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JUST vs. USSG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JUST and USSG 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.


-0.50.00.51.01.0

Performance

JUST vs. USSG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs JUST U.S. Large Cap Equity ETF (JUST) and Xtrackers MSCI USA ESG Leaders Equity ETF (USSG). The values are adjusted to include any dividend payments, if applicable.

100.00%110.00%120.00%130.00%140.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
133.04%
140.58%
JUST
USSG

Key characteristics

Sharpe Ratio

JUST:

2.06

USSG:

1.84

Sortino Ratio

JUST:

2.79

USSG:

2.50

Omega Ratio

JUST:

1.38

USSG:

1.34

Calmar Ratio

JUST:

2.86

USSG:

2.67

Martin Ratio

JUST:

12.58

USSG:

11.00

Ulcer Index

JUST:

2.01%

USSG:

2.29%

Daily Std Dev

JUST:

12.29%

USSG:

13.73%

Max Drawdown

JUST:

-33.83%

USSG:

-34.10%

Current Drawdown

JUST:

-2.24%

USSG:

-2.94%

Returns By Period

The year-to-date returns for both stocks are quite close, with JUST having a 25.34% return and USSG slightly lower at 25.27%.


JUST

YTD

25.34%

1M

-0.91%

6M

8.40%

1Y

25.02%

5Y*

14.23%

10Y*

N/A

USSG

YTD

25.27%

1M

-0.91%

6M

7.92%

1Y

25.13%

5Y*

14.98%

10Y*

N/A

*Annualized

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JUST vs. USSG - Expense Ratio Comparison

JUST has a 0.20% expense ratio, which is higher than USSG's 0.10% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


JUST
Goldman Sachs JUST U.S. Large Cap Equity ETF
Expense ratio chart for JUST: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for USSG: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

JUST vs. USSG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs JUST U.S. Large Cap Equity ETF (JUST) and Xtrackers MSCI USA ESG Leaders Equity ETF (USSG). 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 JUST, currently valued at 2.06, compared to the broader market0.002.004.002.061.84
The chart of Sortino ratio for JUST, currently valued at 2.79, compared to the broader market-2.000.002.004.006.008.0010.002.792.50
The chart of Omega ratio for JUST, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.34
The chart of Calmar ratio for JUST, currently valued at 2.86, compared to the broader market0.005.0010.0015.002.862.67
The chart of Martin ratio for JUST, currently valued at 12.58, compared to the broader market0.0020.0040.0060.0080.00100.0012.5811.00
JUST
USSG

The current JUST Sharpe Ratio is 2.06, which is comparable to the USSG Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of JUST and USSG, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.06
1.84
JUST
USSG

Dividends

JUST vs. USSG - Dividend Comparison

JUST's dividend yield for the trailing twelve months is around 1.09%, less than USSG's 1.11% yield.


TTM202320222021202020192018
JUST
Goldman Sachs JUST U.S. Large Cap Equity ETF
1.09%1.37%1.51%1.07%1.36%1.86%1.10%
USSG
Xtrackers MSCI USA ESG Leaders Equity ETF
1.11%1.60%1.52%1.14%1.42%1.21%0.00%

Drawdowns

JUST vs. USSG - Drawdown Comparison

The maximum JUST drawdown since its inception was -33.83%, roughly equal to the maximum USSG drawdown of -34.10%. Use the drawdown chart below to compare losses from any high point for JUST and USSG. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.24%
-2.94%
JUST
USSG

Volatility

JUST vs. USSG - Volatility Comparison

The current volatility for Goldman Sachs JUST U.S. Large Cap Equity ETF (JUST) is 3.63%, while Xtrackers MSCI USA ESG Leaders Equity ETF (USSG) has a volatility of 4.41%. This indicates that JUST experiences smaller price fluctuations and is considered to be less risky than USSG 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%JulyAugustSeptemberOctoberNovemberDecember
3.63%
4.41%
JUST
USSG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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