PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FDUS vs. JEPQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FDUS and JEPQ is 0.32, 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

FDUS vs. JEPQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidus Investment Corporation (FDUS) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). The values are adjusted to include any dividend payments, if applicable.

20.00%25.00%30.00%35.00%40.00%45.00%50.00%55.00%JulyAugustSeptemberOctoberNovemberDecember
40.29%
50.44%
FDUS
JEPQ

Key characteristics

Sharpe Ratio

FDUS:

1.26

JEPQ:

2.17

Sortino Ratio

FDUS:

1.94

JEPQ:

2.81

Omega Ratio

FDUS:

1.23

JEPQ:

1.44

Calmar Ratio

FDUS:

2.07

JEPQ:

2.54

Martin Ratio

FDUS:

6.16

JEPQ:

10.92

Ulcer Index

FDUS:

2.56%

JEPQ:

2.49%

Daily Std Dev

FDUS:

12.57%

JEPQ:

12.56%

Max Drawdown

FDUS:

-69.51%

JEPQ:

-16.82%

Current Drawdown

FDUS:

-1.42%

JEPQ:

-0.67%

Returns By Period

In the year-to-date period, FDUS achieves a 14.60% return, which is significantly lower than JEPQ's 26.73% return.


FDUS

YTD

14.60%

1M

1.02%

6M

10.59%

1Y

15.77%

5Y*

18.83%

10Y*

14.69%

JEPQ

YTD

26.73%

1M

2.86%

6M

10.59%

1Y

27.14%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

FDUS vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidus Investment Corporation (FDUS) 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 FDUS, currently valued at 1.26, compared to the broader market-4.00-2.000.002.001.262.17
The chart of Sortino ratio for FDUS, currently valued at 1.94, compared to the broader market-4.00-2.000.002.004.001.942.81
The chart of Omega ratio for FDUS, currently valued at 1.23, compared to the broader market0.501.001.502.001.231.44
The chart of Calmar ratio for FDUS, currently valued at 2.07, compared to the broader market0.002.004.006.002.072.54
The chart of Martin ratio for FDUS, currently valued at 6.16, compared to the broader market-5.000.005.0010.0015.0020.0025.006.1610.92
FDUS
JEPQ

The current FDUS Sharpe Ratio is 1.26, which is lower than the JEPQ Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of FDUS 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 Ratio0.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.26
2.17
FDUS
JEPQ

Dividends

FDUS vs. JEPQ - Dividend Comparison

FDUS's dividend yield for the trailing twelve months is around 8.99%, less than JEPQ's 9.33% yield.


TTM20232022202120202019201820172016201520142013
FDUS
Fidus Investment Corporation
8.99%14.63%10.51%8.90%10.15%8.17%13.69%10.54%10.17%11.66%11.51%8.92%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.33%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FDUS vs. JEPQ - Drawdown Comparison

The maximum FDUS drawdown since its inception was -69.51%, which is greater than JEPQ's maximum drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for FDUS and JEPQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.42%
-0.67%
FDUS
JEPQ

Volatility

FDUS vs. JEPQ - Volatility Comparison

Fidus Investment Corporation (FDUS) has a higher volatility of 3.89% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 2.90%. This indicates that FDUS'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.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.89%
2.90%
FDUS
JEPQ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab