MENYX vs. JQUA
MENYX (Madison Covered Call & Equity Income Fund) and JQUA (JPMorgan U.S. Quality Factor ETF) are both funds - MENYX is a Derivative Income fund managed by Madison, while JQUA is a Quality Factor fund tracking the JP Morgan US Quality Factor Index. Over the past 5 years, MENYX returned 6.35%/yr vs 12.89%/yr for JQUA. Their 0.64 correlation means they have sometimes moved together and sometimes differently. MENYX charges 1.01%/yr vs 0.12%/yr for JQUA.
Performance
MENYX vs. JQUA - Performance Comparison
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Returns By Period
In the year-to-date period, MENYX achieves a 5.41% return, which is significantly lower than JQUA's 14.93% return.
MENYX
- 1D
- -0.11%
- 1M
- 2.84%
- 6M
- 2.08%
- YTD
- 5.41%
- 1Y
- 10.25%
- 3Y*
- 5.02%
- 5Y*
- 6.35%
- 10Y*
- 7.84%
- ALL TIME*
- 7.58%
JQUA
- 1D
- 0.08%
- 1M
- 0.33%
- 6M
- 13.64%
- YTD
- 14.93%
- 1Y
- 22.21%
- 3Y*
- 18.11%
- 5Y*
- 12.89%
- 10Y*
- —
- ALL TIME*
- 14.71%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $26.79M | $28.22M | $36.46M | |
| $0.00 | $0.00 | $0.00 |
MENYX vs. JQUA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MENYX Madison Covered Call & Equity Income Fund | 5.41% | 6.69% | 2.79% | 10.66% | 5.06% | 18.71% | 12.65% | 15.76% | -6.01% | 2.66% |
JQUA JPMorgan U.S. Quality Factor ETF | 14.93% | 11.69% | 21.21% | 25.13% | -13.45% | 28.68% | 16.56% | 28.47% | -2.98% | 5.07% |
Correlation
The correlation between MENYX and JQUA is 0.36, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.36 |
Correlation (3Y) Balances recent behavior with more history. | 0.56 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.68 |
Correlation (All Time) Calculated using the full available price history since Nov 9, 2017 | 0.64 |
Over the past year, the correlation between MENYX and JQUA has dropped to 0.36 - well below their long-term average of 0.64, suggesting their price drivers have been diverging.
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Return for Risk
MENYX vs. JQUA — Risk / Return Rank
MENYX
JQUA
MENYX vs. JQUA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Madison Covered Call & Equity Income Fund (MENYX) and JPMorgan U.S. Quality Factor ETF (JQUA). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MENYX | JQUA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.83 | ||
| Sortino ratioReturn per unit of downside risk | -1.12 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.30 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 1.16 | 2.95 | -1.79 |
| Martin ratioReturn relative to average drawdown | 3.75 | 12.05 | -8.30 |
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Drawdowns
MENYX vs. JQUA - Drawdown Comparison
The maximum MENYX drawdown since its inception was -28.38%, smaller than the maximum JQUA drawdown of -32.92%. Use the drawdown chart below to compare losses from any high point for MENYX and JQUA.
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Drawdown Indicators
| MENYX | JQUA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.38% | -32.92% | +4.54% |
Max Drawdown (1Y)Largest decline over 1 year | -7.55% | -7.13% | -0.42% |
Max Drawdown (3Y)Largest decline over 3 years | -16.14% | -16.81% | +0.67% |
Max Drawdown (5Y)Largest decline over 5 years | -16.14% | -22.47% | +6.33% |
Max Drawdown (10Y)Largest decline over 10 years | -28.38% | — | — |
Current DrawdownCurrent decline from peak | -2.69% | -0.36% | -2.33% |
Average DrawdownAverage peak-to-trough decline | -2.52% | -4.10% | +1.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.34% | 1.74% | +0.60% |
Volatility
MENYX vs. JQUA - Volatility Comparison
Madison Covered Call & Equity Income Fund (MENYX) and JPMorgan U.S. Quality Factor ETF (JQUA) have volatilities of 2.43% and 2.34%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MENYX | JQUA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.43% | 2.34% | +0.09% |
Volatility (6M)Calculated over the trailing 6-month period | 7.10% | 9.47% | -2.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.52% | 12.04% | -2.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.46% | 15.72% | -4.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.44% | 17.93% | -4.49% |
MENYX vs. JQUA - Expense Ratio Comparison
MENYX has a 1.01% expense ratio, which is higher than JQUA's 0.12% expense ratio.
Dividends
MENYX vs. JQUA - Dividend Comparison
MENYX's dividend yield for the trailing twelve months is around 8.33%, more than JQUA's 1.08% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JQUA JPMorgan U.S. Quality Factor ETF | 1.08% | 1.19% | 1.24% | 1.21% | 1.60% | 1.32% | 1.44% | 1.67% | 2.10% | 0.40% | 0.00% | 0.00% |
MENYX Madison Covered Call & Equity Income Fund | 8.33% | 8.52% | 7.83% | 7.71% | 6.98% | 6.48% | 6.34% | 7.07% | 9.82% | 7.64% | 6.74% | 7.48% |
Frequently Asked Questions
MENYX and JQUA have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MENYX has higher volatility (2.43%) compared to JQUA (2.34%). In terms of maximum drawdown, MENYX dropped -28.38% vs JQUA's -32.92%.
JQUA currently has the higher Sharpe Ratio (1.75 vs 0.92), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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