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

Correlation

The correlation between JPM and JPMO is 0.85, 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

JPM vs. JPMO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Chase & Co. (JPM) and YieldMax JPM Option Income Strategy ETF (JPMO). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
67.47%
18.58%
JPM
JPMO

Key characteristics

Sharpe Ratio

JPM:

1.97

JPMO:

0.88

Sortino Ratio

JPM:

2.70

JPMO:

1.21

Omega Ratio

JPM:

1.40

JPMO:

1.19

Calmar Ratio

JPM:

4.55

JPMO:

1.42

Martin Ratio

JPM:

13.24

JPMO:

3.56

Ulcer Index

JPM:

3.48%

JPMO:

4.25%

Daily Std Dev

JPM:

23.42%

JPMO:

17.26%

Max Drawdown

JPM:

-74.02%

JPMO:

-10.64%

Current Drawdown

JPM:

-5.07%

JPMO:

-4.66%

Returns By Period

In the year-to-date period, JPM achieves a 43.02% return, which is significantly higher than JPMO's 12.84% return.


JPM

YTD

43.02%

1M

-1.32%

6M

22.46%

1Y

45.24%

5Y*

14.90%

10Y*

17.53%

JPMO

YTD

12.84%

1M

-2.36%

6M

3.53%

1Y

14.66%

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.


Risk-Adjusted Performance

JPM vs. JPMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Chase & Co. (JPM) and YieldMax JPM Option Income Strategy ETF (JPMO). 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 JPM, currently valued at 1.97, compared to the broader market-4.00-2.000.002.001.970.88
The chart of Sortino ratio for JPM, currently valued at 2.70, compared to the broader market-4.00-2.000.002.004.002.701.21
The chart of Omega ratio for JPM, currently valued at 1.40, compared to the broader market0.501.001.502.001.401.19
The chart of Calmar ratio for JPM, currently valued at 4.55, compared to the broader market0.002.004.006.004.551.42
The chart of Martin ratio for JPM, currently valued at 13.24, compared to the broader market-5.000.005.0010.0015.0020.0025.0013.243.56
JPM
JPMO

The current JPM Sharpe Ratio is 1.97, which is higher than the JPMO Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of JPM and JPMO, 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 Ratio0.001.002.003.004.00Sep 15Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10Nov 17Nov 24DecemberDec 08Dec 15
1.97
0.88
JPM
JPMO

Dividends

JPM vs. JPMO - Dividend Comparison

JPM's dividend yield for the trailing twelve months is around 1.94%, less than JPMO's 25.41% yield.


TTM20232022202120202019201820172016201520142013
JPM
JPMorgan Chase & Co.
1.94%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%2.33%
JPMO
YieldMax JPM Option Income Strategy ETF
25.41%4.85%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

JPM vs. JPMO - Drawdown Comparison

The maximum JPM drawdown since its inception was -74.02%, which is greater than JPMO's maximum drawdown of -10.64%. Use the drawdown chart below to compare losses from any high point for JPM and JPMO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.07%
-4.66%
JPM
JPMO

Volatility

JPM vs. JPMO - Volatility Comparison

JPMorgan Chase & Co. (JPM) has a higher volatility of 5.60% compared to YieldMax JPM Option Income Strategy ETF (JPMO) at 4.56%. This indicates that JPM's price experiences larger fluctuations and is considered to be riskier than JPMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
5.60%
4.56%
JPM
JPMO
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