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

Performance

QQQY vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Defiance Nasdaq 100 Enhanced Options Income ETF (QQQY) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
5.55%
9.23%
QQQY
JEPI

Returns By Period

In the year-to-date period, QQQY achieves a 11.23% return, which is significantly lower than JEPI's 15.68% return.


QQQY

YTD

11.23%

1M

-0.70%

6M

5.54%

1Y

16.69%

5Y (annualized)

N/A

10Y (annualized)

N/A

JEPI

YTD

15.68%

1M

1.17%

6M

9.24%

1Y

18.27%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


QQQYJEPI
Sharpe Ratio1.482.63
Sortino Ratio1.753.65
Omega Ratio1.261.52
Calmar Ratio1.734.81
Martin Ratio6.1518.61
Ulcer Index2.84%1.00%
Daily Std Dev11.83%7.08%
Max Drawdown-10.07%-13.71%
Current Drawdown-1.75%-0.28%

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QQQY vs. JEPI - Expense Ratio Comparison

QQQY has a 0.99% expense ratio, which is higher than JEPI's 0.35% expense ratio.


QQQY
Defiance Nasdaq 100 Enhanced Options Income ETF
Expense ratio chart for QQQY: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
Expense ratio chart for JEPI: 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%

Correlation

-0.50.00.51.00.6

The correlation between QQQY and JEPI is 0.59, 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

QQQY vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Defiance Nasdaq 100 Enhanced Options Income ETF (QQQY) 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 QQQY, currently valued at 1.48, compared to the broader market0.002.004.001.482.63
The chart of Sortino ratio for QQQY, currently valued at 1.75, compared to the broader market-2.000.002.004.006.008.0010.001.753.65
The chart of Omega ratio for QQQY, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.52
The chart of Calmar ratio for QQQY, currently valued at 1.73, compared to the broader market0.005.0010.0015.001.734.81
The chart of Martin ratio for QQQY, currently valued at 6.15, compared to the broader market0.0020.0040.0060.0080.00100.006.1518.61
QQQY
JEPI

The current QQQY Sharpe Ratio is 1.48, which is lower than the JEPI Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of QQQY 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 Ratio1.502.002.503.00Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10Nov 17
1.48
2.63
QQQY
JEPI

Dividends

QQQY vs. JEPI - Dividend Comparison

QQQY's dividend yield for the trailing twelve months is around 86.45%, more than JEPI's 7.07% yield.


TTM2023202220212020
QQQY
Defiance Nasdaq 100 Enhanced Options Income ETF
86.45%20.64%0.00%0.00%0.00%
JEPI
JPMorgan Equity Premium Income ETF
7.07%8.40%11.67%6.59%5.79%

Drawdowns

QQQY vs. JEPI - Drawdown Comparison

The maximum QQQY drawdown since its inception was -10.07%, smaller than the maximum JEPI drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for QQQY and JEPI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.75%
-0.28%
QQQY
JEPI

Volatility

QQQY vs. JEPI - Volatility Comparison

Defiance Nasdaq 100 Enhanced Options Income ETF (QQQY) has a higher volatility of 4.07% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. This indicates that QQQY'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.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.07%
2.25%
QQQY
JEPI