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SLRC vs. JEPQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SLRC and JEPQ is 0.43, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.4

Performance

SLRC vs. JEPQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SLR Investment Corp. (SLRC) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). The values are adjusted to include any dividend payments, if applicable.

10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
28.31%
49.21%
SLRC
JEPQ

Key characteristics

Sharpe Ratio

SLRC:

1.30

JEPQ:

2.14

Sortino Ratio

SLRC:

1.93

JEPQ:

2.78

Omega Ratio

SLRC:

1.24

JEPQ:

1.43

Calmar Ratio

SLRC:

1.77

JEPQ:

2.50

Martin Ratio

SLRC:

5.85

JEPQ:

10.77

Ulcer Index

SLRC:

3.03%

JEPQ:

2.49%

Daily Std Dev

SLRC:

13.60%

JEPQ:

12.53%

Max Drawdown

SLRC:

-63.06%

JEPQ:

-16.82%

Current Drawdown

SLRC:

-2.43%

JEPQ:

-1.48%

Returns By Period

In the year-to-date period, SLRC achieves a 18.34% return, which is significantly lower than JEPQ's 25.70% return.


SLRC

YTD

18.34%

1M

0.81%

6M

6.60%

1Y

17.17%

5Y*

5.15%

10Y*

8.37%

JEPQ

YTD

25.70%

1M

2.67%

6M

9.33%

1Y

26.16%

5Y*

N/A

10Y*

N/A

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Risk-Adjusted Performance

SLRC vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SLR Investment Corp. (SLRC) 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 SLRC, currently valued at 1.30, compared to the broader market-4.00-2.000.002.001.302.14
The chart of Sortino ratio for SLRC, currently valued at 1.93, compared to the broader market-4.00-2.000.002.004.001.932.78
The chart of Omega ratio for SLRC, currently valued at 1.24, compared to the broader market0.501.001.502.001.241.43
The chart of Calmar ratio for SLRC, currently valued at 1.77, compared to the broader market0.002.004.006.001.772.50
The chart of Martin ratio for SLRC, currently valued at 5.85, compared to the broader market-5.000.005.0010.0015.0020.0025.005.8510.77
SLRC
JEPQ

The current SLRC Sharpe Ratio is 1.30, which is lower than the JEPQ Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of SLRC 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.30
2.14
SLRC
JEPQ

Dividends

SLRC vs. JEPQ - Dividend Comparison

SLRC's dividend yield for the trailing twelve months is around 10.22%, more than JEPQ's 9.41% yield.


TTM20232022202120202019201820172016201520142013
SLRC
SLR Investment Corp.
10.22%10.93%11.81%8.90%9.37%7.95%8.55%7.92%7.68%9.74%8.88%8.87%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.41%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SLRC vs. JEPQ - Drawdown Comparison

The maximum SLRC drawdown since its inception was -63.06%, which is greater than JEPQ's maximum drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for SLRC and JEPQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.43%
-1.48%
SLRC
JEPQ

Volatility

SLRC vs. JEPQ - Volatility Comparison

SLR Investment Corp. (SLRC) has a higher volatility of 3.60% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 2.83%. This indicates that SLRC'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.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.60%
2.83%
SLRC
JEPQ
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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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