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

Correlation

The correlation between CLF and JEPI is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

CLF vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cleveland-Cliffs Inc. (CLF) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%250.00%JulyAugustSeptemberOctoberNovemberDecember
99.15%
72.84%
CLF
JEPI

Key characteristics

Sharpe Ratio

CLF:

-1.23

JEPI:

1.92

Sortino Ratio

CLF:

-2.14

JEPI:

2.60

Omega Ratio

CLF:

0.76

JEPI:

1.38

Calmar Ratio

CLF:

-0.61

JEPI:

3.11

Martin Ratio

CLF:

-1.67

JEPI:

12.63

Ulcer Index

CLF:

32.88%

JEPI:

1.13%

Daily Std Dev

CLF:

44.81%

JEPI:

7.48%

Max Drawdown

CLF:

-98.78%

JEPI:

-13.71%

Current Drawdown

CLF:

-90.45%

JEPI:

-3.69%

Returns By Period

In the year-to-date period, CLF achieves a -54.06% return, which is significantly lower than JEPI's 13.12% return.


CLF

YTD

-54.06%

1M

-19.55%

6M

-36.62%

1Y

-55.10%

5Y*

3.13%

10Y*

4.89%

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

CLF vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cleveland-Cliffs Inc. (CLF) 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 CLF, currently valued at -1.23, compared to the broader market-4.00-2.000.002.00-1.231.92
The chart of Sortino ratio for CLF, currently valued at -2.14, compared to the broader market-4.00-2.000.002.004.00-2.142.60
The chart of Omega ratio for CLF, currently valued at 0.76, compared to the broader market0.501.001.502.000.761.38
The chart of Calmar ratio for CLF, currently valued at -0.77, compared to the broader market0.002.004.006.00-0.773.11
The chart of Martin ratio for CLF, currently valued at -1.67, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.6712.63
CLF
JEPI

The current CLF Sharpe Ratio is -1.23, which is lower than the JEPI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of CLF 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-1.23
1.92
CLF
JEPI

Dividends

CLF vs. JEPI - Dividend Comparison

CLF has not paid dividends to shareholders, while JEPI's dividend yield for the trailing twelve months is around 7.30%.


TTM20232022202120202019201820172016201520142013
CLF
Cleveland-Cliffs Inc.
0.00%0.00%0.00%0.00%0.82%3.10%0.00%0.00%0.00%0.00%8.40%2.29%
JEPI
JPMorgan Equity Premium Income ETF
7.30%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

CLF vs. JEPI - Drawdown Comparison

The maximum CLF drawdown since its inception was -98.78%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for CLF and JEPI. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-71.64%
-3.69%
CLF
JEPI

Volatility

CLF vs. JEPI - Volatility Comparison

Cleveland-Cliffs Inc. (CLF) has a higher volatility of 14.95% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.90%. This indicates that CLF'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.


0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
14.95%
2.90%
CLF
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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