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BMEZ vs. JEPI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BMEZ and JEPI is 0.52, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

BMEZ vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BlackRock Health Sciences Trust II (BMEZ) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
10.17%
72.84%
BMEZ
JEPI

Key characteristics

Sharpe Ratio

BMEZ:

0.97

JEPI:

1.92

Sortino Ratio

BMEZ:

1.44

JEPI:

2.60

Omega Ratio

BMEZ:

1.17

JEPI:

1.38

Calmar Ratio

BMEZ:

0.36

JEPI:

3.11

Martin Ratio

BMEZ:

3.44

JEPI:

12.63

Ulcer Index

BMEZ:

4.05%

JEPI:

1.13%

Daily Std Dev

BMEZ:

14.37%

JEPI:

7.48%

Max Drawdown

BMEZ:

-46.05%

JEPI:

-13.71%

Current Drawdown

BMEZ:

-30.62%

JEPI:

-3.69%

Returns By Period

In the year-to-date period, BMEZ achieves a 12.14% return, which is significantly lower than JEPI's 13.12% return.


BMEZ

YTD

12.14%

1M

-0.72%

6M

5.44%

1Y

12.68%

5Y*

N/A

10Y*

N/A

JEPI

YTD

13.12%

1M

-1.50%

6M

6.56%

1Y

13.86%

5Y*

N/A

10Y*

N/A

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Risk-Adjusted Performance

BMEZ vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Health Sciences Trust II (BMEZ) and JPMorgan Equity Premium Income ETF (JEPI). 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 BMEZ, currently valued at 0.97, compared to the broader market-4.00-2.000.002.000.971.92
The chart of Sortino ratio for BMEZ, currently valued at 1.44, compared to the broader market-4.00-2.000.002.004.001.442.60
The chart of Omega ratio for BMEZ, currently valued at 1.17, compared to the broader market0.501.001.502.001.171.38
The chart of Calmar ratio for BMEZ, currently valued at 0.36, compared to the broader market0.002.004.006.000.363.11
The chart of Martin ratio for BMEZ, currently valued at 3.44, compared to the broader market-5.000.005.0010.0015.0020.0025.003.4412.63
BMEZ
JEPI

The current BMEZ Sharpe Ratio is 0.97, which is lower than the JEPI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of BMEZ and JEPI, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.97
1.92
BMEZ
JEPI

Dividends

BMEZ vs. JEPI - Dividend Comparison

BMEZ's dividend yield for the trailing twelve months is around 11.47%, more than JEPI's 7.30% yield.


TTM2023202220212020
BMEZ
BlackRock Health Sciences Trust II
11.47%10.80%11.28%6.75%3.14%
JEPI
JPMorgan Equity Premium Income ETF
7.30%8.40%11.67%6.59%5.79%

Drawdowns

BMEZ vs. JEPI - Drawdown Comparison

The maximum BMEZ drawdown since its inception was -46.05%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for BMEZ and JEPI. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-30.62%
-3.69%
BMEZ
JEPI

Volatility

BMEZ vs. JEPI - Volatility Comparison

BlackRock Health Sciences Trust II (BMEZ) has a higher volatility of 5.00% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.90%. This indicates that BMEZ's price experiences larger fluctuations and is considered to be riskier than JEPI 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%JulyAugustSeptemberOctoberNovemberDecember
5.00%
2.90%
BMEZ
JEPI
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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