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

Correlation

The correlation between EFR and JEPI is 0.30, 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.


-0.50.00.51.00.3

Performance

EFR vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eaton Vance Senior Floating-Rate Trust (EFR) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

60.00%65.00%70.00%75.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
71.99%
72.84%
EFR
JEPI

Key characteristics

Sharpe Ratio

EFR:

1.48

JEPI:

1.92

Sortino Ratio

EFR:

1.95

JEPI:

2.60

Omega Ratio

EFR:

1.28

JEPI:

1.38

Calmar Ratio

EFR:

2.13

JEPI:

3.11

Martin Ratio

EFR:

9.07

JEPI:

12.63

Ulcer Index

EFR:

1.49%

JEPI:

1.13%

Daily Std Dev

EFR:

9.16%

JEPI:

7.48%

Max Drawdown

EFR:

-60.55%

JEPI:

-13.71%

Current Drawdown

EFR:

-1.30%

JEPI:

-3.69%

Returns By Period

In the year-to-date period, EFR achieves a 11.56% return, which is significantly lower than JEPI's 13.12% return.


EFR

YTD

11.56%

1M

0.15%

6M

3.34%

1Y

13.80%

5Y*

7.71%

10Y*

7.09%

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

EFR vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Senior Floating-Rate Trust (EFR) 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 EFR, currently valued at 1.48, compared to the broader market-4.00-2.000.002.001.481.92
The chart of Sortino ratio for EFR, currently valued at 1.95, compared to the broader market-4.00-2.000.002.004.001.952.60
The chart of Omega ratio for EFR, currently valued at 1.28, compared to the broader market0.501.001.502.001.281.38
The chart of Calmar ratio for EFR, currently valued at 2.13, compared to the broader market0.002.004.006.002.133.11
The chart of Martin ratio for EFR, currently valued at 9.07, compared to the broader market-5.000.005.0010.0015.0020.0025.009.0712.63
EFR
JEPI

The current EFR Sharpe Ratio is 1.48, which is comparable to the JEPI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of EFR 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.48
1.92
EFR
JEPI

Dividends

EFR vs. JEPI - Dividend Comparison

EFR's dividend yield for the trailing twelve months is around 9.81%, more than JEPI's 7.30% yield.


TTM20232022202120202019201820172016201520142013
EFR
Eaton Vance Senior Floating-Rate Trust
9.81%9.42%9.63%5.60%5.87%7.34%7.46%5.43%5.82%7.59%6.14%7.03%
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

EFR vs. JEPI - Drawdown Comparison

The maximum EFR drawdown since its inception was -60.55%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for EFR and JEPI. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.30%
-3.69%
EFR
JEPI

Volatility

EFR vs. JEPI - Volatility Comparison

The current volatility for Eaton Vance Senior Floating-Rate Trust (EFR) is 2.52%, while JPMorgan Equity Premium Income ETF (JEPI) has a volatility of 2.90%. This indicates that EFR experiences smaller price fluctuations and is considered to be less risky 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%JulyAugustSeptemberOctoberNovemberDecember
2.52%
2.90%
EFR
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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