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

Key characteristics


QQQYJEPQ
YTD Return9.69%18.38%
1Y Return19.23%26.44%
Sharpe Ratio1.742.27
Sortino Ratio2.032.95
Omega Ratio1.311.46
Calmar Ratio1.992.56
Martin Ratio7.1111.09
Ulcer Index2.82%2.48%
Daily Std Dev11.56%12.12%
Max Drawdown-10.07%-16.82%
Current Drawdown-2.87%-1.69%

Correlation

-0.50.00.51.00.9

The correlation between QQQY and JEPQ is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

QQQY vs. JEPQ - Performance Comparison

In the year-to-date period, QQQY achieves a 9.69% return, which is significantly lower than JEPQ's 18.38% 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
7.92%
7.70%
QQQY
JEPQ

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QQQY vs. JEPQ - Expense Ratio Comparison

QQQY has a 0.99% expense ratio, which is higher than JEPQ'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 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

QQQY vs. JEPQ - 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 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.


QQQY
Sharpe ratio
The chart of Sharpe ratio for QQQY, currently valued at 1.74, compared to the broader market0.002.004.001.74
Sortino ratio
The chart of Sortino ratio for QQQY, currently valued at 2.03, compared to the broader market0.005.0010.002.03
Omega ratio
The chart of Omega ratio for QQQY, currently valued at 1.31, compared to the broader market1.001.502.002.503.003.501.31
Calmar ratio
The chart of Calmar ratio for QQQY, currently valued at 1.99, compared to the broader market0.005.0010.0015.0020.001.99
Martin ratio
The chart of Martin ratio for QQQY, currently valued at 7.11, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.11
JEPQ
Sharpe ratio
The chart of Sharpe ratio for JEPQ, currently valued at 2.27, compared to the broader market0.002.004.002.27
Sortino ratio
The chart of Sortino ratio for JEPQ, currently valued at 2.95, compared to the broader market0.005.0010.002.95
Omega ratio
The chart of Omega ratio for JEPQ, currently valued at 1.46, compared to the broader market1.001.502.002.503.003.501.46
Calmar ratio
The chart of Calmar ratio for JEPQ, currently valued at 2.56, compared to the broader market0.005.0010.0015.0020.002.56
Martin ratio
The chart of Martin ratio for JEPQ, currently valued at 11.09, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.09

QQQY vs. JEPQ - Sharpe Ratio Comparison

The current QQQY Sharpe Ratio is 1.74, which is comparable to the JEPQ Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of QQQY 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 Ratio1.502.002.503.00Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03
1.74
2.27
QQQY
JEPQ

Dividends

QQQY vs. JEPQ - Dividend Comparison

QQQY's dividend yield for the trailing twelve months is around 84.29%, more than JEPQ's 9.74% yield.


TTM20232022
QQQY
Defiance Nasdaq 100 Enhanced Options Income ETF
84.29%20.64%0.00%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.74%10.02%9.44%

Drawdowns

QQQY vs. JEPQ - Drawdown Comparison

The maximum QQQY drawdown since its inception was -10.07%, smaller than the maximum JEPQ drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for QQQY and JEPQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.87%
-1.69%
QQQY
JEPQ

Volatility

QQQY vs. JEPQ - Volatility Comparison

Defiance Nasdaq 100 Enhanced Options Income ETF (QQQY) has a higher volatility of 3.59% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 2.79%. This indicates that QQQY's price experiences larger fluctuations and is considered to be riskier than JEPQ 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%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.59%
2.79%
QQQY
JEPQ