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

Key characteristics


CGDVJEPI
YTD Return24.02%15.89%
1Y Return34.59%19.32%
Sharpe Ratio3.242.89
Sortino Ratio4.484.02
Omega Ratio1.591.58
Calmar Ratio7.155.23
Martin Ratio28.0220.45
Ulcer Index1.33%0.99%
Daily Std Dev11.48%7.00%
Max Drawdown-21.82%-13.71%
Current Drawdown-1.40%-0.10%

Correlation

-0.50.00.51.00.9

The correlation between CGDV and JEPI is 0.85, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

CGDV vs. JEPI - Performance Comparison

In the year-to-date period, CGDV achieves a 24.02% return, which is significantly higher 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.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.56%
8.81%
CGDV
JEPI

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CGDV vs. JEPI - Expense Ratio Comparison

CGDV has a 0.33% expense ratio, which is lower than JEPI's 0.35% expense ratio.


JEPI
JPMorgan Equity Premium Income ETF
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%
Expense ratio chart for CGDV: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%

Risk-Adjusted Performance

CGDV vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Capital Group Dividend Value ETF (CGDV) 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.


CGDV
Sharpe ratio
The chart of Sharpe ratio for CGDV, currently valued at 3.24, compared to the broader market-2.000.002.004.003.24
Sortino ratio
The chart of Sortino ratio for CGDV, currently valued at 4.48, compared to the broader market-2.000.002.004.006.008.0010.0012.004.48
Omega ratio
The chart of Omega ratio for CGDV, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for CGDV, currently valued at 7.15, compared to the broader market0.005.0010.0015.007.15
Martin ratio
The chart of Martin ratio for CGDV, currently valued at 28.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.0028.02
JEPI
Sharpe ratio
The chart of Sharpe ratio for JEPI, currently valued at 2.89, compared to the broader market-2.000.002.004.002.89
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

CGDV vs. JEPI - Sharpe Ratio Comparison

The current CGDV Sharpe Ratio is 3.24, which is comparable to the JEPI Sharpe Ratio of 2.89. The chart below compares the historical Sharpe Ratios of CGDV 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.24
2.89
CGDV
JEPI

Dividends

CGDV vs. JEPI - Dividend Comparison

CGDV's dividend yield for the trailing twelve months is around 1.49%, less than JEPI's 7.06% yield.


TTM2023202220212020
CGDV
Capital Group Dividend Value ETF
1.49%1.66%1.36%0.00%0.00%
JEPI
JPMorgan Equity Premium Income ETF
7.06%8.40%11.67%6.59%5.79%

Drawdowns

CGDV vs. JEPI - Drawdown Comparison

The maximum CGDV drawdown since its inception was -21.82%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for CGDV and JEPI. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.40%
-0.10%
CGDV
JEPI

Volatility

CGDV vs. JEPI - Volatility Comparison

Capital Group Dividend Value ETF (CGDV) has a higher volatility of 3.26% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.95%. This indicates that CGDV'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%JuneJulyAugustSeptemberOctoberNovember
3.26%
1.95%
CGDV
JEPI