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

Correlation

The correlation between JOET and JEPI is 0.81, 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

JOET vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus Terranova U.S. Quality Momentum ETF (JOET) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
13.07%
6.43%
JOET
JEPI

Key characteristics

Sharpe Ratio

JOET:

1.83

JEPI:

1.90

Sortino Ratio

JOET:

2.51

JEPI:

2.58

Omega Ratio

JOET:

1.33

JEPI:

1.37

Calmar Ratio

JOET:

2.93

JEPI:

3.08

Martin Ratio

JOET:

10.82

JEPI:

12.32

Ulcer Index

JOET:

2.45%

JEPI:

1.15%

Daily Std Dev

JOET:

14.56%

JEPI:

7.49%

Max Drawdown

JOET:

-26.58%

JEPI:

-13.71%

Current Drawdown

JOET:

-5.79%

JEPI:

-3.37%

Returns By Period

In the year-to-date period, JOET achieves a 26.11% return, which is significantly higher than JEPI's 13.49% return.


JOET

YTD

26.11%

1M

-4.23%

6M

13.07%

1Y

26.35%

5Y*

N/A

10Y*

N/A

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.


JOET vs. JEPI - Expense Ratio Comparison

JOET has a 0.29% expense ratio, which is lower than JEPI's 0.35% expense ratio.


JEPI
JPMorgan Equity Premium Income ETF
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%
Expense ratio chart for JOET: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

JOET vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus Terranova U.S. Quality Momentum ETF (JOET) 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 JOET, currently valued at 1.83, compared to the broader market0.002.004.001.831.90
The chart of Sortino ratio for JOET, currently valued at 2.51, compared to the broader market-2.000.002.004.006.008.0010.002.512.58
The chart of Omega ratio for JOET, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.37
The chart of Calmar ratio for JOET, currently valued at 2.93, compared to the broader market0.005.0010.0015.002.933.08
The chart of Martin ratio for JOET, currently valued at 10.82, compared to the broader market0.0020.0040.0060.0080.00100.0010.8212.32
JOET
JEPI

The current JOET Sharpe Ratio is 1.83, which is comparable to the JEPI Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of JOET 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.83
1.90
JOET
JEPI

Dividends

JOET vs. JEPI - Dividend Comparison

JOET's dividend yield for the trailing twelve months is around 0.69%, less than JEPI's 7.28% yield.


TTM2023202220212020
JOET
Virtus Terranova U.S. Quality Momentum ETF
0.69%1.32%1.25%0.42%0.08%
JEPI
JPMorgan Equity Premium Income ETF
7.28%8.40%11.67%6.59%5.79%

Drawdowns

JOET vs. JEPI - Drawdown Comparison

The maximum JOET drawdown since its inception was -26.58%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for JOET and JEPI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.79%
-3.37%
JOET
JEPI

Volatility

JOET vs. JEPI - Volatility Comparison

Virtus Terranova U.S. Quality Momentum ETF (JOET) has a higher volatility of 5.49% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.81%. This indicates that JOET'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%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.49%
2.81%
JOET
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