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MRSK vs. JEPQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MRSK and JEPQ 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.


-0.50.00.51.00.8

Performance

MRSK vs. JEPQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Agility Shares Managed Risk ETF (MRSK) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.32%
9.69%
MRSK
JEPQ

Key characteristics

Sharpe Ratio

MRSK:

1.44

JEPQ:

2.14

Sortino Ratio

MRSK:

1.90

JEPQ:

2.78

Omega Ratio

MRSK:

1.29

JEPQ:

1.43

Calmar Ratio

MRSK:

2.20

JEPQ:

2.50

Martin Ratio

MRSK:

7.66

JEPQ:

10.77

Ulcer Index

MRSK:

2.18%

JEPQ:

2.49%

Daily Std Dev

MRSK:

11.61%

JEPQ:

12.53%

Max Drawdown

MRSK:

-14.70%

JEPQ:

-16.82%

Current Drawdown

MRSK:

-1.93%

JEPQ:

-1.48%

Returns By Period

In the year-to-date period, MRSK achieves a 15.82% return, which is significantly lower than JEPQ's 25.70% return.


MRSK

YTD

15.82%

1M

0.57%

6M

5.19%

1Y

15.64%

5Y*

N/A

10Y*

N/A

JEPQ

YTD

25.70%

1M

2.67%

6M

9.33%

1Y

26.16%

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.


MRSK vs. JEPQ - Expense Ratio Comparison

MRSK has a 0.99% expense ratio, which is higher than JEPQ's 0.35% expense ratio.


MRSK
Agility Shares Managed Risk ETF
Expense ratio chart for MRSK: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
Expense ratio chart for JEPQ: 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%

Risk-Adjusted Performance

MRSK vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Agility Shares Managed Risk ETF (MRSK) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). 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 MRSK, currently valued at 1.44, compared to the broader market0.002.004.001.442.14
The chart of Sortino ratio for MRSK, currently valued at 1.90, compared to the broader market-2.000.002.004.006.008.0010.001.902.78
The chart of Omega ratio for MRSK, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.001.291.43
The chart of Calmar ratio for MRSK, currently valued at 2.20, compared to the broader market0.005.0010.0015.002.202.50
The chart of Martin ratio for MRSK, currently valued at 7.66, compared to the broader market0.0020.0040.0060.0080.00100.007.6610.77
MRSK
JEPQ

The current MRSK Sharpe Ratio is 1.44, which is lower than the JEPQ Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of MRSK and JEPQ, 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
1.44
2.14
MRSK
JEPQ

Dividends

MRSK vs. JEPQ - Dividend Comparison

MRSK's dividend yield for the trailing twelve months is around 0.44%, less than JEPQ's 9.41% yield.


TTM2023202220212020
MRSK
Agility Shares Managed Risk ETF
0.44%0.60%1.11%14.20%0.27%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.41%10.02%9.44%0.00%0.00%

Drawdowns

MRSK vs. JEPQ - Drawdown Comparison

The maximum MRSK drawdown since its inception was -14.70%, smaller than the maximum JEPQ drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for MRSK and JEPQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.93%
-1.48%
MRSK
JEPQ

Volatility

MRSK vs. JEPQ - Volatility Comparison

Agility Shares Managed Risk ETF (MRSK) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) have volatilities of 2.74% and 2.83%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
2.74%
2.83%
MRSK
JEPQ
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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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