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

Key characteristics


USOIJEPI
YTD Return7.92%15.89%
1Y Return0.35%19.32%
3Y Return (Ann)8.36%8.31%
Sharpe Ratio0.012.89
Sortino Ratio0.164.02
Omega Ratio1.021.58
Calmar Ratio0.005.23
Martin Ratio0.0420.45
Ulcer Index5.83%0.99%
Daily Std Dev21.32%7.00%
Max Drawdown-77.42%-13.71%
Current Drawdown-46.72%-0.10%

Correlation

-0.50.00.51.00.2

The correlation between USOI and JEPI is 0.15, 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

USOI vs. JEPI - Performance Comparison

In the year-to-date period, USOI achieves a 7.92% return, which is significantly lower than JEPI's 15.89% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-3.82%
8.81%
USOI
JEPI

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USOI vs. JEPI - Expense Ratio Comparison

USOI has a 0.85% expense ratio, which is higher than JEPI's 0.35% expense ratio.


USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN
Expense ratio chart for USOI: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
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

USOI vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Credit Suisse X-Links Crude Oil Shares Covered Call ETN (USOI) 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.


USOI
Sharpe ratio
The chart of Sharpe ratio for USOI, currently valued at 0.01, compared to the broader market-2.000.002.004.006.000.01
Sortino ratio
The chart of Sortino ratio for USOI, currently valued at 0.16, compared to the broader market-2.000.002.004.006.008.0010.0012.000.16
Omega ratio
The chart of Omega ratio for USOI, currently valued at 1.02, compared to the broader market1.001.502.002.503.001.02
Calmar ratio
The chart of Calmar ratio for USOI, currently valued at 0.01, compared to the broader market0.005.0010.0015.000.01
Martin ratio
The chart of Martin ratio for USOI, currently valued at 0.04, compared to the broader market0.0020.0040.0060.0080.00100.00120.000.04
JEPI
Sharpe ratio
The chart of Sharpe ratio for JEPI, currently valued at 2.89, compared to the broader market-2.000.002.004.006.002.89
Sortino ratio
The chart of Sortino ratio for JEPI, currently valued at 4.02, compared to the broader market-2.000.002.004.006.008.0010.0012.004.02
Omega ratio
The chart of Omega ratio for JEPI, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for JEPI, currently valued at 5.23, compared to the broader market0.005.0010.0015.005.23
Martin ratio
The chart of Martin ratio for JEPI, currently valued at 20.45, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.45

USOI vs. JEPI - Sharpe Ratio Comparison

The current USOI Sharpe Ratio is 0.01, which is lower than the JEPI Sharpe Ratio of 2.89. The chart below compares the historical Sharpe Ratios of USOI 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.01
2.89
USOI
JEPI

Dividends

USOI vs. JEPI - Dividend Comparison

USOI's dividend yield for the trailing twelve months is around 21.25%, more than JEPI's 7.06% yield.


TTM2023202220212020201920182017
USOI
Credit Suisse X-Links Crude Oil Shares Covered Call ETN
21.25%26.72%42.78%20.48%67.99%17.11%13.08%6.31%
JEPI
JPMorgan Equity Premium Income ETF
7.06%8.40%11.67%6.59%5.79%0.00%0.00%0.00%

Drawdowns

USOI vs. JEPI - Drawdown Comparison

The maximum USOI drawdown since its inception was -77.42%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for USOI and JEPI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.67%
-0.10%
USOI
JEPI

Volatility

USOI vs. JEPI - Volatility Comparison

Credit Suisse X-Links Crude Oil Shares Covered Call ETN (USOI) has a higher volatility of 7.15% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.95%. This indicates that USOI'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.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
7.15%
1.95%
USOI
JEPI