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

Correlation

The correlation between JHEQX and JEPI is 0.76, 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.


-0.50.00.51.00.8

Performance

JHEQX vs. JEPI - Performance Comparison

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

45.00%50.00%55.00%60.00%65.00%70.00%75.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
62.10%
73.40%
JHEQX
JEPI

Key characteristics

Sharpe Ratio

JHEQX:

2.44

JEPI:

1.90

Sortino Ratio

JHEQX:

3.33

JEPI:

2.58

Omega Ratio

JHEQX:

1.51

JEPI:

1.37

Calmar Ratio

JHEQX:

4.12

JEPI:

3.08

Martin Ratio

JHEQX:

17.77

JEPI:

12.32

Ulcer Index

JHEQX:

1.12%

JEPI:

1.15%

Daily Std Dev

JHEQX:

8.19%

JEPI:

7.49%

Max Drawdown

JHEQX:

-18.85%

JEPI:

-13.71%

Current Drawdown

JHEQX:

-1.21%

JEPI:

-3.37%

Returns By Period

In the year-to-date period, JHEQX achieves a 19.66% return, which is significantly higher than JEPI's 13.49% return.


JHEQX

YTD

19.66%

1M

0.18%

6M

8.38%

1Y

19.91%

5Y*

10.62%

10Y*

8.56%

JEPI

YTD

13.49%

1M

-2.30%

6M

6.44%

1Y

14.08%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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


JHEQX vs. JEPI - Expense Ratio Comparison

JHEQX has a 0.58% expense ratio, which is higher than JEPI's 0.35% expense ratio.


JHEQX
JPMorgan Hedged Equity Fund Class I
Expense ratio chart for JHEQX: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
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%

Risk-Adjusted Performance

JHEQX vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Hedged Equity Fund Class I (JHEQX) 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 JHEQX, currently valued at 2.44, compared to the broader market-1.000.001.002.003.004.002.441.90
The chart of Sortino ratio for JHEQX, currently valued at 3.33, compared to the broader market-2.000.002.004.006.008.0010.003.332.58
The chart of Omega ratio for JHEQX, currently valued at 1.51, compared to the broader market0.501.001.502.002.503.003.501.511.37
The chart of Calmar ratio for JHEQX, currently valued at 4.12, compared to the broader market0.002.004.006.008.0010.0012.0014.004.123.08
The chart of Martin ratio for JHEQX, currently valued at 17.77, compared to the broader market0.0020.0040.0060.0017.7712.32
JHEQX
JEPI

The current JHEQX Sharpe Ratio is 2.44, which is comparable to the JEPI Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of JHEQX 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.44
1.90
JHEQX
JEPI

Dividends

JHEQX vs. JEPI - Dividend Comparison

JHEQX's dividend yield for the trailing twelve months is around 0.49%, less than JEPI's 7.28% yield.


TTM2023202220212020201920182017201620152014
JHEQX
JPMorgan Hedged Equity Fund Class I
0.49%0.98%0.98%0.71%1.11%1.11%1.13%0.99%1.35%1.22%1.07%
JEPI
JPMorgan Equity Premium Income ETF
7.28%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

JHEQX vs. JEPI - Drawdown Comparison

The maximum JHEQX drawdown since its inception was -18.85%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for JHEQX and JEPI. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.21%
-3.37%
JHEQX
JEPI

Volatility

JHEQX vs. JEPI - Volatility Comparison

JPMorgan Hedged Equity Fund Class I (JHEQX) and JPMorgan Equity Premium Income ETF (JEPI) have volatilities of 2.72% and 2.81%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%JulyAugustSeptemberOctoberNovemberDecember
2.72%
2.81%
JHEQX
JEPI
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab