BXMT vs. JEPI
BXMT (Blackstone Mortgage Trust, Inc.) is a stock, while JEPI (JPMorgan Equity Premium Income ETF) is Dividend fund actively managed by JPMorgan. Over the past 5 years, BXMT returned -1.99%/yr vs 7.25%/yr for JEPI. At a 0.50 correlation, their price movements are largely independent.
Performance
BXMT vs. JEPI - Performance Comparison
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Returns By Period
In the year-to-date period, BXMT achieves a -7.54% return, which is significantly lower than JEPI's 3.04% return.
BXMT
- 1D
- 0.48%
- 1M
- -4.61%
- 6M
- -8.64%
- YTD
- -7.54%
- 1Y
- -3.26%
- 3Y*
- 0.85%
- 5Y*
- -1.99%
- 10Y*
- 4.04%
- ALL TIME*
- 4.62%
JEPI
- 1D
- 0.41%
- 1M
- 1.62%
- 6M
- 2.36%
- YTD
- 3.04%
- 1Y
- 7.89%
- 3Y*
- 8.69%
- 5Y*
- 7.25%
- 10Y*
- —
- ALL TIME*
- 11.09%
BXMT vs. JEPI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
BXMT Blackstone Mortgage Trust, Inc. | -7.54% | 21.13% | -7.90% | 13.46% | -24.03% | 20.27% | 28.53% |
JEPI JPMorgan Equity Premium Income ETF | 3.04% | 8.09% | 12.57% | 9.83% | -3.49% | 21.52% | 18.39% |
Correlation
The correlation between BXMT and JEPI is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.43 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.47 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.52 |
Correlation (All Time) Calculated using the full available price history since May 21, 2020 | 0.50 |
The correlation between BXMT and JEPI has been stable across timeframes, ranging from 0.43 to 0.52 - a consistent structural relationship.
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Return for Risk
BXMT vs. JEPI — Risk / Return Rank
BXMT
JEPI
BXMT vs. JEPI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Blackstone Mortgage Trust, Inc. (BXMT) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| BXMT | JEPI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.13 | ||
| Sortino ratioReturn per unit of downside risk | -1.52 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.18 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | -0.22 | 1.18 | -1.40 |
| Martin ratioReturn relative to average drawdown | -0.51 | 3.35 | -3.85 |
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Drawdowns
BXMT vs. JEPI - Drawdown Comparison
The maximum BXMT drawdown since its inception was -97.98%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for BXMT and JEPI.
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Drawdown Indicators
| BXMT | JEPI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -97.98% | -13.71% | -84.27% |
Max Drawdown (1Y)Largest decline over 1 year | -15.07% | -6.68% | -8.39% |
Max Drawdown (3Y)Largest decline over 3 years | -23.29% | -13.26% | -10.03% |
Max Drawdown (5Y)Largest decline over 5 years | -43.02% | -13.71% | -29.31% |
Max Drawdown (10Y)Largest decline over 10 years | -67.86% | — | — |
Current DrawdownCurrent decline from peak | -37.94% | -2.08% | -35.86% |
Average DrawdownAverage peak-to-trough decline | -49.02% | -2.13% | -46.89% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.45% | 2.36% | +4.09% |
Volatility
BXMT vs. JEPI - Volatility Comparison
Blackstone Mortgage Trust, Inc. (BXMT) has a higher volatility of 6.51% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.90%. This indicates that BXMT'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.
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Volatility by Period
| BXMT | JEPI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.51% | 1.90% | +4.61% |
Volatility (6M)Calculated over the trailing 6-month period | 17.05% | 6.41% | +10.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.28% | 8.04% | +14.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 27.69% | 11.09% | +16.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 32.66% | 10.74% | +21.92% |
Dividends
BXMT vs. JEPI - Dividend Comparison
BXMT's dividend yield for the trailing twelve months is around 11.20%, more than JEPI's 8.07% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BXMT Blackstone Mortgage Trust, Inc. | 11.20% | 9.83% | 12.52% | 11.66% | 11.71% | 8.10% | 9.01% | 6.66% | 7.78% | 7.71% | 8.25% | 8.52% |
JEPI JPMorgan Equity Premium Income ETF | 8.07% | 8.25% | 7.33% | 8.40% | 11.68% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
BXMT and JEPI have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BXMT has higher volatility (6.51%) compared to JEPI (1.90%). In terms of maximum drawdown, BXMT dropped -97.98% vs JEPI's -13.71%.
JEPI currently has the higher Sharpe Ratio (0.99 vs -0.15), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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