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

Performance

FTHI vs. JEPQ - Performance Comparison

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

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.08%
9.58%
FTHI
JEPQ

Returns By Period

In the year-to-date period, FTHI achieves a 18.86% return, which is significantly lower than JEPQ's 22.99% return.


FTHI

YTD

18.86%

1M

1.95%

6M

9.52%

1Y

22.58%

5Y (annualized)

8.16%

10Y (annualized)

7.72%

JEPQ

YTD

22.99%

1M

2.81%

6M

9.92%

1Y

26.76%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


FTHIJEPQ
Sharpe Ratio2.762.20
Sortino Ratio3.732.88
Omega Ratio1.591.45
Calmar Ratio3.942.53
Martin Ratio22.1610.94
Ulcer Index1.03%2.48%
Daily Std Dev8.28%12.33%
Max Drawdown-32.65%-16.82%
Current Drawdown-1.17%-0.32%

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FTHI vs. JEPQ - Expense Ratio Comparison

FTHI has a 0.85% expense ratio, which is higher than JEPQ's 0.35% expense ratio.


FTHI
First Trust BuyWrite Income ETF
Expense ratio chart for FTHI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
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%

Correlation

-0.50.00.51.00.8

The correlation between FTHI and JEPQ is 0.81, 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.

Risk-Adjusted Performance

FTHI vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust BuyWrite Income ETF (FTHI) 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 FTHI, currently valued at 2.76, compared to the broader market0.002.004.002.762.20
The chart of Sortino ratio for FTHI, currently valued at 3.73, compared to the broader market-2.000.002.004.006.008.0010.003.732.88
The chart of Omega ratio for FTHI, currently valued at 1.59, compared to the broader market0.501.001.502.002.503.001.591.45
The chart of Calmar ratio for FTHI, currently valued at 3.94, compared to the broader market0.005.0010.0015.003.942.53
The chart of Martin ratio for FTHI, currently valued at 22.16, compared to the broader market0.0020.0040.0060.0080.00100.0022.1610.94
FTHI
JEPQ

The current FTHI Sharpe Ratio is 2.76, which is comparable to the JEPQ Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of FTHI 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.76
2.20
FTHI
JEPQ

Dividends

FTHI vs. JEPQ - Dividend Comparison

FTHI's dividend yield for the trailing twelve months is around 7.68%, less than JEPQ's 9.38% yield.


TTM2023202220212020201920182017201620152014
FTHI
First Trust BuyWrite Income ETF
7.68%8.50%9.06%4.37%4.76%4.21%4.76%4.02%4.43%4.98%3.96%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.38%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FTHI vs. JEPQ - Drawdown Comparison

The maximum FTHI drawdown since its inception was -32.65%, which is greater than JEPQ's maximum drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for FTHI and JEPQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.17%
-0.32%
FTHI
JEPQ

Volatility

FTHI vs. JEPQ - Volatility Comparison

The current volatility for First Trust BuyWrite Income ETF (FTHI) is 3.09%, while JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) has a volatility of 3.71%. This indicates that FTHI experiences smaller price fluctuations and is considered to be less risky than JEPQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.09%
3.71%
FTHI
JEPQ