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

Correlation

The correlation between XFLT and JEPI is 0.23, 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.


-0.50.00.51.00.2

Performance

XFLT vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in XAI Octagon Floating Rate & Alternative Income Term Trust (XFLT) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
141.44%
72.84%
XFLT
JEPI

Key characteristics

Sharpe Ratio

XFLT:

0.78

JEPI:

1.92

Sortino Ratio

XFLT:

1.09

JEPI:

2.60

Omega Ratio

XFLT:

1.18

JEPI:

1.38

Calmar Ratio

XFLT:

0.93

JEPI:

3.11

Martin Ratio

XFLT:

2.39

JEPI:

12.63

Ulcer Index

XFLT:

3.85%

JEPI:

1.13%

Daily Std Dev

XFLT:

11.74%

JEPI:

7.48%

Max Drawdown

XFLT:

-55.42%

JEPI:

-13.71%

Current Drawdown

XFLT:

-6.35%

JEPI:

-3.69%

Returns By Period

In the year-to-date period, XFLT achieves a 7.05% return, which is significantly lower than JEPI's 13.12% return.


XFLT

YTD

7.05%

1M

-2.96%

6M

0.84%

1Y

8.12%

5Y*

9.22%

10Y*

N/A

JEPI

YTD

13.12%

1M

-1.50%

6M

6.56%

1Y

13.86%

5Y*

N/A

10Y*

N/A

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Risk-Adjusted Performance

XFLT vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for XAI Octagon Floating Rate & Alternative Income Term Trust (XFLT) 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.


Sharpe ratio
The chart of Sharpe ratio for XFLT, currently valued at 0.78, compared to the broader market-4.00-2.000.002.000.781.92
The chart of Sortino ratio for XFLT, currently valued at 1.09, compared to the broader market-4.00-2.000.002.004.001.092.60
The chart of Omega ratio for XFLT, currently valued at 1.18, compared to the broader market0.501.001.502.001.181.38
The chart of Calmar ratio for XFLT, currently valued at 0.93, compared to the broader market0.002.004.006.000.933.11
The chart of Martin ratio for XFLT, currently valued at 2.39, compared to the broader market-5.000.005.0010.0015.0020.0025.002.3912.63
XFLT
JEPI

The current XFLT Sharpe Ratio is 0.78, which is lower than the JEPI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of XFLT 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.78
1.92
XFLT
JEPI

Dividends

XFLT vs. JEPI - Dividend Comparison

XFLT's dividend yield for the trailing twelve months is around 15.29%, more than JEPI's 7.30% yield.


TTM2023202220212020201920182017
XFLT
XAI Octagon Floating Rate & Alternative Income Term Trust
15.29%13.61%13.86%9.82%10.64%10.63%11.33%1.47%
JEPI
JPMorgan Equity Premium Income ETF
7.30%8.40%11.67%6.59%5.79%0.00%0.00%0.00%

Drawdowns

XFLT vs. JEPI - Drawdown Comparison

The maximum XFLT drawdown since its inception was -55.42%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for XFLT and JEPI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.35%
-3.69%
XFLT
JEPI

Volatility

XFLT vs. JEPI - Volatility Comparison

XAI Octagon Floating Rate & Alternative Income Term Trust (XFLT) has a higher volatility of 7.23% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.90%. This indicates that XFLT'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%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
7.23%
2.90%
XFLT
JEPI
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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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