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

Correlation

The correlation between SCM and JEPI is 0.31, 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

SCM vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Stellus Capital Investment Corporation (SCM) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
2.93%
5.85%
SCM
JEPI

Key characteristics

Sharpe Ratio

SCM:

1.30

JEPI:

1.69

Sortino Ratio

SCM:

1.87

JEPI:

2.30

Omega Ratio

SCM:

1.24

JEPI:

1.33

Calmar Ratio

SCM:

1.45

JEPI:

2.73

Martin Ratio

SCM:

7.05

JEPI:

11.34

Ulcer Index

SCM:

2.48%

JEPI:

1.11%

Daily Std Dev

SCM:

13.47%

JEPI:

7.45%

Max Drawdown

SCM:

-66.06%

JEPI:

-13.71%

Current Drawdown

SCM:

-4.62%

JEPI:

-4.61%

Returns By Period

In the year-to-date period, SCM achieves a 16.12% return, which is significantly higher than JEPI's 12.03% return.


SCM

YTD

16.12%

1M

-1.81%

6M

2.93%

1Y

17.50%

5Y*

10.10%

10Y*

12.39%

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

SCM vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Stellus Capital Investment Corporation (SCM) 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 SCM, currently valued at 1.30, compared to the broader market-4.00-2.000.002.001.301.78
The chart of Sortino ratio for SCM, currently valued at 1.87, compared to the broader market-4.00-2.000.002.004.001.872.42
The chart of Omega ratio for SCM, currently valued at 1.24, compared to the broader market0.501.001.502.001.241.35
The chart of Calmar ratio for SCM, currently valued at 1.45, compared to the broader market0.002.004.006.001.452.87
The chart of Martin ratio for SCM, currently valued at 7.05, compared to the broader market0.0010.0020.007.0511.53
SCM
JEPI

The current SCM Sharpe Ratio is 1.30, which is comparable to the JEPI Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of SCM 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.30
1.78
SCM
JEPI

Dividends

SCM vs. JEPI - Dividend Comparison

SCM's dividend yield for the trailing twelve months is around 10.91%, more than JEPI's 7.37% yield.


TTM20232022202120202019201820172016201520142013
SCM
Stellus Capital Investment Corporation
10.91%12.42%11.63%8.27%10.56%9.53%10.47%10.32%11.24%14.07%12.06%9.06%
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

SCM vs. JEPI - Drawdown Comparison

The maximum SCM drawdown since its inception was -66.06%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for SCM and JEPI. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.62%
-4.61%
SCM
JEPI

Volatility

SCM vs. JEPI - Volatility Comparison

Stellus Capital Investment Corporation (SCM) has a higher volatility of 4.37% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.69%. This indicates that SCM'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%JulyAugustSeptemberOctoberNovemberDecember
4.37%
2.69%
SCM
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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