JREE.L vs. IEVL.L
JREE.L (JPMorgan Europe Research Enhanced Index Equity UCITS ETF - EUR (acc)) and IEVL.L (iShares Edge MSCI Europe Value Factor UCITS ETF EUR Accumulating) are both Europe Equities funds - JREE.L tracks the MSCI Europe NR EUR while IEVL.L tracks the MSCI Europe Enhanced Value Index. Both are passively managed. Over the past 5 years, JREE.L returned 9.91%/yr vs 14.48%/yr for IEVL.L. Their correlation of 0.89 suggests significant overlap in exposure. Both charge a 0.25% expense ratio.
Performance
JREE.L vs. IEVL.L - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, JREE.L achieves a 7.53% return, which is significantly lower than IEVL.L's 13.95% return.
JREE.L
- 1D
- 0.47%
- 1M
- 3.26%
- YTD
- 7.53%
- 6M
- 9.59%
- 1Y
- 16.01%
- 3Y*
- 13.02%
- 5Y*
- 9.91%
- 10Y*
- —
IEVL.L
- 1D
- 0.04%
- 1M
- 4.59%
- YTD
- 13.95%
- 6M
- 17.06%
- 1Y
- 32.80%
- 3Y*
- 21.63%
- 5Y*
- 14.48%
- 10Y*
- 10.70%
JREE.L vs. IEVL.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
JREE.L JPMorgan Europe Research Enhanced Index Equity UCITS ETF - EUR (acc) | 7.53% | 19.14% | 7.41% | 16.76% | -8.83% | 25.54% | -1.80% | 28.90% | -5.76% |
IEVL.L iShares Edge MSCI Europe Value Factor UCITS ETF EUR Accumulating | 13.95% | 35.00% | 10.59% | 13.55% | -3.79% | 26.68% | -8.75% | 21.75% | -8.10% |
Correlation
The correlation between JREE.L and IEVL.L is 0.91, 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 | 0.91 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.88 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (All Time) Calculated using the full available price history since Oct 17, 2018 | 0.89 |
The correlation between JREE.L and IEVL.L has been stable across timeframes, ranging from 0.88 to 0.91 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
JREE.L vs. IEVL.L — Risk / Return Rank
JREE.L
IEVL.L
JREE.L vs. IEVL.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Europe Research Enhanced Index Equity UCITS ETF - EUR (acc) (JREE.L) and iShares Edge MSCI Europe Value Factor UCITS ETF EUR Accumulating (IEVL.L). 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.
| JREE.L | IEVL.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.15 | ||
| Sortino ratioReturn per unit of downside risk | -1.45 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.43 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 1.60 | 3.34 | -1.74 |
| Martin ratioReturn relative to average drawdown | 5.72 | 12.45 | -6.74 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| JREE.L | IEVL.L | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.23 | 2.38 | -1.15 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.69 | 0.94 | -0.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.61 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.66 | 0.49 | +0.17 |
Drawdowns
JREE.L vs. IEVL.L - Drawdown Comparison
The maximum JREE.L drawdown since its inception was -35.07%, smaller than the maximum IEVL.L drawdown of -40.09%. Use the drawdown chart below to compare losses from any high point for JREE.L and IEVL.L.
Loading charts...
Drawdown Indicators
| JREE.L | IEVL.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.07% | -40.09% | +5.02% |
Max Drawdown (1Y)Largest decline over 1 year | -9.97% | -9.78% | -0.19% |
Max Drawdown (3Y)Largest decline over 3 years | -16.24% | -17.49% | +1.25% |
Max Drawdown (5Y)Largest decline over 5 years | -19.25% | -19.55% | +0.30% |
Max Drawdown (10Y)Largest decline over 10 years | — | -40.09% | — |
Current DrawdownCurrent decline from peak | -0.51% | -0.78% | +0.27% |
Average DrawdownAverage peak-to-trough decline | -4.52% | -7.51% | +2.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.79% | 2.63% | +0.16% |
Volatility
JREE.L vs. IEVL.L - Volatility Comparison
The current volatility for JPMorgan Europe Research Enhanced Index Equity UCITS ETF - EUR (acc) (JREE.L) is 4.49%, while iShares Edge MSCI Europe Value Factor UCITS ETF EUR Accumulating (IEVL.L) has a volatility of 4.86%. This indicates that JREE.L experiences smaller price fluctuations and is considered to be less risky than IEVL.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| JREE.L | IEVL.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.49% | 4.86% | -0.37% |
Volatility (6M)Calculated over the trailing 6-month period | 10.52% | 10.95% | -0.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.95% | 13.70% | -0.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.45% | 15.36% | -0.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.55% | 17.66% | -1.11% |
JREE.L vs. IEVL.L - Expense Ratio Comparison
Both JREE.L and IEVL.L have an expense ratio of 0.25%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Dividends
JREE.L vs. IEVL.L - Dividend Comparison
Neither JREE.L nor IEVL.L has paid dividends to shareholders.
Frequently Asked Questions
With a correlation of 0.91, JREE.L and IEVL.L 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.
Both ETFs have the same 0.25% expense ratio. The better choice depends on whether you care most about return, fees, risk, or income.
JREE.L and IEVL.L have the same expense ratio: 0.25% per year.
JREE.L tracks MSCI Europe NR EUR, while IEVL.L tracks MSCI Europe Enhanced Value Index. They also come from different issuers: JPMorgan and iShares.
Find the right allocation for JREE.L and IEVL.L
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer