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

Correlation

The correlation between ORC and JEPI is 0.51, 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.


-0.50.00.51.0
Correlation: 0.5

Performance

ORC vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Orchid Island Capital, Inc. (ORC) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

-40.00%-20.00%0.00%20.00%40.00%60.00%80.00%NovemberDecember2025FebruaryMarchApril
-22.37%
66.94%
ORC
JEPI

Key characteristics

Sharpe Ratio

ORC:

-0.02

JEPI:

0.41

Sortino Ratio

ORC:

0.14

JEPI:

0.67

Omega Ratio

ORC:

1.02

JEPI:

1.11

Calmar Ratio

ORC:

-0.01

JEPI:

0.43

Martin Ratio

ORC:

-0.06

JEPI:

1.99

Ulcer Index

ORC:

7.78%

JEPI:

2.83%

Daily Std Dev

ORC:

24.26%

JEPI:

13.76%

Max Drawdown

ORC:

-75.77%

JEPI:

-13.71%

Current Drawdown

ORC:

-57.47%

JEPI:

-7.02%

Returns By Period

In the year-to-date period, ORC achieves a -6.85% return, which is significantly lower than JEPI's -2.96% return.


ORC

YTD

-6.85%

1M

-13.51%

6M

-3.69%

1Y

-4.12%

5Y*

-2.76%

10Y*

-6.50%

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

ORC vs. JEPI — Risk-Adjusted Performance Rank

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

ORC
The Risk-Adjusted Performance Rank of ORC is 4747
Overall Rank
The Sharpe Ratio Rank of ORC is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of ORC is 4141
Sortino Ratio Rank
The Omega Ratio Rank of ORC is 4141
Omega Ratio Rank
The Calmar Ratio Rank of ORC is 5252
Calmar Ratio Rank
The Martin Ratio Rank of ORC is 5151
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.

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.


The chart of Sharpe ratio for ORC, currently valued at -0.02, compared to the broader market-2.00-1.000.001.002.003.00
ORC: -0.02
JEPI: 0.41
The chart of Sortino ratio for ORC, currently valued at 0.14, compared to the broader market-6.00-4.00-2.000.002.004.00
ORC: 0.14
JEPI: 0.67
The chart of Omega ratio for ORC, currently valued at 1.02, compared to the broader market0.501.001.502.00
ORC: 1.02
JEPI: 1.11
The chart of Calmar ratio for ORC, currently valued at -0.01, compared to the broader market0.001.002.003.004.005.00
ORC: -0.01
JEPI: 0.43
The chart of Martin ratio for ORC, currently valued at -0.06, compared to the broader market-10.00-5.000.005.0010.0015.0020.00
ORC: -0.06
JEPI: 1.99

The current ORC Sharpe Ratio is -0.02, which is lower than the JEPI Sharpe Ratio of 0.41. The chart below compares the historical Sharpe Ratios of ORC 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 Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.02
0.41
ORC
JEPI

Dividends

ORC vs. JEPI - Dividend Comparison

ORC's dividend yield for the trailing twelve months is around 20.78%, more than JEPI's 7.90% yield.


TTM20242023202220212020201920182017201620152014
ORC
Orchid Island Capital, Inc.
20.78%18.51%21.35%23.57%17.33%15.13%16.41%16.74%18.10%15.51%19.34%16.55%
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

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.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-54.81%
-7.02%
ORC
JEPI

Volatility

ORC vs. JEPI - Volatility Comparison

Orchid Island Capital, Inc. (ORC) has a higher volatility of 15.48% compared to JPMorgan Equity Premium Income ETF (JEPI) at 11.06%. 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.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
15.48%
11.06%
ORC
JEPI