EARN vs. JEPI
EARN (Ellington Residential Mortgage REIT) is a stock, while JEPI (JPMorgan Equity Premium Income ETF) is Dividend fund actively managed by JPMorgan. Over the past 5 years, EARN returned -3.51%/yr vs 7.31%/yr for JEPI. At a 0.38 correlation, their price movements are largely independent.
Performance
EARN vs. JEPI - Performance Comparison
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Returns By Period
In the year-to-date period, EARN achieves a 3.82% return, which is significantly higher than JEPI's 0.91% return.
EARN
- 1D
- 2.29%
- 1M
- 6.53%
- YTD
- 3.82%
- 6M
- 6.01%
- 1Y
- 5.61%
- 3Y*
- 4.43%
- 5Y*
- -3.51%
- 10Y*
- 3.64%
JEPI
- 1D
- -0.43%
- 1M
- -0.19%
- YTD
- 0.91%
- 6M
- 0.64%
- 1Y
- 7.76%
- 3Y*
- 8.98%
- 5Y*
- 7.31%
- 10Y*
- —
EARN vs. JEPI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EARN Ellington Residential Mortgage REIT | 3.82% | -5.88% | 24.65% | 2.97% | -25.04% | -11.96% | 47.05% |
JEPI JPMorgan Equity Premium Income ETF | 0.91% | 8.09% | 12.57% | 9.83% | -3.49% | 21.52% | 18.39% |
Correlation
The correlation between EARN and JEPI is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.36 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.39 |
Correlation (All Time) Calculated using the full available price history since May 21, 2020 | 0.38 |
The correlation between EARN and JEPI shifts across timeframes, from 0.24 (1 year) to 0.39 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
EARN vs. JEPI — Risk / Return Rank
EARN
JEPI
EARN vs. JEPI - Risk-Adjusted Trends 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.
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.
| EARN | JEPI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.75 | ||
| Sortino ratioReturn per unit of downside risk | -0.94 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.18 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 0.26 | 1.17 | -0.91 |
| Martin ratioReturn relative to average drawdown | 0.60 | 3.44 | -2.84 |
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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.
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Drawdown Indicators
| EARN | JEPI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -66.44% | -13.71% | -52.73% |
Max Drawdown (1Y)Largest decline over 1 year | -21.53% | -6.68% | -14.85% |
Max Drawdown (3Y)Largest decline over 3 years | -31.19% | -13.26% | -17.93% |
Max Drawdown (5Y)Largest decline over 5 years | -47.06% | -13.71% | -33.35% |
Max Drawdown (10Y)Largest decline over 10 years | -66.44% | — | — |
Current DrawdownCurrent decline from peak | -23.34% | -4.11% | -19.23% |
Average DrawdownAverage peak-to-trough decline | -17.07% | -2.13% | -14.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.31% | 2.26% | +7.05% |
Volatility
EARN vs. JEPI - Volatility Comparison
Ellington Residential Mortgage REIT (EARN) has a higher volatility of 12.34% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.38%. 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.
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Volatility by Period
| EARN | JEPI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.34% | 2.38% | +9.96% |
Volatility (6M)Calculated over the trailing 6-month period | 20.36% | 6.29% | +14.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.92% | 8.03% | +16.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 27.09% | 11.08% | +16.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 37.84% | 10.78% | +27.06% |
Dividends
EARN vs. JEPI - Dividend Comparison
EARN's dividend yield for the trailing twelve months is around 33.43%, more than JEPI's 8.21% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EARN Ellington Residential Mortgage REIT | 33.43% | 18.22% | 14.50% | 15.66% | 15.16% | 11.36% | 8.59% | 10.88% | 14.17% | 13.04% | 12.68% | 16.19% |
JEPI JPMorgan Equity Premium Income ETF | 8.21% | 8.25% | 7.33% | 8.40% | 11.68% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EARN and JEPI have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EARN has higher volatility (12.34%) compared to JEPI (2.38%). In terms of maximum drawdown, EARN dropped -66.44% vs JEPI's -13.71%.
JEPI currently has the higher Sharpe Ratio (0.97 vs 0.23), 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.
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