JVAL vs. SPYV
Compare and contrast key facts about JPMorgan U.S. Value Factor ETF (JVAL) and SPDR Portfolio S&P 500 Value ETF (SPYV).
JVAL and SPYV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. JVAL is a passively managed fund by JPMorgan Chase that tracks the performance of the JP Morgan US Value Factor Index. It was launched on Nov 8, 2017. SPYV is a passively managed fund by State Street that tracks the performance of the S&P 500 Value. It was launched on Sep 25, 2000. Both JVAL and SPYV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JVAL or SPYV.
Key characteristics
| JVAL | SPYV | |
|---|---|---|
| YTD Return | 17.33% | 17.06% |
| 1Y Return | 27.96% | 26.12% |
| 3Y Return (Ann) | 7.72% | 11.40% |
| 5Y Return (Ann) | 12.34% | 12.15% |
| Sharpe Ratio | 2.22 | 2.68 |
| Sortino Ratio | 3.05 | 3.74 |
| Omega Ratio | 1.39 | 1.48 |
| Calmar Ratio | 3.76 | 4.88 |
| Martin Ratio | 13.53 | 15.76 |
| Ulcer Index | 2.13% | 1.69% |
| Daily Std Dev | 13.03% | 9.92% |
| Max Drawdown | -40.42% | -58.45% |
| Current Drawdown | -1.77% | -1.16% |
Correlation
The correlation between JVAL and SPYV is 0.88, 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
JVAL vs. SPYV - Performance Comparison
The year-to-date returns for both stocks are quite close, with JVAL having a 17.33% return and SPYV slightly lower at 17.06%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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JVAL vs. SPYV - Expense Ratio Comparison
JVAL has a 0.12% expense ratio, which is higher than SPYV's 0.04% 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%.
Risk-Adjusted Performance
JVAL vs. SPYV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan U.S. Value Factor ETF (JVAL) and SPDR Portfolio S&P 500 Value ETF (SPYV). 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.
Dividends
JVAL vs. SPYV - Dividend Comparison
JVAL's dividend yield for the trailing twelve months is around 2.22%, more than SPYV's 1.96% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JVAL JPMorgan U.S. Value Factor ETF | 2.22% | 2.43% | 2.46% | 1.88% | 2.55% | 2.58% | 2.61% | 0.44% | 0.00% | 0.00% | 0.00% | 0.00% |
SPYV SPDR Portfolio S&P 500 Value ETF | 1.96% | 1.75% | 2.23% | 2.10% | 2.38% | 2.25% | 2.97% | 2.77% | 2.39% | 2.53% | 2.19% | 1.96% |
Drawdowns
JVAL vs. SPYV - Drawdown Comparison
The maximum JVAL drawdown since its inception was -40.42%, smaller than the maximum SPYV drawdown of -58.45%. Use the drawdown chart below to compare losses from any high point for JVAL and SPYV. For additional features, visit the drawdowns tool.
Volatility
JVAL vs. SPYV - Volatility Comparison
JPMorgan U.S. Value Factor ETF (JVAL) has a higher volatility of 4.14% compared to SPDR Portfolio S&P 500 Value ETF (SPYV) at 3.43%. This indicates that JVAL's price experiences larger fluctuations and is considered to be riskier than SPYV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.