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SMMV vs. JPST
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SMMV vs. JPST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV) and JPMorgan Ultra-Short Income ETF (JPST). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.37%
2.85%
SMMV
JPST

Returns By Period

In the year-to-date period, SMMV achieves a 21.24% return, which is significantly higher than JPST's 5.04% return.


SMMV

YTD

21.24%

1M

2.44%

6M

14.37%

1Y

27.86%

5Y (annualized)

5.95%

10Y (annualized)

N/A

JPST

YTD

5.04%

1M

0.27%

6M

2.85%

1Y

6.05%

5Y (annualized)

2.76%

10Y (annualized)

N/A

Key characteristics


SMMVJPST
Sharpe Ratio2.3711.59
Sortino Ratio3.4528.78
Omega Ratio1.436.50
Calmar Ratio2.5261.51
Martin Ratio17.10356.85
Ulcer Index1.65%0.02%
Daily Std Dev11.90%0.53%
Max Drawdown-38.77%-3.28%
Current Drawdown-2.89%0.00%

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SMMV vs. JPST - Expense Ratio Comparison

SMMV has a 0.20% expense ratio, which is higher than JPST's 0.18% 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%.


SMMV
iShares MSCI USA Small-Cap Min Vol Factor ETF
Expense ratio chart for SMMV: 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 JPST: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Correlation

-0.50.00.51.00.1

The correlation between SMMV and JPST is 0.06, 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.

Risk-Adjusted Performance

SMMV vs. JPST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV) and JPMorgan Ultra-Short Income ETF (JPST). 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 SMMV, currently valued at 2.37, compared to the broader market0.002.004.002.3711.59
The chart of Sortino ratio for SMMV, currently valued at 3.45, compared to the broader market-2.000.002.004.006.008.0010.003.4528.78
The chart of Omega ratio for SMMV, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.436.50
The chart of Calmar ratio for SMMV, currently valued at 2.52, compared to the broader market0.005.0010.0015.002.5261.51
The chart of Martin ratio for SMMV, currently valued at 17.10, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.10356.85
SMMV
JPST

The current SMMV Sharpe Ratio is 2.37, which is lower than the JPST Sharpe Ratio of 11.59. The chart below compares the historical Sharpe Ratios of SMMV and JPST, 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 Ratio0.002.004.006.008.0010.0012.00JuneJulyAugustSeptemberOctoberNovember
2.37
11.59
SMMV
JPST

Dividends

SMMV vs. JPST - Dividend Comparison

SMMV's dividend yield for the trailing twelve months is around 1.51%, less than JPST's 5.26% yield.


TTM20232022202120202019201820172016
SMMV
iShares MSCI USA Small-Cap Min Vol Factor ETF
1.51%1.78%1.67%1.07%1.39%1.65%1.72%1.62%0.79%
JPST
JPMorgan Ultra-Short Income ETF
5.26%4.80%1.83%0.73%1.43%2.68%2.07%0.96%0.00%

Drawdowns

SMMV vs. JPST - Drawdown Comparison

The maximum SMMV drawdown since its inception was -38.77%, which is greater than JPST's maximum drawdown of -3.28%. Use the drawdown chart below to compare losses from any high point for SMMV and JPST. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.89%
0
SMMV
JPST

Volatility

SMMV vs. JPST - Volatility Comparison

iShares MSCI USA Small-Cap Min Vol Factor ETF (SMMV) has a higher volatility of 4.96% compared to JPMorgan Ultra-Short Income ETF (JPST) at 0.16%. This indicates that SMMV's price experiences larger fluctuations and is considered to be riskier than JPST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.96%
0.16%
SMMV
JPST