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

Correlation

The correlation between JRS and JEPI is 0.60, 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.


-0.50.00.51.00.6

Performance

JRS vs. JEPI - Performance Comparison

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

0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
15.95%
6.56%
JRS
JEPI

Key characteristics

Sharpe Ratio

JRS:

1.01

JEPI:

1.92

Sortino Ratio

JRS:

1.42

JEPI:

2.60

Omega Ratio

JRS:

1.18

JEPI:

1.38

Calmar Ratio

JRS:

0.60

JEPI:

3.11

Martin Ratio

JRS:

4.83

JEPI:

12.63

Ulcer Index

JRS:

3.96%

JEPI:

1.13%

Daily Std Dev

JRS:

19.00%

JEPI:

7.48%

Max Drawdown

JRS:

-87.89%

JEPI:

-13.71%

Current Drawdown

JRS:

-15.79%

JEPI:

-3.69%

Returns By Period

In the year-to-date period, JRS achieves a 15.30% return, which is significantly higher than JEPI's 13.12% return.


JRS

YTD

15.30%

1M

-8.38%

6M

15.95%

1Y

19.11%

5Y*

3.86%

10Y*

5.38%

JEPI

YTD

13.12%

1M

-1.50%

6M

6.56%

1Y

13.86%

5Y*

N/A

10Y*

N/A

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Risk-Adjusted Performance

JRS vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Nuveen Real Estate Income Fund (JRS) 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 JRS, currently valued at 1.01, compared to the broader market-4.00-2.000.002.001.011.92
The chart of Sortino ratio for JRS, currently valued at 1.42, compared to the broader market-4.00-2.000.002.004.001.422.60
The chart of Omega ratio for JRS, currently valued at 1.18, compared to the broader market0.501.001.502.001.181.38
The chart of Calmar ratio for JRS, currently valued at 0.60, compared to the broader market0.002.004.006.000.603.11
The chart of Martin ratio for JRS, currently valued at 4.83, compared to the broader market-5.000.005.0010.0015.0020.0025.004.8312.63
JRS
JEPI

The current JRS Sharpe Ratio is 1.01, which is lower than the JEPI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of JRS 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.01
1.92
JRS
JEPI

Dividends

JRS vs. JEPI - Dividend Comparison

JRS's dividend yield for the trailing twelve months is around 8.18%, more than JEPI's 7.30% yield.


TTM20232022202120202019201820172016201520142013
JRS
Nuveen Real Estate Income Fund
8.18%8.70%11.06%5.93%9.00%7.16%9.99%8.88%9.10%9.04%7.83%9.93%
JEPI
JPMorgan Equity Premium Income ETF
7.30%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

JRS vs. JEPI - Drawdown Comparison

The maximum JRS drawdown since its inception was -87.89%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for JRS and JEPI. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.79%
-3.69%
JRS
JEPI

Volatility

JRS vs. JEPI - Volatility Comparison

Nuveen Real Estate Income Fund (JRS) has a higher volatility of 7.29% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.90%. This indicates that JRS'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
7.29%
2.90%
JRS
JEPI
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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.

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