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

Performance

HEZU vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Currency Hedged MSCI Eurozone ETF (HEZU) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%JuneJulyAugustSeptemberOctoberNovember
87.81%
77.48%
HEZU
JEPI

Returns By Period

In the year-to-date period, HEZU achieves a 8.93% return, which is significantly lower than JEPI's 16.16% return.


HEZU

YTD

8.93%

1M

-1.88%

6M

-3.22%

1Y

13.95%

5Y (annualized)

8.93%

10Y (annualized)

8.41%

JEPI

YTD

16.16%

1M

1.71%

6M

9.69%

1Y

18.77%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


HEZUJEPI
Sharpe Ratio1.142.65
Sortino Ratio1.613.68
Omega Ratio1.201.52
Calmar Ratio1.454.85
Martin Ratio4.9418.78
Ulcer Index2.82%1.00%
Daily Std Dev12.21%7.08%
Max Drawdown-38.80%-13.71%
Current Drawdown-4.20%0.00%

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HEZU vs. JEPI - Expense Ratio Comparison

HEZU has a 0.52% expense ratio, which is higher than JEPI's 0.35% expense ratio.


HEZU
iShares Currency Hedged MSCI Eurozone ETF
Expense ratio chart for HEZU: current value at 0.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.52%
Expense ratio chart for JEPI: 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

The correlation between HEZU and JEPI is 0.65, 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.


-0.50.00.51.00.7

Risk-Adjusted Performance

HEZU vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI Eurozone ETF (HEZU) 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 HEZU, currently valued at 1.14, compared to the broader market0.002.004.001.142.65
The chart of Sortino ratio for HEZU, currently valued at 1.61, compared to the broader market0.005.0010.001.613.68
The chart of Omega ratio for HEZU, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.52
The chart of Calmar ratio for HEZU, currently valued at 1.45, compared to the broader market0.005.0010.0015.001.454.85
The chart of Martin ratio for HEZU, currently valued at 4.94, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.9418.78
HEZU
JEPI

The current HEZU Sharpe Ratio is 1.14, which is lower than the JEPI Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of HEZU 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.14
2.65
HEZU
JEPI

Dividends

HEZU vs. JEPI - Dividend Comparison

HEZU's dividend yield for the trailing twelve months is around 2.83%, less than JEPI's 7.04% yield.


TTM2023202220212020201920182017201620152014
HEZU
iShares Currency Hedged MSCI Eurozone ETF
2.83%2.52%23.25%2.25%2.32%5.40%3.47%1.92%3.11%2.68%1.15%
JEPI
JPMorgan Equity Premium Income ETF
7.04%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

HEZU vs. JEPI - Drawdown Comparison

The maximum HEZU drawdown since its inception was -38.80%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for HEZU and JEPI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.20%
0
HEZU
JEPI

Volatility

HEZU vs. JEPI - Volatility Comparison

iShares Currency Hedged MSCI Eurozone ETF (HEZU) has a higher volatility of 3.58% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. This indicates that HEZU'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
3.58%
2.25%
HEZU
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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