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

Key characteristics


JUSTUSSG
YTD Return20.55%20.69%
1Y Return32.45%33.33%
3Y Return (Ann)7.85%7.71%
5Y Return (Ann)14.68%15.51%
Sharpe Ratio2.852.65
Sortino Ratio3.773.53
Omega Ratio1.531.50
Calmar Ratio3.813.68
Martin Ratio17.3015.72
Ulcer Index1.95%2.21%
Daily Std Dev11.83%13.09%
Max Drawdown-33.83%-34.10%
Current Drawdown-2.83%-2.43%

Correlation

-0.50.00.51.01.0

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.

Performance

JUST vs. USSG - Performance Comparison

The year-to-date returns for both investments are quite close, with JUST having a 20.55% return and USSG slightly higher at 20.69%. 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
10.09%
10.16%
JUST
USSG

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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.


JUST
Sharpe ratio
The chart of Sharpe ratio for JUST, currently valued at 2.85, compared to the broader market0.002.004.002.85
Sortino ratio
The chart of Sortino ratio for JUST, currently valued at 3.77, compared to the broader market0.005.0010.003.77
Omega ratio
The chart of Omega ratio for JUST, currently valued at 1.53, compared to the broader market1.001.502.002.503.003.501.53
Calmar ratio
The chart of Calmar ratio for JUST, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for JUST, currently valued at 17.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.30
USSG
Sharpe ratio
The chart of Sharpe ratio for USSG, currently valued at 2.65, compared to the broader market0.002.004.002.65
Sortino ratio
The chart of Sortino ratio for USSG, currently valued at 3.53, compared to the broader market0.005.0010.003.53
Omega ratio
The chart of Omega ratio for USSG, currently valued at 1.50, compared to the broader market1.001.502.002.503.003.501.50
Calmar ratio
The chart of Calmar ratio for USSG, currently valued at 3.68, compared to the broader market0.005.0010.0015.003.68
Martin ratio
The chart of Martin ratio for USSG, currently valued at 15.72, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.72

JUST vs. USSG - Sharpe Ratio Comparison

The current JUST Sharpe Ratio is 2.85, which is comparable to the USSG Sharpe Ratio of 2.65. 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.85
2.65
JUST
USSG

Dividends

JUST vs. USSG - Dividend Comparison

JUST's dividend yield for the trailing twelve months is around 1.17%, less than USSG's 1.23% yield.


TTM202320222021202020192018
JUST
Goldman Sachs JUST U.S. Large Cap Equity ETF
1.17%1.37%1.51%1.07%1.36%1.86%1.11%
USSG
Xtrackers MSCI USA ESG Leaders Equity ETF
1.23%1.60%1.52%1.13%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%JuneJulyAugustSeptemberOctoberNovember
-2.83%
-2.43%
JUST
USSG

Volatility

JUST vs. USSG - Volatility Comparison

Goldman Sachs JUST U.S. Large Cap Equity ETF (JUST) and Xtrackers MSCI USA ESG Leaders Equity ETF (USSG) have volatilities of 3.03% and 3.14%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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
3.03%
3.14%
JUST
USSG