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JSCP vs. VABS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JSCP and VABS is 0.04, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

JSCP vs. VABS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Short Duration Core Plus ETF (JSCP) and Virtus Newfleet ABS/MBS ETF (VABS). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

JSCP:

2.62

VABS:

2.94

Sortino Ratio

JSCP:

4.09

VABS:

4.61

Omega Ratio

JSCP:

1.54

VABS:

1.69

Calmar Ratio

JSCP:

4.24

VABS:

5.05

Martin Ratio

JSCP:

13.43

VABS:

17.57

Ulcer Index

JSCP:

0.50%

VABS:

0.41%

Daily Std Dev

JSCP:

2.56%

VABS:

2.42%

Max Drawdown

JSCP:

-8.90%

VABS:

-7.12%

Current Drawdown

JSCP:

-0.31%

VABS:

-0.33%

Returns By Period

In the year-to-date period, JSCP achieves a 2.31% return, which is significantly higher than VABS's 2.12% return.


JSCP

YTD

2.31%

1M

1.12%

6M

2.73%

1Y

6.79%

5Y*

N/A

10Y*

N/A

VABS

YTD

2.12%

1M

0.99%

6M

3.06%

1Y

7.29%

5Y*

N/A

10Y*

N/A

*Annualized

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JSCP vs. VABS - Expense Ratio Comparison

JSCP has a 0.33% expense ratio, which is lower than VABS's 0.39% expense ratio.


Risk-Adjusted Performance

JSCP vs. VABS — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

JSCP
The Risk-Adjusted Performance Rank of JSCP is 9797
Overall Rank
The Sharpe Ratio Rank of JSCP is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of JSCP is 9797
Sortino Ratio Rank
The Omega Ratio Rank of JSCP is 9797
Omega Ratio Rank
The Calmar Ratio Rank of JSCP is 9797
Calmar Ratio Rank
The Martin Ratio Rank of JSCP is 9696
Martin Ratio Rank

VABS
The Risk-Adjusted Performance Rank of VABS is 9898
Overall Rank
The Sharpe Ratio Rank of VABS is 9898
Sharpe Ratio Rank
The Sortino Ratio Rank of VABS is 9898
Sortino Ratio Rank
The Omega Ratio Rank of VABS is 9898
Omega Ratio Rank
The Calmar Ratio Rank of VABS is 9797
Calmar Ratio Rank
The Martin Ratio Rank of VABS is 9797
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

JSCP vs. VABS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Short Duration Core Plus ETF (JSCP) and Virtus Newfleet ABS/MBS ETF (VABS). 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.


The current JSCP Sharpe Ratio is 2.62, which is comparable to the VABS Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of JSCP and VABS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

JSCP vs. VABS - Dividend Comparison

JSCP's dividend yield for the trailing twelve months is around 4.84%, less than VABS's 5.12% yield.


TTM2024202320222021
JSCP
JPMorgan Short Duration Core Plus ETF
4.84%4.76%4.13%2.51%1.10%
VABS
Virtus Newfleet ABS/MBS ETF
5.12%5.06%4.12%2.47%1.47%

Drawdowns

JSCP vs. VABS - Drawdown Comparison

The maximum JSCP drawdown since its inception was -8.90%, which is greater than VABS's maximum drawdown of -7.12%. Use the drawdown chart below to compare losses from any high point for JSCP and VABS. For additional features, visit the drawdowns tool.


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Volatility

JSCP vs. VABS - Volatility Comparison

JPMorgan Short Duration Core Plus ETF (JSCP) has a higher volatility of 1.08% compared to Virtus Newfleet ABS/MBS ETF (VABS) at 0.58%. This indicates that JSCP's price experiences larger fluctuations and is considered to be riskier than VABS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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