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

Key characteristics


JUEMX^GSPC
YTD Return28.58%25.48%
1Y Return35.50%33.14%
3Y Return (Ann)5.38%8.55%
5Y Return (Ann)11.21%13.96%
10Y Return (Ann)6.95%11.39%
Sharpe Ratio2.982.91
Sortino Ratio4.043.88
Omega Ratio1.571.55
Calmar Ratio2.624.20
Martin Ratio20.8418.80
Ulcer Index1.82%1.90%
Daily Std Dev12.75%12.27%
Max Drawdown-34.95%-56.78%
Current Drawdown-0.36%-0.27%

Correlation

-0.50.00.51.01.0

The correlation between JUEMX and ^GSPC 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.

Performance

JUEMX vs. ^GSPC - Performance Comparison

In the year-to-date period, JUEMX achieves a 28.58% return, which is significantly higher than ^GSPC's 25.48% return. Over the past 10 years, JUEMX has underperformed ^GSPC with an annualized return of 6.95%, while ^GSPC has yielded a comparatively higher 11.39% annualized 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%
12.76%
JUEMX
^GSPC

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

JUEMX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Equity Fund R6 (JUEMX) and S&P 500 (^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.


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 2.62, compared to the broader market0.005.0010.0015.0020.002.62
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
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market0.005.0010.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market1.002.003.004.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.0020.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0020.0040.0060.0080.00100.0018.80

JUEMX vs. ^GSPC - Sharpe Ratio Comparison

The current JUEMX Sharpe Ratio is 2.98, which is comparable to the ^GSPC Sharpe Ratio of 2.91. The chart below compares the historical Sharpe Ratios of JUEMX and ^GSPC, 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
2.91
JUEMX
^GSPC

Drawdowns

JUEMX vs. ^GSPC - Drawdown Comparison

The maximum JUEMX drawdown since its inception was -34.95%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for JUEMX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.36%
-0.27%
JUEMX
^GSPC

Volatility

JUEMX vs. ^GSPC - Volatility Comparison

JPMorgan U.S. Equity Fund R6 (JUEMX) has a higher volatility of 4.35% compared to S&P 500 (^GSPC) at 3.75%. This indicates that JUEMX'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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.35%
3.75%
JUEMX
^GSPC