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

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.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.19%
9.24%
ORC
JEPI

Returns By Period

In the year-to-date period, ORC achieves a 7.78% return, which is significantly lower than JEPI's 15.68% return.


ORC

YTD

7.78%

1M

1.68%

6M

2.18%

1Y

25.65%

5Y (annualized)

-8.40%

10Y (annualized)

-5.31%

JEPI

YTD

15.68%

1M

1.17%

6M

9.24%

1Y

18.27%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


ORCJEPI
Sharpe Ratio1.092.63
Sortino Ratio1.593.65
Omega Ratio1.211.52
Calmar Ratio0.434.81
Martin Ratio5.9518.61
Ulcer Index4.62%1.00%
Daily Std Dev25.23%7.08%
Max Drawdown-75.77%-13.71%
Current Drawdown-55.21%-0.28%

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Correlation

-0.50.00.51.00.4

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.

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.


Sharpe ratio
The chart of Sharpe ratio for ORC, currently valued at 1.09, compared to the broader market-4.00-2.000.002.004.001.092.63
The chart of Sortino ratio for ORC, currently valued at 1.59, compared to the broader market-4.00-2.000.002.004.001.593.65
The chart of Omega ratio for ORC, currently valued at 1.21, compared to the broader market0.501.001.502.001.211.52
The chart of Calmar ratio for ORC, currently valued at 0.44, compared to the broader market0.002.004.006.000.444.81
The chart of Martin ratio for ORC, currently valued at 5.95, compared to the broader market0.0010.0020.0030.005.9518.61
ORC
JEPI

The current ORC Sharpe Ratio is 1.09, which is lower than the JEPI Sharpe Ratio of 2.63. 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.09
2.63
ORC
JEPI

Dividends

ORC vs. JEPI - Dividend Comparison

ORC's dividend yield for the trailing twelve months is around 18.30%, more than JEPI's 7.07% yield.


TTM20232022202120202019201820172016201520142013
ORC
Orchid Island Capital, Inc.
18.30%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
7.07%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.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-52.41%
-0.28%
ORC
JEPI

Volatility

ORC vs. JEPI - Volatility Comparison

Orchid Island Capital, Inc. (ORC) has a higher volatility of 5.21% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. 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.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.21%
2.25%
ORC
JEPI