SAR vs. JEPQ
SAR (Saratoga Investment Corp.) is a stock, while JEPQ (JPMorgan Nasdaq Equity Premium Income ETF) is Nasdaq-100 fund tracking the Nasdaq-100 Index. Over the past 3 years, SAR returned 3.61%/yr vs 19.29%/yr for JEPQ. At a 0.27 correlation, their price movements are largely independent.
Performance
SAR vs. JEPQ - Performance Comparison
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Returns By Period
In the year-to-date period, SAR achieves a -7.77% return, which is significantly lower than JEPQ's 9.58% return.
SAR
- 1D
- 0.79%
- 1M
- -13.47%
- 6M
- -8.51%
- YTD
- -7.77%
- 1Y
- -8.53%
- 3Y*
- 3.61%
- 5Y*
- 5.02%
- 10Y*
- 12.26%
JEPQ
- 1D
- 1.01%
- 1M
- 1.60%
- 6M
- 7.64%
- YTD
- 9.58%
- 1Y
- 23.20%
- 3Y*
- 19.29%
- 5Y*
- —
- 10Y*
- —
SAR vs. JEPQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
SAR Saratoga Investment Corp. | -7.77% | 10.36% | 6.07% | 12.91% | 6.30% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 9.58% | 15.18% | 24.85% | 36.28% | -11.16% |
Correlation
The correlation between SAR and JEPQ is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.21 |
Correlation (All Time) Calculated using the full available price history since May 4, 2022 | 0.27 |
The correlation between SAR and JEPQ shifts across timeframes, from 0.17 (1 year) to 0.27 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SAR vs. JEPQ — Risk / Return Rank
SAR
JEPQ
SAR vs. JEPQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saratoga Investment Corp. (SAR) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SAR | JEPQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.03 | ||
| Sortino ratioReturn per unit of downside risk | -2.56 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.33 | -0.37 |
| Calmar ratioReturn relative to maximum drawdown | -0.38 | 2.64 | -3.02 |
| Martin ratioReturn relative to average drawdown | -1.42 | 12.19 | -13.61 |
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Drawdowns
SAR vs. JEPQ - Drawdown Comparison
The maximum SAR drawdown since its inception was -90.67%, which is greater than JEPQ's maximum drawdown of -20.07%. Use the drawdown chart below to compare losses from any high point for SAR and JEPQ.
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Drawdown Indicators
| SAR | JEPQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.67% | -20.07% | -70.60% |
Max Drawdown (1Y)Largest decline over 1 year | -22.46% | -8.82% | -13.64% |
Max Drawdown (3Y)Largest decline over 3 years | -22.46% | -20.07% | -2.39% |
Max Drawdown (5Y)Largest decline over 5 years | -26.19% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -69.89% | — | — |
Current DrawdownCurrent decline from peak | -14.69% | -1.04% | -13.65% |
Average DrawdownAverage peak-to-trough decline | -17.54% | -3.37% | -14.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.99% | 1.91% | +4.08% |
Volatility
SAR vs. JEPQ - Volatility Comparison
Saratoga Investment Corp. (SAR) has a higher volatility of 17.67% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 6.03%. This indicates that SAR'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.
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Volatility by Period
| SAR | JEPQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.67% | 6.03% | +11.64% |
Volatility (6M)Calculated over the trailing 6-month period | 22.74% | 11.32% | +11.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.31% | 13.75% | +11.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.66% | 16.82% | +6.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 38.03% | 16.82% | +21.21% |
Dividends
SAR vs. JEPQ - Dividend Comparison
SAR's dividend yield for the trailing twelve months is around 19.97%, more than JEPQ's 10.40% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 10.40% | 10.53% | 9.65% | 10.03% | 9.44% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SAR Saratoga Investment Corp. | 19.97% | 14.04% | 13.80% | 10.90% | 11.02% | 6.16% | 6.57% | 6.61% | 10.35% | 10.51% | 9.12% | 14.14% |
Frequently Asked Questions
SAR and JEPQ have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SAR has higher volatility (17.67%) compared to JEPQ (6.03%). In terms of maximum drawdown, SAR dropped -90.67% vs JEPQ's -20.07%.
JEPQ currently has the higher Sharpe Ratio (1.69 vs -0.34), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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