared to Vanguard S&P 500 ETF (VOO) at 3.92%. This indicates that JPSE's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.92%
3.92%
JPSE
VOO