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

Performance

FSK vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FS KKR Capital Corp. (FSK) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.93%
7.69%
FSK
JEPI

Returns By Period

In the year-to-date period, FSK achieves a 20.74% return, which is significantly higher than JEPI's 14.71% return.


FSK

YTD

20.74%

1M

5.02%

6M

14.53%

1Y

25.74%

5Y (annualized)

12.55%

10Y (annualized)

5.72%

JEPI

YTD

14.71%

1M

-0.18%

6M

7.76%

1Y

17.98%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


FSKJEPI
Sharpe Ratio1.772.55
Sortino Ratio2.253.54
Omega Ratio1.341.50
Calmar Ratio2.354.65
Martin Ratio7.6318.00
Ulcer Index3.40%1.00%
Daily Std Dev14.69%7.05%
Max Drawdown-67.20%-13.71%
Current Drawdown0.00%-1.12%

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Correlation

-0.50.00.51.00.5

The correlation between FSK and JEPI is 0.47, 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.

Risk-Adjusted Performance

FSK vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FS KKR Capital Corp. (FSK) 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 FSK, currently valued at 1.77, compared to the broader market-4.00-2.000.002.004.001.772.55
The chart of Sortino ratio for FSK, currently valued at 2.25, compared to the broader market-4.00-2.000.002.004.002.253.54
The chart of Omega ratio for FSK, currently valued at 1.34, compared to the broader market0.501.001.502.001.341.50
The chart of Calmar ratio for FSK, currently valued at 2.35, compared to the broader market0.002.004.006.002.354.65
The chart of Martin ratio for FSK, currently valued at 7.63, compared to the broader market-10.000.0010.0020.0030.007.6318.00
FSK
JEPI

The current FSK Sharpe Ratio is 1.77, which is lower than the JEPI Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of FSK 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.77
2.55
FSK
JEPI

Dividends

FSK vs. JEPI - Dividend Comparison

FSK's dividend yield for the trailing twelve months is around 13.69%, more than JEPI's 7.13% yield.


TTM2023202220212020201920182017201620152014
FSK
FS KKR Capital Corp.
13.69%15.02%15.20%11.80%15.46%12.40%16.41%11.69%8.66%9.92%8.91%
JEPI
JPMorgan Equity Premium Income ETF
7.13%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FSK vs. JEPI - Drawdown Comparison

The maximum FSK drawdown since its inception was -67.20%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for FSK and JEPI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-1.12%
FSK
JEPI

Volatility

FSK vs. JEPI - Volatility Comparison

FS KKR Capital Corp. (FSK) has a higher volatility of 4.39% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.14%. This indicates that FSK'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.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.39%
2.14%
FSK
JEPI