CVRT vs. JEPQ
Compare and contrast key facts about Calamos Convertible Equity Alternative ETF (CVRT) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ).
CVRT and JEPQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CVRT is an actively managed fund by Calamos. It was launched on Oct 4, 2023. JEPQ is an actively managed fund by JPMorgan Chase. It was launched on May 3, 2022.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CVRT or JEPQ.
Key characteristics
| CVRT | JEPQ | |
|---|---|---|
| YTD Return | 15.84% | 23.39% |
| 1Y Return | 27.82% | 28.15% |
| Sharpe Ratio | 1.97 | 2.38 |
| Sortino Ratio | 2.64 | 3.11 |
| Omega Ratio | 1.34 | 1.49 |
| Calmar Ratio | 3.33 | 2.71 |
| Martin Ratio | 10.45 | 11.74 |
| Ulcer Index | 3.00% | 2.48% |
| Daily Std Dev | 15.90% | 12.20% |
| Max Drawdown | -9.42% | -16.82% |
| Current Drawdown | -1.13% | 0.00% |
Correlation
The correlation between CVRT and JEPQ is 0.69, 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.
Performance
CVRT vs. JEPQ - Performance Comparison
In the year-to-date period, CVRT achieves a 15.84% return, which is significantly lower than JEPQ's 23.39% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CVRT vs. JEPQ - Expense Ratio Comparison
CVRT has a 0.69% expense ratio, which is higher than JEPQ's 0.35% expense ratio.
Risk-Adjusted Performance
CVRT vs. JEPQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible Equity Alternative ETF (CVRT) 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.
Dividends
CVRT vs. JEPQ - Dividend Comparison
CVRT's dividend yield for the trailing twelve months is around 1.50%, less than JEPQ's 9.35% yield.
| TTM | 2023 | 2022 | |
|---|---|---|---|
CVRT Calamos Convertible Equity Alternative ETF | 1.50% | 0.32% | 0.00% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 9.35% | 10.02% | 9.44% |
Drawdowns
CVRT vs. JEPQ - Drawdown Comparison
The maximum CVRT drawdown since its inception was -9.42%, smaller than the maximum JEPQ drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for CVRT and JEPQ. For additional features, visit the drawdowns tool.
Volatility
CVRT vs. JEPQ - Volatility Comparison
Calamos Convertible Equity Alternative ETF (CVRT) has a higher volatility of 4.52% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 3.33%. This indicates that CVRT'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.