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VHIAX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VHIAXSPY
YTD Return32.25%27.16%
1Y Return42.48%37.73%
3Y Return (Ann)2.75%10.28%
5Y Return (Ann)12.36%15.97%
10Y Return (Ann)10.66%13.38%
Sharpe Ratio2.603.25
Sortino Ratio3.374.32
Omega Ratio1.471.61
Calmar Ratio1.844.74
Martin Ratio13.5221.51
Ulcer Index3.34%1.85%
Daily Std Dev17.32%12.20%
Max Drawdown-53.94%-55.19%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between VHIAX and SPY is 0.90, 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

VHIAX vs. SPY - Performance Comparison

In the year-to-date period, VHIAX achieves a 32.25% return, which is significantly higher than SPY's 27.16% return. Over the past 10 years, VHIAX has underperformed SPY with an annualized return of 10.66%, while SPY has yielded a comparatively higher 13.38% annualized return. 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
16.87%
15.14%
VHIAX
SPY

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VHIAX vs. SPY - Expense Ratio Comparison

VHIAX has a 1.04% expense ratio, which is higher than SPY's 0.09% expense ratio.


VHIAX
JPMorgan Growth Advantage Fund
Expense ratio chart for VHIAX: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

VHIAX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Growth Advantage Fund (VHIAX) and SPDR S&P 500 ETF (SPY). 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.


VHIAX
Sharpe ratio
The chart of Sharpe ratio for VHIAX, currently valued at 2.60, compared to the broader market0.002.004.002.60
Sortino ratio
The chart of Sortino ratio for VHIAX, currently valued at 3.37, compared to the broader market0.005.0010.003.37
Omega ratio
The chart of Omega ratio for VHIAX, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for VHIAX, currently valued at 1.83, compared to the broader market0.005.0010.0015.0020.0025.001.84
Martin ratio
The chart of Martin ratio for VHIAX, currently valued at 13.52, compared to the broader market0.0020.0040.0060.0080.00100.0013.52
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.25, compared to the broader market0.002.004.003.25
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.32, compared to the broader market0.005.0010.004.32
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.61, compared to the broader market1.002.003.004.001.61
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.74, compared to the broader market0.005.0010.0015.0020.0025.004.74
Martin ratio
The chart of Martin ratio for SPY, currently valued at 21.51, compared to the broader market0.0020.0040.0060.0080.00100.0021.51

VHIAX vs. SPY - Sharpe Ratio Comparison

The current VHIAX Sharpe Ratio is 2.60, which is comparable to the SPY Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of VHIAX and SPY, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.60
3.25
VHIAX
SPY

Dividends

VHIAX vs. SPY - Dividend Comparison

VHIAX has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.


TTM20232022202120202019201820172016201520142013
VHIAX
JPMorgan Growth Advantage Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VHIAX vs. SPY - Drawdown Comparison

The maximum VHIAX drawdown since its inception was -53.94%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VHIAX and SPY. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VHIAX
SPY

Volatility

VHIAX vs. SPY - Volatility Comparison

JPMorgan Growth Advantage Fund (VHIAX) has a higher volatility of 5.16% compared to SPDR S&P 500 ETF (SPY) at 3.92%. This indicates that VHIAX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.16%
3.92%
VHIAX
SPY