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FNGS vs. JEPQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FNGSJEPQ
YTD Return37.92%20.41%
1Y Return65.71%34.37%
Sharpe Ratio2.782.96
Sortino Ratio3.373.81
Omega Ratio1.461.61
Calmar Ratio3.813.36
Martin Ratio12.4814.57
Ulcer Index5.44%2.47%
Daily Std Dev24.46%12.15%
Max Drawdown-48.98%-16.82%
Current Drawdown-2.05%0.00%

Correlation

-0.50.00.51.00.9

The correlation between FNGS and JEPQ is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

FNGS vs. JEPQ - Performance Comparison

In the year-to-date period, FNGS achieves a 37.92% return, which is significantly higher than JEPQ's 20.41% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%25.00%MayJuneJulyAugustSeptemberOctober
23.64%
13.04%
FNGS
JEPQ

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FNGS vs. JEPQ - Expense Ratio Comparison

FNGS has a 0.58% expense ratio, which is higher than JEPQ's 0.35% expense ratio.


FNGS
MicroSectors FANG+ ETN
Expense ratio chart for FNGS: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for JEPQ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

FNGS vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MicroSectors FANG+ ETN (FNGS) 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.


FNGS
Sharpe ratio
The chart of Sharpe ratio for FNGS, currently valued at 2.78, compared to the broader market-2.000.002.004.006.002.78
Sortino ratio
The chart of Sortino ratio for FNGS, currently valued at 3.37, compared to the broader market0.005.0010.003.37
Omega ratio
The chart of Omega ratio for FNGS, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for FNGS, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for FNGS, currently valued at 12.48, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.48
JEPQ
Sharpe ratio
The chart of Sharpe ratio for JEPQ, currently valued at 2.96, compared to the broader market-2.000.002.004.006.002.96
Sortino ratio
The chart of Sortino ratio for JEPQ, currently valued at 3.81, compared to the broader market0.005.0010.003.81
Omega ratio
The chart of Omega ratio for JEPQ, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for JEPQ, currently valued at 3.36, compared to the broader market0.005.0010.0015.003.36
Martin ratio
The chart of Martin ratio for JEPQ, currently valued at 14.57, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.57

FNGS vs. JEPQ - Sharpe Ratio Comparison

The current FNGS Sharpe Ratio is 2.78, which is comparable to the JEPQ Sharpe Ratio of 2.96. The chart below compares the historical Sharpe Ratios of FNGS 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 Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.78
2.96
FNGS
JEPQ

Dividends

FNGS vs. JEPQ - Dividend Comparison

FNGS has not paid dividends to shareholders, while JEPQ's dividend yield for the trailing twelve months is around 9.35%.


TTM20232022
FNGS
MicroSectors FANG+ ETN
0.00%0.00%0.00%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.35%10.02%9.44%

Drawdowns

FNGS vs. JEPQ - Drawdown Comparison

The maximum FNGS drawdown since its inception was -48.98%, which is greater than JEPQ's maximum drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for FNGS and JEPQ. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.05%
0
FNGS
JEPQ

Volatility

FNGS vs. JEPQ - Volatility Comparison

MicroSectors FANG+ ETN (FNGS) has a higher volatility of 5.88% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 2.15%. This indicates that FNGS'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.


2.00%4.00%6.00%8.00%10.00%12.00%MayJuneJulyAugustSeptemberOctober
5.88%
2.15%
FNGS
JEPQ