PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SIXH vs. JEPQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SIXH vs. JEPQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in 6 Meridian Hedged Equity-Index Option Strategy ETF (SIXH) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.16%
8.87%
SIXH
JEPQ

Returns By Period

In the year-to-date period, SIXH achieves a 14.90% return, which is significantly lower than JEPQ's 21.86% return.


SIXH

YTD

14.90%

1M

0.13%

6M

6.17%

1Y

16.67%

5Y (annualized)

N/A

10Y (annualized)

N/A

JEPQ

YTD

21.86%

1M

2.15%

6M

8.87%

1Y

26.31%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


SIXHJEPQ
Sharpe Ratio2.882.14
Sortino Ratio4.182.81
Omega Ratio1.591.44
Calmar Ratio7.212.47
Martin Ratio24.2910.65
Ulcer Index0.70%2.48%
Daily Std Dev5.91%12.34%
Max Drawdown-11.68%-16.82%
Current Drawdown0.00%-1.24%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SIXH vs. JEPQ - Expense Ratio Comparison

SIXH has a 0.87% expense ratio, which is higher than JEPQ's 0.35% expense ratio.


SIXH
6 Meridian Hedged Equity-Index Option Strategy ETF
Expense ratio chart for SIXH: current value at 0.87% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.87%
Expense ratio chart for JEPQ: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Correlation

-0.50.00.51.00.3

The correlation between SIXH and JEPQ is 0.34, 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.

Risk-Adjusted Performance

SIXH vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for 6 Meridian Hedged Equity-Index Option Strategy ETF (SIXH) 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.


Sharpe ratio
The chart of Sharpe ratio for SIXH, currently valued at 2.88, compared to the broader market0.002.004.002.882.14
The chart of Sortino ratio for SIXH, currently valued at 4.18, compared to the broader market-2.000.002.004.006.008.0010.004.182.81
The chart of Omega ratio for SIXH, currently valued at 1.59, compared to the broader market0.501.001.502.002.503.001.591.44
The chart of Calmar ratio for SIXH, currently valued at 7.21, compared to the broader market0.005.0010.0015.007.212.47
The chart of Martin ratio for SIXH, currently valued at 24.29, compared to the broader market0.0020.0040.0060.0080.00100.0024.2910.65
SIXH
JEPQ

The current SIXH Sharpe Ratio is 2.88, which is higher than the JEPQ Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of SIXH 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.88
2.14
SIXH
JEPQ

Dividends

SIXH vs. JEPQ - Dividend Comparison

SIXH's dividend yield for the trailing twelve months is around 1.51%, less than JEPQ's 9.46% yield.


TTM2023202220212020
SIXH
6 Meridian Hedged Equity-Index Option Strategy ETF
1.51%2.04%2.07%1.65%1.10%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.46%10.02%9.44%0.00%0.00%

Drawdowns

SIXH vs. JEPQ - Drawdown Comparison

The maximum SIXH drawdown since its inception was -11.68%, smaller than the maximum JEPQ drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for SIXH and JEPQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-1.24%
SIXH
JEPQ

Volatility

SIXH vs. JEPQ - Volatility Comparison

The current volatility for 6 Meridian Hedged Equity-Index Option Strategy ETF (SIXH) is 1.60%, while JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) has a volatility of 3.83%. This indicates that SIXH experiences smaller price fluctuations and is considered to be less risky than JEPQ 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%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
1.60%
3.83%
SIXH
JEPQ