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BIGZ vs. JEPQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

BIGZ vs. JEPQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Blackrock Innovation & Growth Trust (BIGZ) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.47%
9.77%
BIGZ
JEPQ

Returns By Period

In the year-to-date period, BIGZ achieves a 18.49% return, which is significantly lower than JEPQ's 23.21% return.


BIGZ

YTD

18.49%

1M

5.26%

6M

12.47%

1Y

20.69%

5Y (annualized)

N/A

10Y (annualized)

N/A

JEPQ

YTD

23.21%

1M

3.95%

6M

9.78%

1Y

26.98%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


BIGZJEPQ
Sharpe Ratio1.082.19
Sortino Ratio1.552.86
Omega Ratio1.191.45
Calmar Ratio0.342.52
Martin Ratio3.5810.87
Ulcer Index5.78%2.48%
Daily Std Dev19.18%12.33%
Max Drawdown-67.28%-16.82%
Current Drawdown-51.39%-0.14%

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Correlation

-0.50.00.51.00.7

The correlation between BIGZ and JEPQ is 0.71, 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

BIGZ vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Blackrock Innovation & Growth Trust (BIGZ) 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.


Sharpe ratio
The chart of Sharpe ratio for BIGZ, currently valued at 1.08, compared to the broader market-4.00-2.000.002.004.001.082.19
The chart of Sortino ratio for BIGZ, currently valued at 1.55, compared to the broader market-4.00-2.000.002.004.001.552.86
The chart of Omega ratio for BIGZ, currently valued at 1.19, compared to the broader market0.501.001.502.001.191.45
The chart of Calmar ratio for BIGZ, currently valued at 1.35, compared to the broader market0.002.004.006.001.352.52
The chart of Martin ratio for BIGZ, currently valued at 3.58, compared to the broader market0.0010.0020.0030.003.5810.87
BIGZ
JEPQ

The current BIGZ Sharpe Ratio is 1.08, which is lower than the JEPQ Sharpe Ratio of 2.19. The chart below compares the historical Sharpe Ratios of BIGZ 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 Ratio-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.08
2.19
BIGZ
JEPQ

Dividends

BIGZ vs. JEPQ - Dividend Comparison

BIGZ's dividend yield for the trailing twelve months is around 10.06%, more than JEPQ's 9.36% yield.


TTM202320222021
BIGZ
Blackrock Innovation & Growth Trust
10.06%10.45%14.54%4.81%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.36%10.02%9.44%0.00%

Drawdowns

BIGZ vs. JEPQ - Drawdown Comparison

The maximum BIGZ drawdown since its inception was -67.28%, which is greater than JEPQ's maximum drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for BIGZ and JEPQ. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.14%
BIGZ
JEPQ

Volatility

BIGZ vs. JEPQ - Volatility Comparison

Blackrock Innovation & Growth Trust (BIGZ) has a higher volatility of 5.42% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 3.69%. This indicates that BIGZ's price experiences larger fluctuations and is considered to be riskier than JEPQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.42%
3.69%
BIGZ
JEPQ