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

Performance

OXLC vs. JEPI - Performance Comparison

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

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.52%
9.24%
OXLC
JEPI

Returns By Period

In the year-to-date period, OXLC achieves a 25.83% return, which is significantly higher than JEPI's 15.68% return.


OXLC

YTD

25.83%

1M

1.51%

6M

6.52%

1Y

28.67%

5Y (annualized)

8.38%

10Y (annualized)

6.93%

JEPI

YTD

15.68%

1M

1.17%

6M

9.24%

1Y

18.27%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


OXLCJEPI
Sharpe Ratio1.832.63
Sortino Ratio2.533.65
Omega Ratio1.351.52
Calmar Ratio1.224.81
Martin Ratio9.8718.61
Ulcer Index2.75%1.00%
Daily Std Dev14.79%7.08%
Max Drawdown-74.59%-13.71%
Current Drawdown-2.77%-0.28%

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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.

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.


Sharpe ratio
The chart of Sharpe ratio for OXLC, currently valued at 1.83, compared to the broader market-4.00-2.000.002.004.001.832.63
The chart of Sortino ratio for OXLC, currently valued at 2.53, compared to the broader market-4.00-2.000.002.004.002.533.65
The chart of Omega ratio for OXLC, currently valued at 1.35, compared to the broader market0.501.001.502.001.351.52
The chart of Calmar ratio for OXLC, currently valued at 1.22, compared to the broader market0.002.004.006.001.224.81
The chart of Martin ratio for OXLC, currently valued at 9.87, compared to the broader market0.0010.0020.0030.009.8718.61
OXLC
JEPI

The current OXLC Sharpe Ratio is 1.83, which is lower than the JEPI Sharpe Ratio of 2.63. 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
1.83
2.63
OXLC
JEPI

Dividends

OXLC vs. JEPI - Dividend Comparison

OXLC's dividend yield for the trailing twelve months is around 19.39%, more than JEPI's 7.07% yield.


TTM20232022202120202019201820172016201520142013
OXLC
Oxford Lane Capital Corp.
19.39%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
7.07%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 -74.59%, 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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.77%
-0.28%
OXLC
JEPI

Volatility

OXLC vs. JEPI - Volatility Comparison

Oxford Lane Capital Corp. (OXLC) has a higher volatility of 3.36% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. 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
3.36%
2.25%
OXLC
JEPI