SCM vs. JEPI
Compare and contrast key facts about Stellus Capital Investment Corporation (SCM) and JPMorgan Equity Premium Income ETF (JEPI).
JEPI is an actively managed fund by JPMorgan Chase. It was launched on May 20, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SCM or JEPI.
Key characteristics
| SCM | JEPI | |
|---|---|---|
| YTD Return | 17.76% | 15.79% |
| 1Y Return | 21.92% | 20.11% |
| 3Y Return (Ann) | 10.38% | 8.29% |
| Sharpe Ratio | 1.74 | 2.87 |
| Sortino Ratio | 2.47 | 4.00 |
| Omega Ratio | 1.31 | 1.58 |
| Calmar Ratio | 1.70 | 5.20 |
| Martin Ratio | 10.17 | 20.34 |
| Ulcer Index | 2.30% | 0.99% |
| Daily Std Dev | 13.47% | 7.00% |
| Max Drawdown | -66.06% | -13.71% |
| Current Drawdown | -3.28% | -0.18% |
Correlation
The correlation between SCM and JEPI is 0.32, 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
SCM vs. JEPI - Performance Comparison
In the year-to-date period, SCM achieves a 17.76% return, which is significantly higher than JEPI's 15.79% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
Dividends
SCM vs. JEPI - Dividend Comparison
SCM's dividend yield for the trailing twelve months is around 11.63%, more than JEPI's 7.07% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SCM Stellus Capital Investment Corporation | 11.63% | 12.42% | 11.63% | 8.27% | 10.56% | 9.51% | 10.47% | 10.32% | 11.24% | 14.07% | 12.06% | 9.06% |
JEPI JPMorgan Equity Premium Income ETF | 7.07% | 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.
Volatility
SCM vs. JEPI - Volatility Comparison
Stellus Capital Investment Corporation (SCM) has a higher volatility of 4.11% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.97%. 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.