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

Performance

DTD vs. JEPI - Performance Comparison

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

60.00%70.00%80.00%90.00%100.00%110.00%JuneJulyAugustSeptemberOctoberNovember
103.15%
75.32%
DTD
JEPI

Returns By Period

In the year-to-date period, DTD achieves a 22.11% return, which is significantly higher than JEPI's 14.75% return.


DTD

YTD

22.11%

1M

0.02%

6M

11.81%

1Y

30.02%

5Y (annualized)

11.68%

10Y (annualized)

10.69%

JEPI

YTD

14.75%

1M

-0.15%

6M

7.48%

1Y

18.00%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


DTDJEPI
Sharpe Ratio2.962.58
Sortino Ratio4.093.58
Omega Ratio1.541.51
Calmar Ratio5.834.71
Martin Ratio20.2918.29
Ulcer Index1.48%0.99%
Daily Std Dev10.19%7.06%
Max Drawdown-58.20%-13.71%
Current Drawdown-1.55%-1.08%

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DTD vs. JEPI - Expense Ratio Comparison

DTD has a 0.28% 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 DTD: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%

Correlation

-0.50.00.51.00.9

The correlation between DTD and JEPI is 0.87, 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

DTD vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree U.S. Total Dividend Fund (DTD) 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 DTD, currently valued at 3.01, compared to the broader market0.002.004.003.012.58
The chart of Sortino ratio for DTD, currently valued at 4.16, compared to the broader market-2.000.002.004.006.008.0010.0012.004.163.58
The chart of Omega ratio for DTD, currently valued at 1.56, compared to the broader market0.501.001.502.002.503.001.561.51
The chart of Calmar ratio for DTD, currently valued at 5.94, compared to the broader market0.005.0010.0015.005.944.71
The chart of Martin ratio for DTD, currently valued at 20.60, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.6018.29
DTD
JEPI

The current DTD Sharpe Ratio is 2.96, which is comparable to the JEPI Sharpe Ratio of 2.58. The chart below compares the historical Sharpe Ratios of DTD 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.01
2.58
DTD
JEPI

Dividends

DTD vs. JEPI - Dividend Comparison

DTD's dividend yield for the trailing twelve months is around 2.38%, less than JEPI's 7.13% yield.


TTM20232022202120202019201820172016201520142013
DTD
WisdomTree U.S. Total Dividend Fund
2.38%2.43%2.62%2.04%2.73%2.50%2.93%2.36%3.11%3.02%2.42%2.38%
JEPI
JPMorgan Equity Premium Income ETF
7.13%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DTD vs. JEPI - Drawdown Comparison

The maximum DTD drawdown since its inception was -58.20%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for DTD and JEPI. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.55%
-1.08%
DTD
JEPI

Volatility

DTD vs. JEPI - Volatility Comparison

WisdomTree U.S. Total Dividend Fund (DTD) has a higher volatility of 3.45% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.18%. This indicates that DTD'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
3.45%
2.18%
DTD
JEPI