CI vs. JEPQ

Last updated Aug 1, 2026

CI (The Cigna Group) is a stock, while JEPQ (JPMorgan Nasdaq Equity Premium Income ETF) is Nasdaq-100 fund tracking the Nasdaq-100 Index. Over the past 3 years, CI returned -0.02%/yr vs 17.49%/yr for JEPQ. Their 0.10 correlation means their historical movements had little consistent relationship.

Performance

CI vs. JEPQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Cigna Group (CI) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CI achieves a 2.54% return, which is significantly lower than JEPQ's 6.05% return.

CI

• 1D: -2.99%
• 1M: -3.03%
• 6M: 2.96%
• YTD: 2.54%
• 1Y: 8.77%
• 3Y*: -0.02%
• 5Y*: 5.92%
• 10Y*: 9.54%
• ALL TIME*: 10.94%

JEPQ

• 1D: 0.57%
• 1M: -1.92%
• 6M: 3.71%
• YTD: 6.05%
• 1Y: 19.59%
• 3Y*: 17.49%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 15.56%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CI The Cigna Group	$460.57M	$474.33M	$477.27M
JEPQ JPMorgan Nasdaq Equity Premium Income ETF	$439.89M	$417.31M	$422.49M

CI vs. JEPQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
CI The Cigna Group	2.54%	1.72%	-6.27%	-7.97%	35.56%
JEPQ JPMorgan Nasdaq Equity Premium Income ETF	6.05%	15.18%	24.85%	36.28%	-11.16%

Correlation

The correlation between CI and JEPQ is -0.05, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.05
Correlation (3Y) Balances recent behavior with more history.	0.00
Correlation (All Time) Calculated using the full available price history since May 4, 2022	0.10

The correlation between CI and JEPQ shifts across timeframes, from -0.05 (1 year) to 0.10 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CI vs. JEPQ — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

CI

CI Risk / Return Rank: 51
CI Sharpe Ratio Rank: 54
CI Sortino Ratio Rank: 46
CI Omega Ratio Rank: 47
CI Calmar Ratio Rank: 53
CI Martin Ratio Rank: 54

JEPQ

JEPQ Risk / Return Rank: 55
JEPQ Sharpe Ratio Rank: 50
JEPQ Sortino Ratio Rank: 48
JEPQ Omega Ratio Rank: 52
JEPQ Calmar Ratio Rank: 58
JEPQ Martin Ratio Rank: 68

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

CI vs. JEPQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for The Cigna Group (CI) 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.

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.

	CI	JEPQ	Difference
Sharpe ratio: Return per unit of total volatility	0.21	1.22	-1.01
Sortino ratio: Return per unit of downside risk	0.48	1.72	-1.24
Omega ratio: Gain probability vs. loss probability	1.07	1.23	-0.16
Calmar ratio: Return relative to maximum drawdown	0.31	2.02	-1.71
Martin ratio: Return relative to average drawdown	0.74	8.30	-7.56

CI vs. JEPQ - Sharpe Ratio Comparison

The current CI Sharpe Ratio is 0.21, which is lower than the JEPQ Sharpe Ratio of 1.22. The chart below compares the historical Sharpe Ratios of CI and JEPQ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CI vs. JEPQ - Drawdown Comparison

The maximum CI drawdown since its inception was -84.34%, which is greater than JEPQ's maximum drawdown of -20.07%. Use the drawdown chart below to compare losses from any high point for CI and JEPQ.

Drawdown Indicators

	CI	JEPQ	Difference
Max Drawdown Largest peak-to-trough decline	-84.34%	-20.07%	-64.27%
Max Drawdown (1Y) Largest decline over 1 year	-21.41%	-8.82%	-12.59%
Max Drawdown (3Y) Largest decline over 3 years	-32.10%	-20.07%	-12.03%
Max Drawdown (5Y) Largest decline over 5 years	-32.10%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-42.47%	—	—
Current Drawdown Current decline from peak	-21.16%	-4.23%	-16.93%
Average Drawdown Average peak-to-trough decline	-18.82%	-3.38%	-15.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.02%	2.14%	+6.88%

Volatility

CI vs. JEPQ - Volatility Comparison

The Cigna Group (CI) has a higher volatility of 10.65% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 6.09%. This indicates that CI's price experiences larger fluctuations and is considered to be riskier than JEPQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CI	JEPQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.65%	6.09%	+4.56%
Volatility (6M) Calculated over the trailing 6-month period	20.43%	12.15%	+8.28%
Volatility (1Y) Calculated over the trailing 1-year period	33.83%	14.65%	+19.18%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.73%	16.90%	+11.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	30.70%	16.90%	+13.80%

Dividends

CI vs. JEPQ - Dividend Comparison

CI's dividend yield for the trailing twelve months is around 2.20%, less than JEPQ's 10.75% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CI The Cigna Group	2.20%	2.19%	2.03%	1.64%	1.35%	1.74%	0.02%	0.02%	0.02%	0.02%	0.03%	0.03%
JEPQ JPMorgan Nasdaq Equity Premium Income ETF	9.99%	10.53%	9.65%	10.03%	9.44%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CI and JEPQ in my portfolio?

CI and JEPQ have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CI or JEPQ?

CI has higher volatility (10.65%) compared to JEPQ (6.09%). In terms of maximum drawdown, CI dropped -84.34% vs JEPQ's -20.07%.

Which has better risk-adjusted returns?

JEPQ currently has the higher Sharpe Ratio (1.22 vs 0.21), 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.