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JEPAX vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

JEPAX vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Equity Premium Income Fund Class A (JEPAX) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.11%
11.65%
JEPAX
QQQ

Returns By Period

In the year-to-date period, JEPAX achieves a 15.48% return, which is significantly lower than QQQ's 23.84% return.


JEPAX

YTD

15.48%

1M

1.14%

6M

9.11%

1Y

17.93%

5Y (annualized)

9.56%

10Y (annualized)

N/A

QQQ

YTD

23.84%

1M

1.82%

6M

11.65%

1Y

30.35%

5Y (annualized)

20.97%

10Y (annualized)

18.03%

Key characteristics


JEPAXQQQ
Sharpe Ratio2.481.78
Sortino Ratio3.572.37
Omega Ratio1.501.32
Calmar Ratio4.572.28
Martin Ratio16.408.27
Ulcer Index1.09%3.73%
Daily Std Dev7.22%17.37%
Max Drawdown-32.68%-82.98%
Current Drawdown-0.54%-1.78%

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JEPAX vs. QQQ - Expense Ratio Comparison

JEPAX has a 0.85% expense ratio, which is higher than QQQ's 0.20% expense ratio.


JEPAX
JPMorgan Equity Premium Income Fund Class A
Expense ratio chart for JEPAX: 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 QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.6

The correlation between JEPAX and QQQ is 0.64, 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

JEPAX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Premium Income Fund Class A (JEPAX) and Invesco QQQ (QQQ). 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 JEPAX, currently valued at 2.48, compared to the broader market-1.000.001.002.003.004.005.002.481.75
The chart of Sortino ratio for JEPAX, currently valued at 3.57, compared to the broader market0.005.0010.003.572.34
The chart of Omega ratio for JEPAX, currently valued at 1.50, compared to the broader market1.002.003.004.001.501.32
The chart of Calmar ratio for JEPAX, currently valued at 4.57, compared to the broader market0.005.0010.0015.0020.004.572.24
The chart of Martin ratio for JEPAX, currently valued at 16.40, compared to the broader market0.0020.0040.0060.0080.00100.0016.408.13
JEPAX
QQQ

The current JEPAX Sharpe Ratio is 2.48, which is higher than the QQQ Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of JEPAX and QQQ, 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
2.48
1.75
JEPAX
QQQ

Dividends

JEPAX vs. QQQ - Dividend Comparison

JEPAX's dividend yield for the trailing twelve months is around 6.69%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
JEPAX
JPMorgan Equity Premium Income Fund Class A
6.69%8.19%11.97%7.36%11.35%7.51%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

JEPAX vs. QQQ - Drawdown Comparison

The maximum JEPAX drawdown since its inception was -32.68%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for JEPAX and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.54%
-1.78%
JEPAX
QQQ

Volatility

JEPAX vs. QQQ - Volatility Comparison

The current volatility for JPMorgan Equity Premium Income Fund Class A (JEPAX) is 2.09%, while Invesco QQQ (QQQ) has a volatility of 5.41%. This indicates that JEPAX experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
2.09%
5.41%
JEPAX
QQQ