PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JUEMX vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

JUEMX vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan U.S. Equity Fund R6 (JUEMX) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.50%
12.48%
JUEMX
VTI

Returns By Period

In the year-to-date period, JUEMX achieves a 26.75% return, which is significantly higher than VTI's 24.77% return. Over the past 10 years, JUEMX has underperformed VTI with an annualized return of 6.68%, while VTI has yielded a comparatively higher 12.63% annualized return.


JUEMX

YTD

26.75%

1M

0.86%

6M

12.50%

1Y

32.47%

5Y (annualized)

10.92%

10Y (annualized)

6.68%

VTI

YTD

24.77%

1M

1.74%

6M

12.48%

1Y

32.60%

5Y (annualized)

14.96%

10Y (annualized)

12.63%

Key characteristics


JUEMXVTI
Sharpe Ratio2.522.58
Sortino Ratio3.443.45
Omega Ratio1.481.48
Calmar Ratio2.343.76
Martin Ratio17.4316.48
Ulcer Index1.84%1.96%
Daily Std Dev12.73%12.50%
Max Drawdown-34.95%-55.45%
Current Drawdown-1.79%-1.53%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


JUEMX vs. VTI - Expense Ratio Comparison

JUEMX has a 0.44% expense ratio, which is higher than VTI's 0.03% 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 VTI: 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%

Correlation

-0.50.00.51.01.0

The correlation between JUEMX and VTI is 0.98, 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.

Risk-Adjusted Performance

JUEMX vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Equity Fund R6 (JUEMX) and Vanguard Total Stock Market ETF (VTI). 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.


Sharpe ratio
The chart of Sharpe ratio for JUEMX, currently valued at 2.52, compared to the broader market-1.000.001.002.003.004.005.002.522.58
The chart of Sortino ratio for JUEMX, currently valued at 3.44, compared to the broader market0.005.0010.003.443.45
The chart of Omega ratio for JUEMX, currently valued at 1.48, compared to the broader market1.002.003.004.001.481.48
The chart of Calmar ratio for JUEMX, currently valued at 2.34, compared to the broader market0.005.0010.0015.0020.0025.002.343.76
The chart of Martin ratio for JUEMX, currently valued at 17.43, compared to the broader market0.0020.0040.0060.0080.00100.0017.4316.48
JUEMX
VTI

The current JUEMX Sharpe Ratio is 2.52, which is comparable to the VTI Sharpe Ratio of 2.58. The chart below compares the historical Sharpe Ratios of JUEMX and VTI, 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
2.52
2.58
JUEMX
VTI

Dividends

JUEMX vs. VTI - Dividend Comparison

JUEMX's dividend yield for the trailing twelve months is around 0.75%, less than VTI's 1.28% yield.


TTM20232022202120202019201820172016201520142013
JUEMX
JPMorgan U.S. Equity Fund R6
0.75%1.06%1.28%0.79%0.92%1.10%1.41%1.11%1.22%1.24%1.36%1.09%
VTI
Vanguard Total Stock Market ETF
1.28%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

JUEMX vs. VTI - Drawdown Comparison

The maximum JUEMX drawdown since its inception was -34.95%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for JUEMX and VTI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.79%
-1.53%
JUEMX
VTI

Volatility

JUEMX vs. VTI - Volatility Comparison

JPMorgan U.S. Equity Fund R6 (JUEMX) has a higher volatility of 4.64% compared to Vanguard Total Stock Market ETF (VTI) at 4.28%. This indicates that JUEMX's price experiences larger fluctuations and is considered to be riskier than VTI 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
4.64%
4.28%
JUEMX
VTI