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OIEJX vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


OIEJXSCHD
YTD Return19.01%17.07%
1Y Return28.54%29.98%
3Y Return (Ann)6.03%6.85%
5Y Return (Ann)9.63%12.79%
10Y Return (Ann)8.89%11.62%
Sharpe Ratio2.762.64
Sortino Ratio3.913.81
Omega Ratio1.511.47
Calmar Ratio3.352.92
Martin Ratio18.0614.57
Ulcer Index1.58%2.04%
Daily Std Dev10.30%11.26%
Max Drawdown-36.88%-33.37%
Current Drawdown-0.70%-0.86%

Correlation

-0.50.00.51.00.9

The correlation between OIEJX and SCHD is 0.94, 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.

Performance

OIEJX vs. SCHD - Performance Comparison

In the year-to-date period, OIEJX achieves a 19.01% return, which is significantly higher than SCHD's 17.07% return. Over the past 10 years, OIEJX has underperformed SCHD with an annualized return of 8.89%, while SCHD has yielded a comparatively higher 11.62% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.17%
10.97%
OIEJX
SCHD

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OIEJX vs. SCHD - Expense Ratio Comparison

OIEJX has a 0.45% expense ratio, which is higher than SCHD's 0.06% expense ratio.


OIEJX
JPMorgan Equity Income Fund R6
Expense ratio chart for OIEJX: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

OIEJX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Income Fund R6 (OIEJX) and Schwab US Dividend Equity ETF (SCHD). 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.


OIEJX
Sharpe ratio
The chart of Sharpe ratio for OIEJX, currently valued at 2.76, compared to the broader market0.002.004.002.76
Sortino ratio
The chart of Sortino ratio for OIEJX, currently valued at 3.91, compared to the broader market0.005.0010.003.91
Omega ratio
The chart of Omega ratio for OIEJX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for OIEJX, currently valued at 3.35, compared to the broader market0.005.0010.0015.0020.003.35
Martin ratio
The chart of Martin ratio for OIEJX, currently valued at 18.06, compared to the broader market0.0020.0040.0060.0080.00100.0018.06
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.64, compared to the broader market0.002.004.002.64
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.81, compared to the broader market0.005.0010.003.81
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.92, compared to the broader market0.005.0010.0015.0020.002.92
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 14.57, compared to the broader market0.0020.0040.0060.0080.00100.0014.57

OIEJX vs. SCHD - Sharpe Ratio Comparison

The current OIEJX Sharpe Ratio is 2.76, which is comparable to the SCHD Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of OIEJX and SCHD, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.76
2.64
OIEJX
SCHD

Dividends

OIEJX vs. SCHD - Dividend Comparison

OIEJX's dividend yield for the trailing twelve months is around 1.98%, less than SCHD's 3.38% yield.


TTM20232022202120202019201820172016201520142013
OIEJX
JPMorgan Equity Income Fund R6
1.98%2.30%2.21%1.75%2.05%2.01%2.46%1.83%2.11%2.26%2.16%2.06%
SCHD
Schwab US Dividend Equity ETF
3.38%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

OIEJX vs. SCHD - Drawdown Comparison

The maximum OIEJX drawdown since its inception was -36.88%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for OIEJX and SCHD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.70%
-0.86%
OIEJX
SCHD

Volatility

OIEJX vs. SCHD - Volatility Comparison

JPMorgan Equity Income Fund R6 (OIEJX) has a higher volatility of 3.93% compared to Schwab US Dividend Equity ETF (SCHD) at 3.51%. This indicates that OIEJX's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
3.93%
3.51%
OIEJX
SCHD