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

Correlation

The correlation between NOC and JEPI is 0.21, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.0
Correlation: 0.2

Performance

NOC vs. JEPI - Performance Comparison

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

40.00%50.00%60.00%70.00%80.00%NovemberDecember2025FebruaryMarchApril
53.30%
66.94%
NOC
JEPI

Key characteristics

Sharpe Ratio

NOC:

0.00

JEPI:

0.41

Sortino Ratio

NOC:

0.17

JEPI:

0.67

Omega Ratio

NOC:

1.03

JEPI:

1.11

Calmar Ratio

NOC:

0.00

JEPI:

0.43

Martin Ratio

NOC:

0.00

JEPI:

1.99

Ulcer Index

NOC:

8.73%

JEPI:

2.83%

Daily Std Dev

NOC:

25.37%

JEPI:

13.76%

Max Drawdown

NOC:

-69.38%

JEPI:

-13.71%

Current Drawdown

NOC:

-14.31%

JEPI:

-7.02%

Returns By Period

In the year-to-date period, NOC achieves a -0.88% return, which is significantly higher than JEPI's -2.96% return.


NOC

YTD

-0.88%

1M

-8.60%

6M

-10.80%

1Y

-0.74%

5Y*

8.22%

10Y*

13.06%

JEPI

YTD

-2.96%

1M

-4.23%

6M

-4.11%

1Y

4.70%

5Y*

N/A

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

NOC vs. JEPI — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

NOC
The Risk-Adjusted Performance Rank of NOC is 4848
Overall Rank
The Sharpe Ratio Rank of NOC is 5252
Sharpe Ratio Rank
The Sortino Ratio Rank of NOC is 4343
Sortino Ratio Rank
The Omega Ratio Rank of NOC is 4343
Omega Ratio Rank
The Calmar Ratio Rank of NOC is 5252
Calmar Ratio Rank
The Martin Ratio Rank of NOC is 5252
Martin Ratio Rank

JEPI
The Risk-Adjusted Performance Rank of JEPI is 5656
Overall Rank
The Sharpe Ratio Rank of JEPI is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of JEPI is 5252
Sortino Ratio Rank
The Omega Ratio Rank of JEPI is 5656
Omega Ratio Rank
The Calmar Ratio Rank of JEPI is 5959
Calmar Ratio Rank
The Martin Ratio Rank of JEPI is 6161
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

NOC vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Northrop Grumman Corporation (NOC) 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.


The chart of Sharpe ratio for NOC, currently valued at 0.00, compared to the broader market-2.00-1.000.001.002.003.00
NOC: 0.00
JEPI: 0.41
The chart of Sortino ratio for NOC, currently valued at 0.17, compared to the broader market-6.00-4.00-2.000.002.004.00
NOC: 0.17
JEPI: 0.67
The chart of Omega ratio for NOC, currently valued at 1.03, compared to the broader market0.501.001.502.00
NOC: 1.03
JEPI: 1.11
The chart of Calmar ratio for NOC, currently valued at 0.00, compared to the broader market0.001.002.003.004.005.00
NOC: 0.00
JEPI: 0.43
The chart of Martin ratio for NOC, currently valued at 0.00, compared to the broader market-10.00-5.000.005.0010.0015.0020.00
NOC: 0.00
JEPI: 1.99

The current NOC Sharpe Ratio is 0.00, which is lower than the JEPI Sharpe Ratio of 0.41. The chart below compares the historical Sharpe Ratios of NOC 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.00
0.41
NOC
JEPI

Dividends

NOC vs. JEPI - Dividend Comparison

NOC's dividend yield for the trailing twelve months is around 1.78%, less than JEPI's 7.90% yield.


TTM20242023202220212020201920182017201620152014
NOC
Northrop Grumman Corporation
1.78%1.72%1.57%1.24%1.59%1.86%1.50%1.92%1.27%1.50%1.64%1.84%
JEPI
JPMorgan Equity Premium Income ETF
7.90%7.33%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

NOC vs. JEPI - Drawdown Comparison

The maximum NOC drawdown since its inception was -69.38%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for NOC and JEPI. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-14.31%
-7.02%
NOC
JEPI

Volatility

NOC vs. JEPI - Volatility Comparison

Northrop Grumman Corporation (NOC) has a higher volatility of 16.68% compared to JPMorgan Equity Premium Income ETF (JEPI) at 11.06%. This indicates that NOC'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.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
16.68%
11.06%
NOC
JEPI