ETF Research Center

The JPMorgan Diversified Return U.S. Small Cap Equity ETF tracks a multi-factor index comprised of US small-cap stocks. The index uses a combination of fundamental and technical factors for stock selection, and inverse volatility for weighting.

FUND BASICS
Category	US Equities
Fund Sponsor	JPMorgan
Website	am.jpmorgan.com
Inception date	Nov 15, 2016
Assets (mns)	$161
Currency	USD
Expense ratio	29 bp
Distributions	Annually

FUND STRUCTURE
Regulation	Open-Ended Fund
Custodian
Weighting	Volatility
Index replication
Uses derivatives	No
Options available	No

SECTOR BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents	825
Wgt avg mkt cap (mns)	$2,287
Large cap (>$10bn)	0.0%
Mid cap ($2-10bn)	53.4%
Small cap (<$2bn)	46.6%
Developed mkts	100.0%
Emerging mkts	0.0%

TOP TEN HOLDINGS
Total	4.7 %
EL PASO ELECTRIC CO	0.8 %
ORMAT TECHNOLOGIES INC	0.7 %
AMERICAN STATES WATER CO	0.5 %
WINNEBAGO INDUSTRIES	0.4 %
AVISTA CORP	0.4 %
FOX FACTORY HOLDING CORP	0.4 %
LANCASTER COLONY CORP	0.4 %
CALIFORNIA WATER SERVICE GRP	0.4 %
ARROWHEAD PHARMACEUTICALS, INC.	0.4 %
ONE GAS INC	0.4 %

TOP COUNTRY EXPOSURE
	UNITED STATES	96.6 %
	BERMUDA	1.3 %
	BRITAIN	0.4 %
	PUERTO RICO	0.4 %
	CANADA	0.3 %
	LUXEMBOURG	0.2 %
	CAYMAN ISLANDS	0.2 %
	NETHERLANDS	0.1 %
	IRELAND	0.1 %
	MONACO	0.1 %

HISTORICAL PERFORMANCE info

	Custom date range	Compare to
	thru

Standardized Annual Returns (thru November 30)
Year-to-date	1 year	5 years	10 years	Since Incep.
19.1%	6.3%	--	--	8.5%

Market Correlations
versus...	Beta	R-squared
S&P500	1.05	76%
MSCI EAFE	0.92	49%
MSCI Emg. Mkts.	0.57	30%

Technical Indicators
Recent close	$31.58
30d moving avg.	$31.33
Annualized volatility	14.5%
Short interest (ETF)	0.2%
Relative strength (RSI)	59

Liquidity measures
Avg. volume (thou.)	36
Turnover	0.7%
Bid/Ask (% of price)	0.19%
ADV underlying (mns)	$14,161

Distributions

FINDING ALTERNATIVE FUNDS

Below is a list of 20 potential alternatives to the JPMorgan Diversified Return U.S. Small Cap Equity ETF based on the alternatives' overlap in portfolio holdings with JPSE. Consider funds with lower expense ratios and/or higher ALTAR Score™ ratings as possible alternatives.

Benchmark ticker:

JPSE

Expense:

29 bp

ALTAR Score™:

