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JOET vs. JEPI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JOETJEPI
YTD Return19.71%12.82%
1Y Return33.67%17.49%
3Y Return (Ann)5.01%7.61%
Sharpe Ratio2.602.59
Sortino Ratio3.553.59
Omega Ratio1.461.51
Calmar Ratio2.234.66
Martin Ratio15.7918.25
Ulcer Index2.25%0.99%
Daily Std Dev13.59%6.95%
Max Drawdown-26.58%-13.71%
Current Drawdown-3.43%-1.83%

Correlation

-0.50.00.51.00.8

The correlation between JOET and JEPI is 0.82, 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.

Performance

JOET vs. JEPI - Performance Comparison

In the year-to-date period, JOET achieves a 19.71% return, which is significantly higher than JEPI's 12.82% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.21%
7.58%
JOET
JEPI

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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.


JOET
Sharpe ratio
The chart of Sharpe ratio for JOET, currently valued at 2.60, compared to the broader market0.002.004.002.60
Sortino ratio
The chart of Sortino ratio for JOET, currently valued at 3.55, compared to the broader market0.005.0010.003.55
Omega ratio
The chart of Omega ratio for JOET, currently valued at 1.46, compared to the broader market1.001.502.002.503.003.501.46
Calmar ratio
The chart of Calmar ratio for JOET, currently valued at 2.23, compared to the broader market0.005.0010.0015.002.23
Martin ratio
The chart of Martin ratio for JOET, currently valued at 15.79, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.79
JEPI
Sharpe ratio
The chart of Sharpe ratio for JEPI, currently valued at 2.59, compared to the broader market0.002.004.002.59
Sortino ratio
The chart of Sortino ratio for JEPI, currently valued at 3.59, compared to the broader market0.005.0010.003.59
Omega ratio
The chart of Omega ratio for JEPI, currently valued at 1.51, compared to the broader market1.001.502.002.503.003.501.51
Calmar ratio
The chart of Calmar ratio for JEPI, currently valued at 4.66, compared to the broader market0.005.0010.0015.004.66
Martin ratio
The chart of Martin ratio for JEPI, currently valued at 18.25, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.25

JOET vs. JEPI - Sharpe Ratio Comparison

The current JOET Sharpe Ratio is 2.60, which is comparable to the JEPI Sharpe Ratio of 2.59. 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.60
2.59
JOET
JEPI

Dividends

JOET vs. JEPI - Dividend Comparison

JOET's dividend yield for the trailing twelve months is around 1.10%, less than JEPI's 7.25% yield.


TTM2023202220212020
JOET
Virtus Terranova U.S. Quality Momentum ETF
1.10%1.32%1.25%0.42%0.08%
JEPI
JPMorgan Equity Premium Income ETF
7.25%8.40%11.68%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%JuneJulyAugustSeptemberOctoberNovember
-3.43%
-1.83%
JOET
JEPI

Volatility

JOET vs. JEPI - Volatility Comparison

Virtus Terranova U.S. Quality Momentum ETF (JOET) has a higher volatility of 3.17% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.54%. 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%JuneJulyAugustSeptemberOctoberNovember
3.17%
1.54%
JOET
JEPI