JRGD.DE vs. ^GSPC
JRGD.DE (JPMorgan Global Research Enhanced Index Equity (ESG) UCITS ETF USD (dist)) is Global Equities fund tracking the JP Morgan Global Research Enhanced Index Equity (ESG), while ^GSPC (S&P 500 Index) is an index. Over the past 3 years, JRGD.DE returned 16.83%/yr vs 17.85%/yr for ^GSPC. A 0.57 correlation means they provide meaningful diversification when combined.
Performance
JRGD.DE vs. ^GSPC - Performance Comparison
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Different Trading Currencies
JRGD.DE is traded in EUR, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, JRGD.DE achieves a 10.32% return, which is significantly lower than ^GSPC's 12.06% return.
JRGD.DE
- 1D
- 0.00%
- 1M
- 4.30%
- YTD
- 10.32%
- 6M
- 10.92%
- 1Y
- 22.73%
- 3Y*
- 16.83%
- 5Y*
- —
- 10Y*
- —
^GSPC
- 1D
- 0.27%
- 1M
- 5.17%
- YTD
- 12.06%
- 6M
- 10.90%
- 1Y
- 24.89%
- 3Y*
- 17.85%
- 5Y*
- 13.43%
- 10Y*
- 13.40%
JRGD.DE vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
JRGD.DE JPMorgan Global Research Enhanced Index Equity (ESG) UCITS ETF USD (dist) | 10.32% | 6.67% | 25.38% | 21.25% | -13.07% | 10.88% |
^GSPC S&P 500 Index | 12.06% | 2.58% | 31.45% | 20.51% | -14.45% | 11.52% |
Correlation
The correlation between JRGD.DE and ^GSPC is 0.66, 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 | 0.66 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Sep 23, 2021 | 0.57 |
The correlation between JRGD.DE and ^GSPC has been stable across timeframes, ranging from 0.57 to 0.66 - a consistent structural relationship.
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Return for Risk
JRGD.DE vs. ^GSPC — Risk / Return Rank
JRGD.DE
^GSPC
JRGD.DE vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Global Research Enhanced Index Equity (ESG) UCITS ETF USD (dist) (JRGD.DE) and S&P 500 Index (^GSPC). 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.
| JRGD.DE | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.04 | ||
| Sortino ratioReturn per unit of downside risk | +0.25 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.37 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 3.73 | 3.30 | +0.43 |
| Martin ratioReturn relative to average drawdown | 15.47 | 12.34 | +3.13 |
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
| JRGD.DE | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.07 | 2.04 | +0.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.80 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.72 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.85 | 0.51 | +0.34 |
Drawdowns
JRGD.DE vs. ^GSPC - Drawdown Comparison
The maximum JRGD.DE drawdown since its inception was -21.56%, smaller than the maximum ^GSPC drawdown of -51.62%. Use the drawdown chart below to compare losses from any high point for JRGD.DE and ^GSPC.
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Drawdown Indicators
| JRGD.DE | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -21.56% | -51.62% | +30.06% |
Max Drawdown (1Y)Largest decline over 1 year | -6.06% | -7.57% | +1.51% |
Max Drawdown (3Y)Largest decline over 3 years | -21.56% | -23.99% | +2.43% |
Max Drawdown (5Y)Largest decline over 5 years | — | -23.99% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.42% | — |
Current DrawdownCurrent decline from peak | -0.35% | -0.20% | -0.15% |
Average DrawdownAverage peak-to-trough decline | -4.26% | -9.08% | +4.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.47% | 2.02% | -0.55% |
Volatility
JRGD.DE vs. ^GSPC - Volatility Comparison
JPMorgan Global Research Enhanced Index Equity (ESG) UCITS ETF USD (dist) (JRGD.DE) has a higher volatility of 2.43% compared to S&P 500 Index (^GSPC) at 2.24%. This indicates that JRGD.DE's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JRGD.DE | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.43% | 2.24% | +0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 7.47% | 8.62% | -1.15% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.91% | 12.29% | -1.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.33% | 16.79% | -2.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.33% | 18.59% | -4.26% |
Frequently Asked Questions
JRGD.DE and ^GSPC have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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