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

Key characteristics


ROOTJEPQ
YTD Return681.77%23.15%
1Y Return730.09%30.52%
Sharpe Ratio5.352.44
Sortino Ratio4.963.18
Omega Ratio1.611.50
Calmar Ratio7.202.79
Martin Ratio21.8412.07
Ulcer Index32.46%2.48%
Daily Std Dev132.43%12.27%
Max Drawdown-99.29%-16.82%
Current Drawdown-83.14%0.00%

Correlation

-0.50.00.51.00.3

The correlation between ROOT and JEPQ is 0.33, 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.

Performance

ROOT vs. JEPQ - Performance Comparison

In the year-to-date period, ROOT achieves a 681.77% return, which is significantly higher than JEPQ's 23.15% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
28.29%
11.57%
ROOT
JEPQ

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Risk-Adjusted Performance

ROOT vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Root, Inc. (ROOT) 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.


ROOT
Sharpe ratio
The chart of Sharpe ratio for ROOT, currently valued at 5.35, compared to the broader market-4.00-2.000.002.004.005.35
Sortino ratio
The chart of Sortino ratio for ROOT, currently valued at 4.96, compared to the broader market-4.00-2.000.002.004.006.004.96
Omega ratio
The chart of Omega ratio for ROOT, currently valued at 1.61, compared to the broader market0.501.001.502.001.61
Calmar ratio
The chart of Calmar ratio for ROOT, currently valued at 9.03, compared to the broader market0.002.004.006.009.03
Martin ratio
The chart of Martin ratio for ROOT, currently valued at 21.84, compared to the broader market0.0010.0020.0030.0021.84
JEPQ
Sharpe ratio
The chart of Sharpe ratio for JEPQ, currently valued at 2.44, compared to the broader market-4.00-2.000.002.004.002.44
Sortino ratio
The chart of Sortino ratio for JEPQ, currently valued at 3.18, compared to the broader market-4.00-2.000.002.004.006.003.18
Omega ratio
The chart of Omega ratio for JEPQ, currently valued at 1.50, compared to the broader market0.501.001.502.001.50
Calmar ratio
The chart of Calmar ratio for JEPQ, currently valued at 2.79, compared to the broader market0.002.004.006.002.79
Martin ratio
The chart of Martin ratio for JEPQ, currently valued at 12.07, compared to the broader market0.0010.0020.0030.0012.07

ROOT vs. JEPQ - Sharpe Ratio Comparison

The current ROOT Sharpe Ratio is 5.35, which is higher than the JEPQ Sharpe Ratio of 2.44. The chart below compares the historical Sharpe Ratios of ROOT 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 Ratio0.002.004.006.008.0010.00JuneJulyAugustSeptemberOctoberNovember
5.35
2.44
ROOT
JEPQ

Dividends

ROOT vs. JEPQ - Dividend Comparison

ROOT has not paid dividends to shareholders, while JEPQ's dividend yield for the trailing twelve months is around 9.36%.


TTM20232022
ROOT
Root, Inc.
0.00%0.00%0.00%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.36%10.02%9.44%

Drawdowns

ROOT vs. JEPQ - Drawdown Comparison

The maximum ROOT drawdown since its inception was -99.29%, which is greater than JEPQ's maximum drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for ROOT and JEPQ. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.17%
0
ROOT
JEPQ

Volatility

ROOT vs. JEPQ - Volatility Comparison

Root, Inc. (ROOT) has a higher volatility of 54.26% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 3.39%. This indicates that ROOT'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.


0.00%10.00%20.00%30.00%40.00%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
54.26%
3.39%
ROOT
JEPQ