4.1%

ALTERNATIVE ETFs BASED ON OVERLAP WITH JPSE
Ticker	Fund Name	Overlap¹ vs JPSE (%)	Expense ratio (bp)	Savings vs JPSE (bp)	ALTAR Score™ (%)	ALTAR vs JPSE (%)
IWM	iShares Russell 2000	57.6	19	10	3.6	-0.6
VTWO	Vanguard Russell 2000	56.5	15	14	3.6	-0.5
GSSC	Goldman Sachs Activebeta U.S. Small Cap Equity	54.4	20	9	5.3	+1.2
IJR	iShares Core S&P Small-Cap	47.1	7	22	5.8	+1.6
SLY	SPDR S&P 600 Small Cap	47.1	15	14	5.7	+1.6
VIOO	Vanguard S&P Small-Cap 600	46.7	15	14	5.8	+1.6
SCHA	Schwab U.S. Small-Cap	44.4	4	25	5.0	+0.8
ISMD	Inspire Small/Mid Cap Impact	44.3	61	-32	4.6	+0.5
EWSC	Invesco S&P Small Cap 600 Equal Weight	44.1	40	-11	3.0	-1.2
SPSM	SPDR Portfolio Small Cap	44.1	5	24	4.8	+0.6
IWO	iShares Russell 2000 Growth	43.9	24	5	0.9	-3.3
PRFZ	Invesco FTSE-RAFI Small-Mid 1500	43.8	39	-10	4.6	+0.4
VTWG	Vanguard Russell 2000 Growth	43.5	20	9	0.9	-3.3
IWN	iShares Russell 2000 Value	43.3	24	5	6.2	+2.1
VTWV	Vanguard Russell 2000 Value	43.0	20	9	6.3	+2.1
IUSS	Invesco Strategic US Small Company	39.9	23	6	6.2	+2.1
FNDA	Schwab Fundamental Small Cap	39.5	25	4	6.0	+1.9
FLQS	Franklin LibertyQ U.S. Small Cap Equity	37.2	35	-6	6.2	+2.1
CSF	Compass EMP US Discovery 500 Enhanced Vol.	37.0	35	-6	7.2	+3.0
CSA	Victory CEMP US Small Cap Volatility Wtd	37.0	35	-6	7.1	+3.0

¹Overlap is the percentage of holdings by weight that are identical. For example, if Fund A has a 2% position in Apple, Inc. (AAPL) and Fund B has a 5% position, their overlapping position in AAPL is 2%.

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RESULTS & ESTIMATES

	2014	2015	2016	2017	2018	2019E	2020E
Sales per share	**	**	**	**	**	**	**
Earnings per share	**	**	**	**	**	**	**
Dividends per share	**	**	**	**	**	**	**
Book value per share	**	**	**	**	**	**	**

Sales per share growth		**%	**%	**%	**%	**%	**%
EPS growth		**%	**%	**%	**%	**%	**%

Sales per share growth		**%	**%	**%	**%	**%	**%
EPS growth		**%	**%	**%	**%	**%	**%

OTHER FUNDAMENTAL METRICS

Long term EPS growth est.	**%		Debt-to-equity	**x
Asset turnover	**%		Assets-to-equity	**x

Return on equity

Revision activity*

*Six months ago = 100

Net margins

Compound annual growth rates

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VALUATION METRICS

	2018	2019E	2020E
Price-to-sales	**	**	**
Price-to-earnings	**	**	**
Price-to-cash flow	**	**	**
Price-to-growth	**	**	**
Price-to-book value	**	**	**
Yield	**	**	**

Historical valuation trends

Forward multiple:	JPMorgan Diversified Return U.S. Small Cap Equity
Relative to:	S&P500	MSCI EAFE	MSCI Emg. Mkts.	Other ETF:

UNDERWEIGHT

Below average appreciation potential. A rating of UNDERWEIGHT is assigned to ETFs with ALTAR Scores in the 2nd quintile (ranking higher than only 20%-40%) of their category. Typically, funds in this category consist of stocks trading at relatively expensive valuations and/or having below-average fundamentals.

ALTAR Score™

Calculation of ALTAR Score™
Avg. Return on Equity	7.8	%
Divided by: Fwd. P/BV	1.8	x
Less: Expense ratio	29	bp
Equals: ALTAR Score	4.1	%

More information on ALTAR Score™

MODERN PORTFOLIO THEORY info

CONSENSUS RECOMMENDATIONS: FUND CONSTITUENTS

COMPOSITE RATING	1.60	CATEGORY AVERAGE	1.56

The composite rating is a weighted average of analysts' consensus recommendations for individual ETF constituents, based on the following scale: BUY = 1; OVERWEIGHT = 1.5, HOLD = 2; UNDERWEIGHT = 2.5; and SELL = 3. Readers are cautioned that because analyst ratings tend to be inflated, the composite score may be more useful as a relative measure of sentiment between funds rather than as a stand-alone recommendation.