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RUSG.L vs. JPM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RUSG.LJPM

Correlation

-0.50.00.51.00.3

The correlation between RUSG.L and JPM is 0.29, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

RUSG.L vs. JPM - Performance Comparison

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%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
12.41%
21.82%
RUSG.L
JPM

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Risk-Adjusted Performance

RUSG.L vs. JPM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Lyxor Russell 1000 Growth UCITS ETF (RUSG.L) and JPMorgan Chase & Co. (JPM). 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.


RUSG.L
Sharpe ratio
The chart of Sharpe ratio for RUSG.L, currently valued at 2.94, compared to the broader market-2.000.002.004.006.002.94
Sortino ratio
The chart of Sortino ratio for RUSG.L, currently valued at 4.35, compared to the broader market0.005.0010.004.35
Omega ratio
The chart of Omega ratio for RUSG.L, currently valued at 1.75, compared to the broader market1.001.502.002.503.001.75
Calmar ratio
The chart of Calmar ratio for RUSG.L, currently valued at 4.70, compared to the broader market0.005.0010.0015.004.70
Martin ratio
The chart of Martin ratio for RUSG.L, currently valued at 23.05, compared to the broader market0.0020.0040.0060.0080.00100.00120.0023.05
JPM
Sharpe ratio
The chart of Sharpe ratio for JPM, currently valued at 2.70, compared to the broader market-2.000.002.004.006.002.70
Sortino ratio
The chart of Sortino ratio for JPM, currently valued at 3.50, compared to the broader market0.005.0010.003.50
Omega ratio
The chart of Omega ratio for JPM, currently valued at 1.55, compared to the broader market1.001.502.002.503.001.55
Calmar ratio
The chart of Calmar ratio for JPM, currently valued at 6.10, compared to the broader market0.005.0010.0015.006.10
Martin ratio
The chart of Martin ratio for JPM, currently valued at 18.56, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.56

RUSG.L vs. JPM - Sharpe Ratio Comparison


Rolling 12-month Sharpe Ratio2.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.94
2.70
RUSG.L
JPM

Dividends

RUSG.L vs. JPM - Dividend Comparison

RUSG.L has not paid dividends to shareholders, while JPM's dividend yield for the trailing twelve months is around 1.92%.


TTM20232022202120202019201820172016201520142013
RUSG.L
Lyxor Russell 1000 Growth UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JPM
JPMorgan Chase & Co.
1.92%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%2.33%

Drawdowns

RUSG.L vs. JPM - Drawdown Comparison


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-3.14%
RUSG.L
JPM

Volatility

RUSG.L vs. JPM - Volatility Comparison

The current volatility for Lyxor Russell 1000 Growth UCITS ETF (RUSG.L) is 0.00%, while JPMorgan Chase & Co. (JPM) has a volatility of 12.53%. This indicates that RUSG.L experiences smaller price fluctuations and is considered to be less risky than JPM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember0
12.53%
RUSG.L
JPM