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PFRL vs. JEPQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PFRLJEPQ
YTD Return8.38%23.19%
1Y Return11.45%28.90%
Sharpe Ratio5.632.49
Sortino Ratio8.943.24
Omega Ratio2.521.51
Calmar Ratio11.352.85
Martin Ratio80.0412.34
Ulcer Index0.15%2.48%
Daily Std Dev2.08%12.22%
Max Drawdown-3.27%-16.82%
Current Drawdown-0.09%0.00%

Correlation

-0.50.00.51.00.4

The correlation between PFRL and JEPQ 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

PFRL vs. JEPQ - Performance Comparison

In the year-to-date period, PFRL achieves a 8.38% return, which is significantly lower than JEPQ's 23.19% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.25%
11.18%
PFRL
JEPQ

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PFRL vs. JEPQ - Expense Ratio Comparison

PFRL has a 0.72% expense ratio, which is higher than JEPQ's 0.35% expense ratio.


PFRL
PGIM Floating Rate Income ETF
Expense ratio chart for PFRL: current value at 0.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.72%
Expense ratio chart for JEPQ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

PFRL vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM Floating Rate Income ETF (PFRL) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). 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.


PFRL
Sharpe ratio
The chart of Sharpe ratio for PFRL, currently valued at 5.63, compared to the broader market-2.000.002.004.006.005.63
Sortino ratio
The chart of Sortino ratio for PFRL, currently valued at 8.94, compared to the broader market0.005.0010.008.94
Omega ratio
The chart of Omega ratio for PFRL, currently valued at 2.52, compared to the broader market1.001.502.002.503.002.52
Calmar ratio
The chart of Calmar ratio for PFRL, currently valued at 11.35, compared to the broader market0.005.0010.0015.0011.35
Martin ratio
The chart of Martin ratio for PFRL, currently valued at 80.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.0080.04
JEPQ
Sharpe ratio
The chart of Sharpe ratio for JEPQ, currently valued at 2.49, compared to the broader market-2.000.002.004.006.002.49
Sortino ratio
The chart of Sortino ratio for JEPQ, currently valued at 3.24, compared to the broader market0.005.0010.003.24
Omega ratio
The chart of Omega ratio for JEPQ, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for JEPQ, currently valued at 2.85, compared to the broader market0.005.0010.0015.002.85
Martin ratio
The chart of Martin ratio for JEPQ, currently valued at 12.34, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.34

PFRL vs. JEPQ - Sharpe Ratio Comparison

The current PFRL Sharpe Ratio is 5.63, which is higher than the JEPQ Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of PFRL and JEPQ, 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 Ratio1.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
5.63
2.49
PFRL
JEPQ

Dividends

PFRL vs. JEPQ - Dividend Comparison

PFRL's dividend yield for the trailing twelve months is around 9.32%, which matches JEPQ's 9.36% yield.


TTM20232022
PFRL
PGIM Floating Rate Income ETF
9.32%9.84%3.55%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.36%10.02%9.44%

Drawdowns

PFRL vs. JEPQ - Drawdown Comparison

The maximum PFRL drawdown since its inception was -3.27%, smaller than the maximum JEPQ drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for PFRL and JEPQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.09%
0
PFRL
JEPQ

Volatility

PFRL vs. JEPQ - Volatility Comparison

The current volatility for PGIM Floating Rate Income ETF (PFRL) is 0.49%, while JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) has a volatility of 3.39%. This indicates that PFRL experiences smaller price fluctuations and is considered to be less risky than JEPQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.49%
3.39%
PFRL
JEPQ