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

Key characteristics


TLTWJEPI
YTD Return0.45%13.65%
1Y Return7.93%22.53%
Sharpe Ratio0.803.35
Sortino Ratio1.114.72
Omega Ratio1.141.69
Calmar Ratio0.454.28
Martin Ratio2.5224.91
Ulcer Index3.11%0.96%
Daily Std Dev9.85%7.16%
Max Drawdown-18.60%-13.71%
Current Drawdown-10.81%-1.10%

Correlation

-0.50.00.51.00.2

The correlation between TLTW and JEPI is 0.18, 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

TLTW vs. JEPI - Performance Comparison

In the year-to-date period, TLTW achieves a 0.45% return, which is significantly lower than JEPI's 13.65% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
7.35%
9.86%
TLTW
JEPI

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TLTW vs. JEPI - Expense Ratio Comparison

Both TLTW and JEPI have an expense ratio of 0.35%.


TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF
Expense ratio chart for TLTW: 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%
Expense ratio chart for JEPI: 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%

Risk-Adjusted Performance

TLTW vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW) 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.


TLTW
Sharpe ratio
The chart of Sharpe ratio for TLTW, currently valued at 0.80, compared to the broader market-2.000.002.004.006.000.80
Sortino ratio
The chart of Sortino ratio for TLTW, currently valued at 1.11, compared to the broader market0.005.0010.001.11
Omega ratio
The chart of Omega ratio for TLTW, currently valued at 1.14, compared to the broader market1.001.502.002.503.003.501.14
Calmar ratio
The chart of Calmar ratio for TLTW, currently valued at 0.45, compared to the broader market0.005.0010.0015.000.45
Martin ratio
The chart of Martin ratio for TLTW, currently valued at 2.52, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.52
JEPI
Sharpe ratio
The chart of Sharpe ratio for JEPI, currently valued at 3.35, compared to the broader market-2.000.002.004.006.003.35
Sortino ratio
The chart of Sortino ratio for JEPI, currently valued at 4.72, compared to the broader market0.005.0010.004.72
Omega ratio
The chart of Omega ratio for JEPI, currently valued at 1.69, compared to the broader market1.001.502.002.503.003.501.69
Calmar ratio
The chart of Calmar ratio for JEPI, currently valued at 4.28, compared to the broader market0.005.0010.0015.004.28
Martin ratio
The chart of Martin ratio for JEPI, currently valued at 24.91, compared to the broader market0.0020.0040.0060.0080.00100.00120.0024.91

TLTW vs. JEPI - Sharpe Ratio Comparison

The current TLTW Sharpe Ratio is 0.80, which is lower than the JEPI Sharpe Ratio of 3.35. The chart below compares the historical Sharpe Ratios of TLTW 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 Ratio-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
0.80
3.35
TLTW
JEPI

Dividends

TLTW vs. JEPI - Dividend Comparison

TLTW's dividend yield for the trailing twelve months is around 15.59%, more than JEPI's 7.13% yield.


TTM2023202220212020
TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF
15.59%19.59%8.71%0.00%0.00%
JEPI
JPMorgan Equity Premium Income ETF
7.13%8.40%11.68%6.59%5.79%

Drawdowns

TLTW vs. JEPI - Drawdown Comparison

The maximum TLTW drawdown since its inception was -18.60%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for TLTW and JEPI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-10.81%
-1.10%
TLTW
JEPI

Volatility

TLTW vs. JEPI - Volatility Comparison

iShares 20+ Year Treasury Bond BuyWrite Strategy ETF (TLTW) has a higher volatility of 3.37% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.44%. This indicates that TLTW'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%1.50%2.00%2.50%3.00%3.50%4.00%4.50%MayJuneJulyAugustSeptemberOctober
3.37%
1.44%
TLTW
JEPI