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

Performance

VRP vs. JEPQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Variable Rate Preferred ETF (VRP) 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
4.48%
8.87%
VRP
JEPQ

Returns By Period

In the year-to-date period, VRP achieves a 10.56% return, which is significantly lower than JEPQ's 21.86% return.


VRP

YTD

10.56%

1M

-0.56%

6M

4.48%

1Y

14.93%

5Y (annualized)

4.21%

10Y (annualized)

5.03%

JEPQ

YTD

21.86%

1M

2.15%

6M

8.87%

1Y

26.31%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


VRPJEPQ
Sharpe Ratio3.212.14
Sortino Ratio4.812.81
Omega Ratio1.651.44
Calmar Ratio3.562.47
Martin Ratio33.0810.65
Ulcer Index0.45%2.48%
Daily Std Dev4.61%12.34%
Max Drawdown-46.04%-16.82%
Current Drawdown-0.81%-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.


VRP vs. JEPQ - Expense Ratio Comparison

VRP has a 0.50% expense ratio, which is higher than JEPQ's 0.35% expense ratio.


VRP
Invesco Variable Rate Preferred ETF
Expense ratio chart for VRP: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
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

-0.50.00.51.00.5

The correlation between VRP and JEPQ is 0.48, 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.

Risk-Adjusted Performance

VRP vs. JEPQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Variable Rate Preferred ETF (VRP) 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 VRP, currently valued at 3.21, compared to the broader market0.002.004.003.212.14
The chart of Sortino ratio for VRP, currently valued at 4.81, compared to the broader market-2.000.002.004.006.008.0010.004.812.81
The chart of Omega ratio for VRP, currently valued at 1.65, compared to the broader market0.501.001.502.002.503.001.651.44
The chart of Calmar ratio for VRP, currently valued at 7.85, compared to the broader market0.005.0010.0015.007.852.47
The chart of Martin ratio for VRP, currently valued at 33.08, compared to the broader market0.0020.0040.0060.0080.00100.0033.0810.65
VRP
JEPQ

The current VRP Sharpe Ratio is 3.21, which is higher than the JEPQ Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of VRP 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 Ratio1.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.21
2.14
VRP
JEPQ

Dividends

VRP vs. JEPQ - Dividend Comparison

VRP's dividend yield for the trailing twelve months is around 5.97%, less than JEPQ's 9.46% yield.


TTM2023202220212020201920182017201620152014
VRP
Invesco Variable Rate Preferred ETF
5.97%6.61%5.38%4.26%4.18%5.15%5.28%4.68%5.10%5.02%3.04%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
9.46%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VRP vs. JEPQ - Drawdown Comparison

The maximum VRP drawdown since its inception was -46.04%, which is greater than JEPQ's maximum drawdown of -16.82%. Use the drawdown chart below to compare losses from any high point for VRP and JEPQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.81%
-1.24%
VRP
JEPQ

Volatility

VRP vs. JEPQ - Volatility Comparison

The current volatility for Invesco Variable Rate Preferred ETF (VRP) is 1.23%, while JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) has a volatility of 3.83%. This indicates that VRP 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.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
1.23%
3.83%
VRP
JEPQ