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

Correlation

The correlation between KOKU and JEPI is 0.79, 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

KOKU vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers MSCI Kokusai Equity ETF (KOKU) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%110.00%JulyAugustSeptemberOctoberNovemberDecember
98.15%
72.84%
KOKU
JEPI

Key characteristics

Sharpe Ratio

KOKU:

1.83

JEPI:

1.92

Sortino Ratio

KOKU:

2.49

JEPI:

2.60

Omega Ratio

KOKU:

1.33

JEPI:

1.38

Calmar Ratio

KOKU:

2.73

JEPI:

3.11

Martin Ratio

KOKU:

11.97

JEPI:

12.63

Ulcer Index

KOKU:

1.80%

JEPI:

1.13%

Daily Std Dev

KOKU:

11.83%

JEPI:

7.48%

Max Drawdown

KOKU:

-25.77%

JEPI:

-13.71%

Current Drawdown

KOKU:

-3.82%

JEPI:

-3.69%

Returns By Period

In the year-to-date period, KOKU achieves a 19.66% return, which is significantly higher than JEPI's 13.12% return.


KOKU

YTD

19.66%

1M

-0.89%

6M

6.47%

1Y

20.31%

5Y*

N/A

10Y*

N/A

JEPI

YTD

13.12%

1M

-1.50%

6M

6.56%

1Y

13.86%

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.


KOKU vs. JEPI - Expense Ratio Comparison

KOKU has a 0.09% 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 KOKU: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

KOKU vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI Kokusai Equity ETF (KOKU) 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 KOKU, currently valued at 1.83, compared to the broader market0.002.004.001.831.92
The chart of Sortino ratio for KOKU, currently valued at 2.49, compared to the broader market-2.000.002.004.006.008.0010.002.492.60
The chart of Omega ratio for KOKU, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.38
The chart of Calmar ratio for KOKU, currently valued at 2.73, compared to the broader market0.005.0010.0015.002.733.11
The chart of Martin ratio for KOKU, currently valued at 11.97, compared to the broader market0.0020.0040.0060.0080.00100.0011.9712.63
KOKU
JEPI

The current KOKU Sharpe Ratio is 1.83, which is comparable to the JEPI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of KOKU 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
1.92
KOKU
JEPI

Dividends

KOKU vs. JEPI - Dividend Comparison

KOKU's dividend yield for the trailing twelve months is around 1.23%, less than JEPI's 7.30% yield.


TTM2023202220212020
KOKU
Xtrackers MSCI Kokusai Equity ETF
1.23%1.76%1.98%1.89%0.55%
JEPI
JPMorgan Equity Premium Income ETF
7.30%8.40%11.67%6.59%5.79%

Drawdowns

KOKU vs. JEPI - Drawdown Comparison

The maximum KOKU drawdown since its inception was -25.77%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for KOKU and JEPI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.82%
-3.69%
KOKU
JEPI

Volatility

KOKU vs. JEPI - Volatility Comparison

Xtrackers MSCI Kokusai Equity ETF (KOKU) has a higher volatility of 3.38% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.90%. This indicates that KOKU'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%JulyAugustSeptemberOctoberNovemberDecember
3.38%
2.90%
KOKU
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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