VRP vs. JEPQ
Compare and contrast key facts about Invesco Variable Rate Preferred ETF (VRP) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ).
VRP and JEPQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VRP is a passively managed fund by Invesco that tracks the performance of the Wells Fargo Hybrid and Preferred Securities Floating and Variable Rate Index. It was launched on May 1, 2014. JEPQ is an actively managed fund by JPMorgan Chase. It was launched on May 3, 2022.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VRP or JEPQ.
Key characteristics
| VRP | JEPQ | |
|---|---|---|
| YTD Return | 11.47% | 23.15% |
| 1Y Return | 17.76% | 30.52% |
| Sharpe Ratio | 3.73 | 2.44 |
| Sortino Ratio | 5.64 | 3.18 |
| Omega Ratio | 1.78 | 1.50 |
| Calmar Ratio | 3.06 | 2.79 |
| Martin Ratio | 39.15 | 12.07 |
| Ulcer Index | 0.44% | 2.48% |
| Daily Std Dev | 4.65% | 12.27% |
| Max Drawdown | -46.04% | -16.82% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
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.
Performance
VRP vs. JEPQ - Performance Comparison
In the year-to-date period, VRP achieves a 11.47% return, which is significantly lower than JEPQ's 23.15% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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VRP vs. JEPQ - Expense Ratio Comparison
VRP has a 0.50% expense ratio, which is higher than JEPQ's 0.35% expense ratio.
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.
Dividends
VRP vs. JEPQ - Dividend Comparison
VRP's dividend yield for the trailing twelve months is around 5.92%, less than JEPQ's 9.36% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
VRP Invesco Variable Rate Preferred ETF | 5.92% | 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 | 9.36% | 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.
Volatility
VRP vs. JEPQ - Volatility Comparison
The current volatility for Invesco Variable Rate Preferred ETF (VRP) is 1.16%, while JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) has a volatility of 3.39%. 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.