Screenshot saved as JPEG result in larger files than PNG

I recently got complaints that my pictures exported with ParaView where too heavy. Initially, I used the png format. I thought switching to jpeg would solved that problem, but surprisingly, it does not, the jpeg file is actually larger than the equivalent png, at identical content and resolution.

to reproduce:

• open ParaView
• Add Cone source and show it
• Save screenshot at 1920x1080 reslution in png, and in jpeg.
• the jpeg file is nearly 3 times larger, which is difficult to understand why.

If I convert the png with and external tool like imagemagick, then I got smaller files.