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

Key characteristics


BALIJEPQ
YTD Return24.88%23.36%
1Y Return32.97%29.05%
Sharpe Ratio3.262.38
Sortino Ratio4.343.11
Omega Ratio1.631.49
Calmar Ratio4.242.71
Martin Ratio19.5811.74
Ulcer Index1.68%2.48%
Daily Std Dev10.08%12.20%
Max Drawdown-7.74%-16.82%
Current Drawdown-0.17%0.00%

Correlation

-0.50.00.51.00.9

The correlation between BALI and JEPQ is 0.87, 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

BALI vs. JEPQ - Performance Comparison

In the year-to-date period, BALI achieves a 24.88% return, which is significantly higher than JEPQ's 23.36% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.47%
11.34%
BALI
JEPQ

Compare stocks, funds, or ETFs

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


BALI vs. JEPQ - Expense Ratio Comparison

Both BALI and JEPQ have an expense ratio of 0.35%.


BALI
Blackrock Advantage Large Cap Income ETF
Expense ratio chart for BALI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for JEPQ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

BALI vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Blackrock Advantage Large Cap Income ETF (BALI) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). 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.


BALI
Sharpe ratio
The chart of Sharpe ratio for BALI, currently valued at 3.26, compared to the broader market-2.000.002.004.003.26
Sortino ratio
The chart of Sortino ratio for BALI, currently valued at 4.34, compared to the broader market-2.000.002.004.006.008.0010.0012.004.34
Omega ratio
The chart of Omega ratio for BALI, currently valued at 1.63, compared to the broader market1.001.502.002.503.001.63
Calmar ratio
The chart of Calmar ratio for BALI, currently valued at 4.24, compared to the broader market0.005.0010.0015.004.24
Martin ratio
The chart of Martin ratio for BALI, currently valued at 19.58, compared to the broader market0.0020.0040.0060.0080.00100.0019.58
JEPQ
Sharpe ratio
The chart of Sharpe ratio for JEPQ, currently valued at 2.38, compared to the broader market-2.000.002.004.002.38
Sortino ratio
The chart of Sortino ratio for JEPQ, currently valued at 3.11, compared to the broader market-2.000.002.004.006.008.0010.0012.003.11
Omega ratio
The chart of Omega ratio for JEPQ, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for JEPQ, currently valued at 2.71, compared to the broader market0.005.0010.0015.002.71
Martin ratio
The chart of Martin ratio for JEPQ, currently valued at 11.74, compared to the broader market0.0020.0040.0060.0080.00100.0011.74

BALI vs. JEPQ - Sharpe Ratio Comparison

The current BALI Sharpe Ratio is 3.26, which is higher than the JEPQ Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of BALI and JEPQ, 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 Ratio2.002.503.003.50Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10
3.26
2.38
BALI
JEPQ

Dividends

BALI vs. JEPQ - Dividend Comparison

BALI's dividend yield for the trailing twelve months is around 6.68%, less than JEPQ's 9.35% yield.


TTM20232022
BALI
Blackrock Advantage Large Cap Income ETF
6.68%2.13%0.00%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.35%10.02%9.44%

Drawdowns

BALI vs. JEPQ - Drawdown Comparison

The maximum BALI drawdown since its inception was -7.74%, smaller than the maximum JEPQ drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for BALI and JEPQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.17%
0
BALI
JEPQ

Volatility

BALI vs. JEPQ - Volatility Comparison

Blackrock Advantage Large Cap Income ETF (BALI) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) have volatilities of 3.49% and 3.39%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%8.00%JuneJulyAugustSeptemberOctoberNovember
3.49%
3.39%
BALI
JEPQ