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

Correlation

The correlation between PHD and JEPI is 0.32, 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.


-0.50.00.51.00.3

Performance

PHD vs. JEPI - Performance Comparison

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

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
3.87%
5.53%
PHD
JEPI

Key characteristics

Sharpe Ratio

PHD:

1.97

JEPI:

1.69

Sortino Ratio

PHD:

2.58

JEPI:

2.30

Omega Ratio

PHD:

1.41

JEPI:

1.33

Calmar Ratio

PHD:

1.99

JEPI:

2.73

Martin Ratio

PHD:

19.79

JEPI:

11.34

Ulcer Index

PHD:

0.84%

JEPI:

1.11%

Daily Std Dev

PHD:

8.47%

JEPI:

7.45%

Max Drawdown

PHD:

-63.59%

JEPI:

-13.71%

Current Drawdown

PHD:

-2.54%

JEPI:

-4.61%

Returns By Period

In the year-to-date period, PHD achieves a 16.14% return, which is significantly higher than JEPI's 12.03% return.


PHD

YTD

16.14%

1M

-1.09%

6M

3.60%

1Y

16.93%

5Y*

6.97%

10Y*

6.44%

JEPI

YTD

12.03%

1M

-2.33%

6M

5.85%

1Y

13.24%

5Y*

N/A

10Y*

N/A

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Risk-Adjusted Performance

PHD vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Pioneer Floating Rate Fund, Inc. (PHD) 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 PHD, currently valued at 1.97, compared to the broader market-4.00-2.000.002.001.971.69
The chart of Sortino ratio for PHD, currently valued at 2.58, compared to the broader market-4.00-2.000.002.004.002.582.30
The chart of Omega ratio for PHD, currently valued at 1.41, compared to the broader market0.501.001.502.001.411.33
The chart of Calmar ratio for PHD, currently valued at 1.99, compared to the broader market0.002.004.006.001.992.73
The chart of Martin ratio for PHD, currently valued at 19.79, compared to the broader market0.0010.0020.0019.7911.34
PHD
JEPI

The current PHD Sharpe Ratio is 1.97, which is comparable to the JEPI Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of PHD 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.97
1.69
PHD
JEPI

Dividends

PHD vs. JEPI - Dividend Comparison

PHD's dividend yield for the trailing twelve months is around 11.45%, more than JEPI's 7.37% yield.


TTM20232022202120202019201820172016201520142013
PHD
Pioneer Floating Rate Fund, Inc.
11.45%11.96%9.78%6.30%6.71%7.33%6.71%6.28%6.13%6.50%6.50%7.26%
JEPI
JPMorgan Equity Premium Income ETF
7.37%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

PHD vs. JEPI - Drawdown Comparison

The maximum PHD drawdown since its inception was -63.59%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for PHD and JEPI. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.54%
-4.61%
PHD
JEPI

Volatility

PHD vs. JEPI - Volatility Comparison

The current volatility for Pioneer Floating Rate Fund, Inc. (PHD) is 1.93%, while JPMorgan Equity Premium Income ETF (JEPI) has a volatility of 2.70%. This indicates that PHD experiences smaller price fluctuations and is considered to be less risky than JEPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
1.93%
2.70%
PHD
JEPI
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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