ORC vs. JEPI
Compare and contrast key facts about Orchid Island Capital, Inc. (ORC) and JPMorgan Equity Premium Income ETF (JEPI).
JEPI is an actively managed fund by JPMorgan Chase. It was launched on May 20, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ORC or JEPI.
Key characteristics
| ORC | JEPI | |
|---|---|---|
| YTD Return | 8.33% | 15.91% |
| 1Y Return | 38.98% | 21.29% |
| 3Y Return (Ann) | -18.57% | 8.56% |
| Sharpe Ratio | 1.28 | 2.91 |
| Sortino Ratio | 1.83 | 4.06 |
| Omega Ratio | 1.25 | 1.59 |
| Calmar Ratio | 0.49 | 5.33 |
| Martin Ratio | 7.46 | 20.85 |
| Ulcer Index | 4.49% | 0.99% |
| Daily Std Dev | 26.08% | 7.08% |
| Max Drawdown | -75.77% | -13.71% |
| Current Drawdown | -54.98% | 0.00% |
Correlation
The correlation between ORC and JEPI is 0.41, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
ORC vs. JEPI - Performance Comparison
In the year-to-date period, ORC achieves a 8.33% return, which is significantly lower than JEPI's 15.91% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ORC vs. JEPI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Orchid Island Capital, Inc. (ORC) 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.
Dividends
ORC vs. JEPI - Dividend Comparison
ORC's dividend yield for the trailing twelve months is around 18.20%, more than JEPI's 7.06% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ORC Orchid Island Capital, Inc. | 18.20% | 21.35% | 23.57% | 17.33% | 15.13% | 16.41% | 16.74% | 18.10% | 15.51% | 19.34% | 16.55% | 10.73% |
JEPI JPMorgan Equity Premium Income ETF | 7.06% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ORC vs. JEPI - Drawdown Comparison
The maximum ORC drawdown since its inception was -75.77%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for ORC and JEPI. For additional features, visit the drawdowns tool.
Volatility
ORC vs. JEPI - Volatility Comparison
Orchid Island Capital, Inc. (ORC) has a higher volatility of 5.89% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.04%. This indicates that ORC'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.