JREG.L vs. IUMF.L
Compare and contrast key facts about JPMorgan Global Research Enhanced Index Equity UCITS ETF - USD (acc) (JREG.L) and IShares Edge MSCI USA Momentum Factor ETF (IUMF.L).
JREG.L and IUMF.L are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. JREG.L is a passively managed fund by JPMorgan that tracks the performance of the MSCI ACWI NR USD. It was launched on Oct 10, 2018. IUMF.L is a passively managed fund by iShares that tracks the performance of the Russell 1000 Growth TR USD. It was launched on Oct 13, 2016. Both JREG.L and IUMF.L 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: JREG.L or IUMF.L.
Key characteristics
| JREG.L | IUMF.L | |
|---|---|---|
| YTD Return | 20.56% | 35.45% |
| 1Y Return | 28.93% | 39.68% |
| 3Y Return (Ann) | 8.11% | 7.24% |
| 5Y Return (Ann) | 13.59% | 13.08% |
| Sharpe Ratio | 2.54 | 2.22 |
| Sortino Ratio | 3.54 | 2.95 |
| Omega Ratio | 1.46 | 1.41 |
| Calmar Ratio | 3.82 | 2.65 |
| Martin Ratio | 16.47 | 10.88 |
| Ulcer Index | 1.73% | 3.64% |
| Daily Std Dev | 11.40% | 17.75% |
| Max Drawdown | -33.82% | -25.23% |
| Current Drawdown | -0.67% | 0.00% |
Correlation
The correlation between JREG.L and IUMF.L is 0.77, 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
JREG.L vs. IUMF.L - Performance Comparison
In the year-to-date period, JREG.L achieves a 20.56% return, which is significantly lower than IUMF.L's 35.45% 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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JREG.L vs. IUMF.L - Expense Ratio Comparison
JREG.L has a 0.25% expense ratio, which is higher than IUMF.L's 0.20% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
JREG.L vs. IUMF.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Global Research Enhanced Index Equity UCITS ETF - USD (acc) (JREG.L) and IShares Edge MSCI USA Momentum Factor ETF (IUMF.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.
Dividends
JREG.L vs. IUMF.L - Dividend Comparison
Neither JREG.L nor IUMF.L has paid dividends to shareholders.
Drawdowns
JREG.L vs. IUMF.L - Drawdown Comparison
The maximum JREG.L drawdown since its inception was -33.82%, which is greater than IUMF.L's maximum drawdown of -25.23%. Use the drawdown chart below to compare losses from any high point for JREG.L and IUMF.L. For additional features, visit the drawdowns tool.
Volatility
JREG.L vs. IUMF.L - Volatility Comparison
JPMorgan Global Research Enhanced Index Equity UCITS ETF - USD (acc) (JREG.L) and IShares Edge MSCI USA Momentum Factor ETF (IUMF.L) have volatilities of 3.18% and 3.25%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.