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JREU.DE vs. SPLG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JREU.DESPLG
YTD Return32.30%26.89%
1Y Return38.98%37.56%
3Y Return (Ann)13.09%10.23%
5Y Return (Ann)17.40%16.00%
Sharpe Ratio3.173.08
Sortino Ratio4.324.10
Omega Ratio1.661.58
Calmar Ratio4.594.44
Martin Ratio20.4420.15
Ulcer Index1.88%1.86%
Daily Std Dev12.06%12.15%
Max Drawdown-34.39%-54.50%
Current Drawdown0.00%-0.28%

Correlation

-0.50.00.51.00.6

The correlation between JREU.DE and SPLG is 0.62, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

JREU.DE vs. SPLG - Performance Comparison

In the year-to-date period, JREU.DE achieves a 32.30% return, which is significantly higher than SPLG's 26.89% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.96%
14.85%
JREU.DE
SPLG

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JREU.DE vs. SPLG - Expense Ratio Comparison

JREU.DE has a 0.20% expense ratio, which is higher than SPLG's 0.03% 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%.


JREU.DE
JPMorgan US Research Enhanced Index Equity (ESG) UCITS ETF USD (acc)
Expense ratio chart for JREU.DE: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for SPLG: 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

JREU.DE vs. SPLG - Risk-Adjusted Performance 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 SPDR Portfolio S&P 500 ETF (SPLG). 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
Sharpe ratio
The chart of Sharpe ratio for JREU.DE, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Sortino ratio
The chart of Sortino ratio for JREU.DE, currently valued at 4.22, compared to the broader market-2.000.002.004.006.008.0010.0012.004.22
Omega ratio
The chart of Omega ratio for JREU.DE, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for JREU.DE, currently valued at 4.35, compared to the broader market0.005.0010.0015.004.35
Martin ratio
The chart of Martin ratio for JREU.DE, currently valued at 19.19, compared to the broader market0.0020.0040.0060.0080.00100.0019.19
SPLG
Sharpe ratio
The chart of Sharpe ratio for SPLG, currently valued at 2.80, compared to the broader market-2.000.002.004.006.002.80
Sortino ratio
The chart of Sortino ratio for SPLG, currently valued at 3.74, compared to the broader market-2.000.002.004.006.008.0010.0012.003.74
Omega ratio
The chart of Omega ratio for SPLG, currently valued at 1.53, compared to the broader market1.001.502.002.503.001.53
Calmar ratio
The chart of Calmar ratio for SPLG, currently valued at 3.98, compared to the broader market0.005.0010.0015.003.98
Martin ratio
The chart of Martin ratio for SPLG, currently valued at 18.07, compared to the broader market0.0020.0040.0060.0080.00100.0018.07

JREU.DE vs. SPLG - Sharpe Ratio Comparison

The current JREU.DE Sharpe Ratio is 3.17, which is comparable to the SPLG Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of JREU.DE and SPLG, 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.06
2.80
JREU.DE
SPLG

Dividends

JREU.DE vs. SPLG - Dividend Comparison

JREU.DE has not paid dividends to shareholders, while SPLG's dividend yield for the trailing twelve months is around 1.23%.


TTM20232022202120202019201820172016201520142013
JREU.DE
JPMorgan US Research Enhanced Index Equity (ESG) UCITS ETF USD (acc)
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPLG
SPDR Portfolio S&P 500 ETF
1.23%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%

Drawdowns

JREU.DE vs. SPLG - Drawdown Comparison

The maximum JREU.DE drawdown since its inception was -34.39%, smaller than the maximum SPLG drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for JREU.DE and SPLG. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.19%
-0.28%
JREU.DE
SPLG

Volatility

JREU.DE vs. SPLG - Volatility Comparison

The current volatility for JPMorgan US Research Enhanced Index Equity (ESG) UCITS ETF USD (acc) (JREU.DE) is 3.45%, while SPDR Portfolio S&P 500 ETF (SPLG) has a volatility of 3.88%. This indicates that JREU.DE experiences smaller price fluctuations and is considered to be less risky than SPLG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.45%
3.88%
JREU.DE
SPLG