JREU.DE vs. IBCY.DE
JREU.DE (JPMorgan US Research Enhanced Index Equity (ESG) UCITS ETF USD (acc)) and IBCY.DE (iShares Edge MSCI USA Multifactor UCITS ETF) are both Large Cap Blend Equities funds - JREU.DE tracks the JP Morgan US Research Enhanced Index Equity (ESG) while IBCY.DE tracks the MSCI USA Diversified Multiple-Factor. Both are passively managed. Over the past 5 years, JREU.DE returned 14.71%/yr vs 10.27%/yr for IBCY.DE. Their correlation of 0.92 suggests significant overlap in exposure. JREU.DE charges 0.20%/yr vs 0.35%/yr for IBCY.DE.
Performance
JREU.DE vs. IBCY.DE - Performance Comparison
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Returns By Period
JREU.DE
- 1D
- -0.14%
- 1M
- 3.76%
- YTD
- 10.64%
- 6M
- 10.24%
- 1Y
- 24.47%
- 3Y*
- 18.34%
- 5Y*
- 14.71%
- 10Y*
- —
IBCY.DE
- 1D
- 0.00%
- 1M
- 0.00%
- YTD
- 0.00%
- 6M
- 0.00%
- 1Y
- 13.22%
- 3Y*
- 13.97%
- 5Y*
- 10.27%
- 10Y*
- 11.22%
JREU.DE vs. IBCY.DE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
JREU.DE JPMorgan US Research Enhanced Index Equity (ESG) UCITS ETF USD (acc) | 10.64% | 3.77% | 32.09% | 24.03% | -14.67% | 42.44% | 8.56% | 34.56% | -8.94% |
IBCY.DE iShares Edge MSCI USA Multifactor UCITS ETF | 0.00% | 6.35% | 29.21% | 13.73% | -11.70% | 36.60% | 0.17% | 28.63% | -10.44% |
Correlation
The correlation between JREU.DE and IBCY.DE is 0.55, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.55 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.84 |
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 | 0.92 |
Over the past year, the correlation between JREU.DE and IBCY.DE has dropped to 0.55 - well below their long-term average of 0.92, suggesting their price drivers have been diverging.
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Return for Risk
JREU.DE vs. IBCY.DE — Risk / Return Rank
JREU.DE
IBCY.DE
JREU.DE vs. IBCY.DE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan US Research Enhanced Index Equity (ESG) UCITS ETF USD (acc) (JREU.DE) and iShares Edge MSCI USA Multifactor UCITS ETF (IBCY.DE). 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.
| JREU.DE | IBCY.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.44 | ||
| Sortino ratioReturn per unit of downside risk | +0.51 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.56 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | 3.60 | 4.08 | -0.49 |
| Martin ratioReturn relative to average drawdown | 13.47 | 19.99 | -6.52 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JREU.DE | IBCY.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.15 | 1.70 | +0.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.95 | 0.69 | +0.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.69 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.90 | 0.63 | +0.27 |
Drawdowns
JREU.DE vs. IBCY.DE - Drawdown Comparison
The maximum JREU.DE drawdown since its inception was -34.39%, roughly equal to the maximum IBCY.DE drawdown of -35.54%. Use the drawdown chart below to compare losses from any high point for JREU.DE and IBCY.DE.
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Drawdown Indicators
| JREU.DE | IBCY.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.39% | -35.54% | +1.15% |
Max Drawdown (1Y)Largest decline over 1 year | -6.81% | -3.26% | -3.55% |
Max Drawdown (3Y)Largest decline over 3 years | -23.38% | -22.91% | -0.47% |
Max Drawdown (5Y)Largest decline over 5 years | -23.38% | -22.91% | -0.47% |
Max Drawdown (10Y)Largest decline over 10 years | — | -35.54% | — |
Current DrawdownCurrent decline from peak | -0.49% | 0.00% | -0.49% |
Average DrawdownAverage peak-to-trough decline | -4.52% | -4.95% | +0.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.82% | 0.67% | +1.15% |
Volatility
JREU.DE vs. IBCY.DE - Volatility Comparison
JPMorgan US Research Enhanced Index Equity (ESG) UCITS ETF USD (acc) (JREU.DE) has a higher volatility of 2.53% compared to iShares Edge MSCI USA Multifactor UCITS ETF (IBCY.DE) at 0.00%. This indicates that JREU.DE's price experiences larger fluctuations and is considered to be riskier than IBCY.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JREU.DE | IBCY.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.53% | 0.00% | +2.53% |
Volatility (6M)Calculated over the trailing 6-month period | 7.43% | 0.00% | +7.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.42% | 7.99% | +3.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.28% | 14.77% | +0.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.23% | 16.12% | +1.11% |
JREU.DE vs. IBCY.DE - Expense Ratio Comparison
JREU.DE has a 0.20% expense ratio, which is lower than IBCY.DE's 0.35% expense ratio.
Dividends
JREU.DE vs. IBCY.DE - Dividend Comparison
Neither JREU.DE nor IBCY.DE has paid dividends to shareholders.
Frequently Asked Questions
JREU.DE and IBCY.DE have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, JREU.DE is cheaper at 0.20% per year. The better choice depends on whether you care most about return, fees, risk, or income.
JREU.DE is cheaper with a 0.20% expense ratio, compared with 0.35% for IBCY.DE.
JREU.DE tracks JP Morgan US Research Enhanced Index Equity (ESG), while IBCY.DE tracks MSCI USA Diversified Multiple-Factor. They also come from different issuers: JPMorgan and iShares. Their fees differ too: 0.20% for JREU.DE and 0.35% for IBCY.DE.
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