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JUEMX vs. CGUS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JUEMXCGUS
YTD Return28.58%26.26%
1Y Return35.50%35.11%
Sharpe Ratio2.983.13
Sortino Ratio4.044.16
Omega Ratio1.571.58
Calmar Ratio2.625.57
Martin Ratio20.8425.09
Ulcer Index1.82%1.49%
Daily Std Dev12.75%12.00%
Max Drawdown-34.95%-21.86%
Current Drawdown-0.36%-0.56%

Correlation

-0.50.00.51.01.0

The correlation between JUEMX and CGUS is 0.97, 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

JUEMX vs. CGUS - Performance Comparison

In the year-to-date period, JUEMX achieves a 28.58% return, which is significantly higher than CGUS's 26.26% 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
13.84%
12.20%
JUEMX
CGUS

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JUEMX vs. CGUS - Expense Ratio Comparison

JUEMX has a 0.44% expense ratio, which is higher than CGUS's 0.33% expense ratio.


JUEMX
JPMorgan U.S. Equity Fund R6
Expense ratio chart for JUEMX: current value at 0.44% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.44%
Expense ratio chart for CGUS: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%

Risk-Adjusted Performance

JUEMX vs. CGUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Equity Fund R6 (JUEMX) and Capital Group Core Equity ETF (CGUS). 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.


JUEMX
Sharpe ratio
The chart of Sharpe ratio for JUEMX, currently valued at 2.98, compared to the broader market0.002.004.002.98
Sortino ratio
The chart of Sortino ratio for JUEMX, currently valued at 4.04, compared to the broader market0.005.0010.004.04
Omega ratio
The chart of Omega ratio for JUEMX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for JUEMX, currently valued at 4.61, compared to the broader market0.005.0010.0015.0020.004.61
Martin ratio
The chart of Martin ratio for JUEMX, currently valued at 20.84, compared to the broader market0.0020.0040.0060.0080.00100.0020.84
CGUS
Sharpe ratio
The chart of Sharpe ratio for CGUS, currently valued at 3.13, compared to the broader market0.002.004.003.13
Sortino ratio
The chart of Sortino ratio for CGUS, currently valued at 4.16, compared to the broader market0.005.0010.004.16
Omega ratio
The chart of Omega ratio for CGUS, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for CGUS, currently valued at 5.57, compared to the broader market0.005.0010.0015.0020.005.57
Martin ratio
The chart of Martin ratio for CGUS, currently valued at 25.09, compared to the broader market0.0020.0040.0060.0080.00100.0025.09

JUEMX vs. CGUS - Sharpe Ratio Comparison

The current JUEMX Sharpe Ratio is 2.98, which is comparable to the CGUS Sharpe Ratio of 3.13. The chart below compares the historical Sharpe Ratios of JUEMX and CGUS, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.98
3.13
JUEMX
CGUS

Dividends

JUEMX vs. CGUS - Dividend Comparison

JUEMX's dividend yield for the trailing twelve months is around 0.74%, less than CGUS's 0.99% yield.


TTM20232022202120202019201820172016201520142013
JUEMX
JPMorgan U.S. Equity Fund R6
0.74%1.06%1.28%0.79%0.92%1.10%1.41%1.11%1.22%1.24%1.36%1.09%
CGUS
Capital Group Core Equity ETF
0.99%1.22%1.11%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

JUEMX vs. CGUS - Drawdown Comparison

The maximum JUEMX drawdown since its inception was -34.95%, which is greater than CGUS's maximum drawdown of -21.86%. Use the drawdown chart below to compare losses from any high point for JUEMX and CGUS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.36%
-0.56%
JUEMX
CGUS

Volatility

JUEMX vs. CGUS - Volatility Comparison

JPMorgan U.S. Equity Fund R6 (JUEMX) has a higher volatility of 4.35% compared to Capital Group Core Equity ETF (CGUS) at 3.57%. This indicates that JUEMX's price experiences larger fluctuations and is considered to be riskier than CGUS 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.35%
3.57%
JUEMX
CGUS