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

Key characteristics


JIREXYLD
YTD Return6.76%15.90%
1Y Return17.40%19.19%
Sharpe Ratio1.352.80
Sortino Ratio1.943.80
Omega Ratio1.241.74
Calmar Ratio2.362.99
Martin Ratio7.2924.40
Ulcer Index2.47%0.79%
Daily Std Dev13.32%6.87%
Max Drawdown-16.11%-33.46%
Current Drawdown-6.67%0.00%

Correlation

-0.50.00.51.00.6

The correlation between JIRE and XYLD is 0.63, 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.

Performance

JIRE vs. XYLD - Performance Comparison

In the year-to-date period, JIRE achieves a 6.76% return, which is significantly lower than XYLD's 15.90% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.27%
9.61%
JIRE
XYLD

Compare stocks, funds, or ETFs

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


JIRE vs. XYLD - Expense Ratio Comparison

JIRE has a 0.24% expense ratio, which is lower than XYLD's 0.60% expense ratio.


XYLD
Global X S&P 500 Covered Call ETF
Expense ratio chart for XYLD: 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%
Expense ratio chart for JIRE: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Risk-Adjusted Performance

JIRE vs. XYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan International Research Enhanced Equity ETF (JIRE) and Global X S&P 500 Covered Call ETF (XYLD). 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.


JIRE
Sharpe ratio
The chart of Sharpe ratio for JIRE, currently valued at 1.35, compared to the broader market-2.000.002.004.006.001.35
Sortino ratio
The chart of Sortino ratio for JIRE, currently valued at 1.94, compared to the broader market0.005.0010.001.94
Omega ratio
The chart of Omega ratio for JIRE, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for JIRE, currently valued at 2.36, compared to the broader market0.005.0010.0015.002.36
Martin ratio
The chart of Martin ratio for JIRE, currently valued at 7.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.29
XYLD
Sharpe ratio
The chart of Sharpe ratio for XYLD, currently valued at 2.80, compared to the broader market-2.000.002.004.006.002.80
Sortino ratio
The chart of Sortino ratio for XYLD, currently valued at 3.80, compared to the broader market0.005.0010.003.80
Omega ratio
The chart of Omega ratio for XYLD, currently valued at 1.74, compared to the broader market1.001.502.002.503.001.74
Calmar ratio
The chart of Calmar ratio for XYLD, currently valued at 3.71, compared to the broader market0.005.0010.0015.003.71
Martin ratio
The chart of Martin ratio for XYLD, currently valued at 24.40, compared to the broader market0.0020.0040.0060.0080.00100.00120.0024.40

JIRE vs. XYLD - Sharpe Ratio Comparison

The current JIRE Sharpe Ratio is 1.35, which is lower than the XYLD Sharpe Ratio of 2.80. The chart below compares the historical Sharpe Ratios of JIRE and XYLD, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.35
2.80
JIRE
XYLD

Dividends

JIRE vs. XYLD - Dividend Comparison

JIRE's dividend yield for the trailing twelve months is around 2.56%, less than XYLD's 9.09% yield.


TTM20232022202120202019201820172016201520142013
JIRE
JPMorgan International Research Enhanced Equity ETF
2.56%2.74%2.62%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XYLD
Global X S&P 500 Covered Call ETF
9.09%10.51%13.44%9.08%7.93%5.76%7.12%4.67%3.24%4.65%4.15%2.49%

Drawdowns

JIRE vs. XYLD - Drawdown Comparison

The maximum JIRE drawdown since its inception was -16.11%, smaller than the maximum XYLD drawdown of -33.46%. Use the drawdown chart below to compare losses from any high point for JIRE and XYLD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.67%
0
JIRE
XYLD

Volatility

JIRE vs. XYLD - Volatility Comparison

JPMorgan International Research Enhanced Equity ETF (JIRE) has a higher volatility of 4.36% compared to Global X S&P 500 Covered Call ETF (XYLD) at 2.34%. This indicates that JIRE's price experiences larger fluctuations and is considered to be riskier than XYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.36%
2.34%
JIRE
XYLD