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

Performance

CGDV vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Capital Group Dividend Value ETF (CGDV) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.44%
9.69%
CGDV
JEPI

Returns By Period

In the year-to-date period, CGDV achieves a 23.95% return, which is significantly higher than JEPI's 16.16% return.


CGDV

YTD

23.95%

1M

0.08%

6M

11.44%

1Y

32.60%

5Y (annualized)

N/A

10Y (annualized)

N/A

JEPI

YTD

16.16%

1M

1.71%

6M

9.69%

1Y

18.77%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


CGDVJEPI
Sharpe Ratio2.852.65
Sortino Ratio3.953.68
Omega Ratio1.521.52
Calmar Ratio6.274.85
Martin Ratio23.4618.78
Ulcer Index1.39%1.00%
Daily Std Dev11.42%7.08%
Max Drawdown-21.82%-13.71%
Current Drawdown-1.45%0.00%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for CGDV, currently valued at 2.85, compared to the broader market0.002.004.002.852.65
The chart of Sortino ratio for CGDV, currently valued at 3.95, compared to the broader market-2.000.002.004.006.008.0010.0012.003.953.68
The chart of Omega ratio for CGDV, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.52
The chart of Calmar ratio for CGDV, currently valued at 6.27, compared to the broader market0.005.0010.0015.0020.006.274.85
The chart of Martin ratio for CGDV, currently valued at 23.46, compared to the broader market0.0020.0040.0060.0080.00100.0023.4618.78
CGDV
JEPI

The current CGDV Sharpe Ratio is 2.85, which is comparable to the JEPI Sharpe Ratio of 2.65. 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
2.85
2.65
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 7.04% yield.


TTM2023202220212020
CGDV
Capital Group Dividend Value ETF
1.49%1.66%1.36%0.00%0.00%
JEPI
JPMorgan Equity Premium Income ETF
7.04%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
-1.45%
0
CGDV
JEPI

Volatility

CGDV vs. JEPI - Volatility Comparison

Capital Group Dividend Value ETF (CGDV) has a higher volatility of 3.41% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. 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
3.41%
2.25%
CGDV
JEPI