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

Correlation

The correlation between DIV and JEPI is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

DIV vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X SuperDividend U.S. ETF (DIV) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

45.00%50.00%55.00%60.00%65.00%70.00%75.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
63.92%
72.84%
DIV
JEPI

Key characteristics

Sharpe Ratio

DIV:

1.10

JEPI:

1.92

Sortino Ratio

DIV:

1.57

JEPI:

2.60

Omega Ratio

DIV:

1.20

JEPI:

1.38

Calmar Ratio

DIV:

0.87

JEPI:

3.11

Martin Ratio

DIV:

6.40

JEPI:

12.63

Ulcer Index

DIV:

1.98%

JEPI:

1.13%

Daily Std Dev

DIV:

11.52%

JEPI:

7.48%

Max Drawdown

DIV:

-52.74%

JEPI:

-13.71%

Current Drawdown

DIV:

-6.46%

JEPI:

-3.69%

Returns By Period

In the year-to-date period, DIV achieves a 11.51% return, which is significantly lower than JEPI's 13.12% return.


DIV

YTD

11.51%

1M

-3.93%

6M

9.58%

1Y

11.28%

5Y*

1.20%

10Y*

2.07%

JEPI

YTD

13.12%

1M

-1.50%

6M

6.56%

1Y

13.86%

5Y*

N/A

10Y*

N/A

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DIV vs. JEPI - Expense Ratio Comparison

DIV has a 0.45% expense ratio, which is higher than JEPI's 0.35% expense ratio.


DIV
Global X SuperDividend U.S. ETF
Expense ratio chart for DIV: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
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%

Risk-Adjusted Performance

DIV vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X SuperDividend U.S. ETF (DIV) 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 DIV, currently valued at 1.10, compared to the broader market0.002.004.001.101.92
The chart of Sortino ratio for DIV, currently valued at 1.57, compared to the broader market-2.000.002.004.006.008.0010.001.572.60
The chart of Omega ratio for DIV, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.38
The chart of Calmar ratio for DIV, currently valued at 0.87, compared to the broader market0.005.0010.0015.000.873.11
The chart of Martin ratio for DIV, currently valued at 6.40, compared to the broader market0.0020.0040.0060.0080.00100.006.4012.63
DIV
JEPI

The current DIV Sharpe Ratio is 1.10, which is lower than the JEPI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of DIV 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.10
1.92
DIV
JEPI

Dividends

DIV vs. JEPI - Dividend Comparison

DIV's dividend yield for the trailing twelve months is around 5.86%, less than JEPI's 7.30% yield.


TTM20232022202120202019201820172016201520142013
DIV
Global X SuperDividend U.S. ETF
5.86%7.14%6.62%5.26%8.04%7.67%7.09%5.95%6.80%8.40%5.34%5.38%
JEPI
JPMorgan Equity Premium Income ETF
7.30%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DIV vs. JEPI - Drawdown Comparison

The maximum DIV drawdown since its inception was -52.74%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for DIV and JEPI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.46%
-3.69%
DIV
JEPI

Volatility

DIV vs. JEPI - Volatility Comparison

Global X SuperDividend U.S. ETF (DIV) has a higher volatility of 3.80% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.90%. This indicates that DIV'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%1.50%2.00%2.50%3.00%3.50%4.00%4.50%JulyAugustSeptemberOctoberNovemberDecember
3.80%
2.90%
DIV
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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