PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JEPIX vs. QYLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

JEPIX vs. QYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Equity Premium Income Fund Class I (JEPIX) and Global X NASDAQ 100 Covered Call ETF (QYLD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.54%
9.18%
JEPIX
QYLD

Returns By Period

In the year-to-date period, JEPIX achieves a 14.65% return, which is significantly lower than QYLD's 15.97% return.


JEPIX

YTD

14.65%

1M

-0.40%

6M

7.61%

1Y

17.63%

5Y (annualized)

9.67%

10Y (annualized)

N/A

QYLD

YTD

15.97%

1M

0.36%

6M

9.24%

1Y

19.42%

5Y (annualized)

7.29%

10Y (annualized)

8.45%

Key characteristics


JEPIXQYLD
Sharpe Ratio2.461.93
Sortino Ratio3.542.61
Omega Ratio1.501.46
Calmar Ratio4.522.57
Martin Ratio16.4713.95
Ulcer Index1.07%1.43%
Daily Std Dev7.16%10.35%
Max Drawdown-32.63%-24.75%
Current Drawdown-1.40%-1.82%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


JEPIX vs. QYLD - Expense Ratio Comparison

JEPIX has a 0.63% expense ratio, which is higher than QYLD's 0.60% expense ratio.


JEPIX
JPMorgan Equity Premium Income Fund Class I
Expense ratio chart for JEPIX: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
Expense ratio chart for QYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%

Correlation

-0.50.00.51.00.6

The correlation between JEPIX and QYLD is 0.60, 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

JEPIX vs. QYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Premium Income Fund Class I (JEPIX) and Global X NASDAQ 100 Covered Call ETF (QYLD). 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 JEPIX, currently valued at 2.46, compared to the broader market0.002.004.002.461.88
The chart of Sortino ratio for JEPIX, currently valued at 3.54, compared to the broader market0.005.0010.003.542.56
The chart of Omega ratio for JEPIX, currently valued at 1.50, compared to the broader market1.002.003.004.001.501.45
The chart of Calmar ratio for JEPIX, currently valued at 4.52, compared to the broader market0.005.0010.0015.0020.0025.004.522.50
The chart of Martin ratio for JEPIX, currently valued at 16.47, compared to the broader market0.0020.0040.0060.0080.00100.0016.4713.60
JEPIX
QYLD

The current JEPIX Sharpe Ratio is 2.46, which is comparable to the QYLD Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of JEPIX and QYLD, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.46
1.88
JEPIX
QYLD

Dividends

JEPIX vs. QYLD - Dividend Comparison

JEPIX's dividend yield for the trailing twelve months is around 6.98%, less than QYLD's 11.67% yield.


TTM2023202220212020201920182017201620152014
JEPIX
JPMorgan Equity Premium Income Fund Class I
6.98%8.43%12.24%7.58%11.59%7.71%0.00%0.00%0.00%0.00%0.00%
QYLD
Global X NASDAQ 100 Covered Call ETF
11.67%11.78%13.75%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%

Drawdowns

JEPIX vs. QYLD - Drawdown Comparison

The maximum JEPIX drawdown since its inception was -32.63%, which is greater than QYLD's maximum drawdown of -24.75%. Use the drawdown chart below to compare losses from any high point for JEPIX and QYLD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.40%
-1.82%
JEPIX
QYLD

Volatility

JEPIX vs. QYLD - Volatility Comparison

The current volatility for JPMorgan Equity Premium Income Fund Class I (JEPIX) is 2.01%, while Global X NASDAQ 100 Covered Call ETF (QYLD) has a volatility of 3.54%. This indicates that JEPIX experiences smaller price fluctuations and is considered to be less risky than QYLD 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%7.00%JuneJulyAugustSeptemberOctoberNovember
2.01%
3.54%
JEPIX
QYLD