PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
XVV vs. JHEQX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

XVV vs. JHEQX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Screened S&P 500 ETF (XVV) and JPMorgan Hedged Equity Fund Class I (JHEQX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.31%
10.66%
XVV
JHEQX

Returns By Period

In the year-to-date period, XVV achieves a 26.15% return, which is significantly higher than JHEQX's 18.88% return.


XVV

YTD

26.15%

1M

1.11%

6M

12.20%

1Y

32.65%

5Y (annualized)

N/A

10Y (annualized)

N/A

JHEQX

YTD

18.88%

1M

0.75%

6M

10.40%

1Y

20.55%

5Y (annualized)

10.81%

10Y (annualized)

8.62%

Key characteristics


XVVJHEQX
Sharpe Ratio2.512.68
Sortino Ratio3.343.77
Omega Ratio1.461.57
Calmar Ratio3.674.30
Martin Ratio16.0419.17
Ulcer Index2.10%1.09%
Daily Std Dev13.40%7.75%
Max Drawdown-27.20%-18.85%
Current Drawdown-1.33%-0.89%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


XVV vs. JHEQX - Expense Ratio Comparison

XVV has a 0.08% expense ratio, which is lower than JHEQX's 0.58% expense ratio.


JHEQX
JPMorgan Hedged Equity Fund Class I
Expense ratio chart for JHEQX: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for XVV: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.00.9

The correlation between XVV and JHEQX is 0.93, 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.

Risk-Adjusted Performance

XVV vs. JHEQX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Screened S&P 500 ETF (XVV) and JPMorgan Hedged Equity Fund Class I (JHEQX). 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 XVV, currently valued at 2.51, compared to the broader market0.002.004.006.002.512.68
The chart of Sortino ratio for XVV, currently valued at 3.34, compared to the broader market-2.000.002.004.006.008.0010.0012.003.343.77
The chart of Omega ratio for XVV, currently valued at 1.46, compared to the broader market0.501.001.502.002.503.001.461.57
The chart of Calmar ratio for XVV, currently valued at 3.67, compared to the broader market0.005.0010.0015.003.674.30
The chart of Martin ratio for XVV, currently valued at 16.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.0419.17
XVV
JHEQX

The current XVV Sharpe Ratio is 2.51, which is comparable to the JHEQX Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of XVV and JHEQX, 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
2.51
2.68
XVV
JHEQX

Dividends

XVV vs. JHEQX - Dividend Comparison

XVV's dividend yield for the trailing twelve months is around 1.00%, more than JHEQX's 0.78% yield.


TTM2023202220212020201920182017201620152014
XVV
iShares ESG Screened S&P 500 ETF
1.00%1.25%1.57%0.81%0.31%0.00%0.00%0.00%0.00%0.00%0.00%
JHEQX
JPMorgan Hedged Equity Fund Class I
0.78%0.98%0.98%0.71%1.11%1.11%1.13%0.99%1.35%1.22%1.07%

Drawdowns

XVV vs. JHEQX - Drawdown Comparison

The maximum XVV drawdown since its inception was -27.20%, which is greater than JHEQX's maximum drawdown of -18.85%. Use the drawdown chart below to compare losses from any high point for XVV and JHEQX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.33%
-0.89%
XVV
JHEQX

Volatility

XVV vs. JHEQX - Volatility Comparison

iShares ESG Screened S&P 500 ETF (XVV) has a higher volatility of 4.33% compared to JPMorgan Hedged Equity Fund Class I (JHEQX) at 2.54%. This indicates that XVV's price experiences larger fluctuations and is considered to be riskier than JHEQX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.33%
2.54%
XVV
JHEQX