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

Key characteristics


OXLCJEPI
YTD Return29.42%15.91%
1Y Return31.50%21.29%
3Y Return (Ann)3.45%8.56%
Sharpe Ratio2.092.91
Sortino Ratio2.834.06
Omega Ratio1.401.59
Calmar Ratio1.395.33
Martin Ratio11.1320.85
Ulcer Index2.78%0.99%
Daily Std Dev14.81%7.08%
Max Drawdown-74.58%-13.71%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.3

The correlation between OXLC and JEPI is 0.30, 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.

Performance

OXLC vs. JEPI - Performance Comparison

In the year-to-date period, OXLC achieves a 29.42% return, which is significantly higher 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.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.37%
9.11%
OXLC
JEPI

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Risk-Adjusted Performance

OXLC vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Oxford Lane Capital Corp. (OXLC) 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.


OXLC
Sharpe ratio
The chart of Sharpe ratio for OXLC, currently valued at 2.09, compared to the broader market-4.00-2.000.002.004.002.09
Sortino ratio
The chart of Sortino ratio for OXLC, currently valued at 2.83, compared to the broader market-4.00-2.000.002.004.006.002.83
Omega ratio
The chart of Omega ratio for OXLC, currently valued at 1.40, compared to the broader market0.501.001.502.001.40
Calmar ratio
The chart of Calmar ratio for OXLC, currently valued at 1.39, compared to the broader market0.002.004.006.001.39
Martin ratio
The chart of Martin ratio for OXLC, currently valued at 11.13, compared to the broader market0.0010.0020.0030.0011.13
JEPI
Sharpe ratio
The chart of Sharpe ratio for JEPI, currently valued at 2.91, compared to the broader market-4.00-2.000.002.004.002.91
Sortino ratio
The chart of Sortino ratio for JEPI, currently valued at 4.06, compared to the broader market-4.00-2.000.002.004.006.004.06
Omega ratio
The chart of Omega ratio for JEPI, currently valued at 1.58, compared to the broader market0.501.001.502.001.59
Calmar ratio
The chart of Calmar ratio for JEPI, currently valued at 5.33, compared to the broader market0.002.004.006.005.33
Martin ratio
The chart of Martin ratio for JEPI, currently valued at 20.85, compared to the broader market0.0010.0020.0030.0020.85

OXLC vs. JEPI - Sharpe Ratio Comparison

The current OXLC Sharpe Ratio is 2.09, which is comparable to the JEPI Sharpe Ratio of 2.91. The chart below compares the historical Sharpe Ratios of OXLC 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.09
2.91
OXLC
JEPI

Dividends

OXLC vs. JEPI - Dividend Comparison

OXLC's dividend yield for the trailing twelve months is around 18.35%, more than JEPI's 7.06% yield.


TTM20232022202120202019201820172016201520142013
OXLC
Oxford Lane Capital Corp.
18.35%18.83%17.75%10.58%22.51%19.85%16.70%17.91%22.84%24.10%16.72%12.69%
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

OXLC vs. JEPI - Drawdown Comparison

The maximum OXLC drawdown since its inception was -74.58%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for OXLC and JEPI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
OXLC
JEPI

Volatility

OXLC vs. JEPI - Volatility Comparison

Oxford Lane Capital Corp. (OXLC) has a higher volatility of 2.48% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.04%. This indicates that OXLC'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
2.48%
2.04%
OXLC
JEPI