SCO vs. JEPQ
Compare and contrast key facts about ProShares UltraShort Bloomberg Crude Oil (SCO) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ).
SCO and JEPQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SCO is a passively managed fund by ProShares that tracks the performance of the Bloomberg Commodity Balanced WTI Crude Oil Index (-200%). It was launched on Nov 24, 2008. JEPQ is an actively managed fund by JPMorgan Chase. It was launched on May 3, 2022.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SCO or JEPQ.
Performance
SCO vs. JEPQ - Performance Comparison
Returns By Period
In the year-to-date period, SCO achieves a -13.83% return, which is significantly lower than JEPQ's 22.43% return.
SCO
-13.83%
-1.85%
5.20%
-1.69%
-42.17%
-26.92%
JEPQ
22.43%
2.46%
9.42%
26.56%
N/A
N/A
Key characteristics
| SCO | JEPQ | |
|---|---|---|
| Sharpe Ratio | -0.05 | 2.15 |
| Sortino Ratio | 0.27 | 2.82 |
| Omega Ratio | 1.03 | 1.44 |
| Calmar Ratio | -0.02 | 2.47 |
| Martin Ratio | -0.11 | 10.68 |
| Ulcer Index | 21.23% | 2.48% |
| Daily Std Dev | 46.74% | 12.33% |
| Max Drawdown | -99.50% | -16.82% |
| Current Drawdown | -99.39% | -0.78% |
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SCO vs. JEPQ - Expense Ratio Comparison
SCO has a 0.95% expense ratio, which is higher than JEPQ's 0.35% expense ratio.
Correlation
The correlation between SCO and JEPQ is -0.09. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Risk-Adjusted Performance
SCO vs. JEPQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Bloomberg Crude Oil (SCO) 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.
Dividends
SCO vs. JEPQ - Dividend Comparison
SCO has not paid dividends to shareholders, while JEPQ's dividend yield for the trailing twelve months is around 9.42%.
| TTM | 2023 | 2022 | |
|---|---|---|---|
SCO ProShares UltraShort Bloomberg Crude Oil | 0.00% | 0.00% | 0.00% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 9.42% | 10.02% | 9.44% |
Drawdowns
SCO vs. JEPQ - Drawdown Comparison
The maximum SCO drawdown since its inception was -99.50%, which is greater than JEPQ's maximum drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for SCO and JEPQ. For additional features, visit the drawdowns tool.
Volatility
SCO vs. JEPQ - Volatility Comparison
ProShares UltraShort Bloomberg Crude Oil (SCO) has a higher volatility of 16.27% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 3.86%. This indicates that SCO'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.