EARN vs. JEPI
Compare and contrast key facts about Ellington Residential Mortgage REIT (EARN) and JPMorgan Equity Premium Income ETF (JEPI).
JEPI is an actively managed fund by JPMorgan Chase. It was launched on May 20, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EARN or JEPI.
Key characteristics
| EARN | JEPI | |
|---|---|---|
| YTD Return | 17.10% | 15.89% |
| 1Y Return | 21.95% | 19.32% |
| 3Y Return (Ann) | -6.99% | 8.31% |
| Sharpe Ratio | 1.41 | 2.89 |
| Sortino Ratio | 2.04 | 4.02 |
| Omega Ratio | 1.28 | 1.58 |
| Calmar Ratio | 0.75 | 5.23 |
| Martin Ratio | 10.00 | 20.45 |
| Ulcer Index | 3.15% | 0.99% |
| Daily Std Dev | 22.31% | 7.00% |
| Max Drawdown | -66.44% | -13.71% |
| Current Drawdown | -26.29% | -0.10% |
Correlation
The correlation between EARN and JEPI is 0.40, 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.
Performance
EARN vs. JEPI - Performance Comparison
In the year-to-date period, EARN achieves a 17.10% 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.
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Risk-Adjusted Performance
EARN vs. JEPI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Ellington Residential Mortgage REIT (EARN) 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.
Dividends
EARN vs. JEPI - Dividend Comparison
EARN's dividend yield for the trailing twelve months is around 15.07%, more than JEPI's 7.06% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EARN Ellington Residential Mortgage REIT | 15.07% | 15.66% | 15.16% | 11.36% | 8.59% | 10.88% | 14.17% | 13.04% | 12.68% | 16.19% | 13.52% | 7.41% |
JEPI JPMorgan Equity Premium Income ETF | 7.06% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
EARN vs. JEPI - Drawdown Comparison
The maximum EARN drawdown since its inception was -66.44%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for EARN and JEPI. For additional features, visit the drawdowns tool.
Volatility
EARN vs. JEPI - Volatility Comparison
Ellington Residential Mortgage REIT (EARN) has a higher volatility of 6.54% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.95%. This indicates that EARN'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.