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

Performance

JUEMX vs. VTIVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan U.S. Equity Fund R6 (JUEMX) and Vanguard Target Retirement 2045 Fund (VTIVX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.24%
7.61%
JUEMX
VTIVX

Returns By Period

In the year-to-date period, JUEMX achieves a 27.64% return, which is significantly higher than VTIVX's 15.64% return. Over the past 10 years, JUEMX has underperformed VTIVX with an annualized return of 6.70%, while VTIVX has yielded a comparatively higher 8.62% annualized return.


JUEMX

YTD

27.64%

1M

2.49%

6M

13.24%

1Y

32.95%

5Y (annualized)

11.05%

10Y (annualized)

6.70%

VTIVX

YTD

15.64%

1M

1.21%

6M

7.61%

1Y

22.08%

5Y (annualized)

9.89%

10Y (annualized)

8.62%

Key characteristics


JUEMXVTIVX
Sharpe Ratio2.592.23
Sortino Ratio3.523.09
Omega Ratio1.491.41
Calmar Ratio2.423.06
Martin Ratio17.8414.39
Ulcer Index1.85%1.54%
Daily Std Dev12.74%9.91%
Max Drawdown-34.95%-51.69%
Current Drawdown-1.09%-0.87%

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JUEMX vs. VTIVX - Expense Ratio Comparison

JUEMX has a 0.44% expense ratio, which is higher than VTIVX's 0.08% 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 VTIVX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.00.9

The correlation between JUEMX and VTIVX is 0.95, 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. VTIVX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Equity Fund R6 (JUEMX) and Vanguard Target Retirement 2045 Fund (VTIVX). 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 2.59, compared to the broader market-1.000.001.002.003.004.005.002.592.23
The chart of Sortino ratio for JUEMX, currently valued at 3.52, compared to the broader market0.005.0010.003.523.09
The chart of Omega ratio for JUEMX, currently valued at 1.49, compared to the broader market1.002.003.004.001.491.41
The chart of Calmar ratio for JUEMX, currently valued at 2.42, compared to the broader market0.005.0010.0015.0020.002.423.06
The chart of Martin ratio for JUEMX, currently valued at 17.84, compared to the broader market0.0020.0040.0060.0080.00100.0017.8414.39
JUEMX
VTIVX

The current JUEMX Sharpe Ratio is 2.59, which is comparable to the VTIVX Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of JUEMX and VTIVX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.59
2.23
JUEMX
VTIVX

Dividends

JUEMX vs. VTIVX - Dividend Comparison

JUEMX's dividend yield for the trailing twelve months is around 0.74%, less than VTIVX's 1.97% 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%
VTIVX
Vanguard Target Retirement 2045 Fund
1.97%2.28%2.13%2.22%1.60%2.23%2.39%1.90%1.99%2.17%2.05%1.88%

Drawdowns

JUEMX vs. VTIVX - Drawdown Comparison

The maximum JUEMX drawdown since its inception was -34.95%, smaller than the maximum VTIVX drawdown of -51.69%. Use the drawdown chart below to compare losses from any high point for JUEMX and VTIVX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.09%
-0.87%
JUEMX
VTIVX

Volatility

JUEMX vs. VTIVX - Volatility Comparison

JPMorgan U.S. Equity Fund R6 (JUEMX) has a higher volatility of 4.56% compared to Vanguard Target Retirement 2045 Fund (VTIVX) at 2.66%. This indicates that JUEMX's price experiences larger fluctuations and is considered to be riskier than VTIVX 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
4.56%
2.66%
JUEMX
VTIVX