EFR vs. JEPI
Compare and contrast key facts about Eaton Vance Senior Floating-Rate Trust (EFR) 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: EFR or JEPI.
Key characteristics
| EFR | JEPI | |
|---|---|---|
| YTD Return | 10.36% | 15.89% |
| 1Y Return | 15.99% | 19.32% |
| 3Y Return (Ann) | 3.44% | 8.31% |
| Sharpe Ratio | 1.76 | 2.89 |
| Sortino Ratio | 2.34 | 4.02 |
| Omega Ratio | 1.33 | 1.58 |
| Calmar Ratio | 2.59 | 5.23 |
| Martin Ratio | 11.07 | 20.45 |
| Ulcer Index | 1.49% | 0.99% |
| Daily Std Dev | 9.34% | 7.00% |
| Max Drawdown | -60.67% | -13.71% |
| Current Drawdown | -0.46% | -0.10% |
Correlation
The correlation between EFR and JEPI is 0.30, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
EFR vs. JEPI - Performance Comparison
In the year-to-date period, EFR achieves a 10.36% return, which is significantly lower 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
EFR vs. JEPI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Senior Floating-Rate Trust (EFR) 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
EFR vs. JEPI - Dividend Comparison
EFR's dividend yield for the trailing twelve months is around 9.98%, more than JEPI's 7.06% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFR Eaton Vance Senior Floating-Rate Trust | 9.98% | 9.42% | 9.63% | 5.60% | 5.87% | 7.34% | 7.46% | 5.43% | 5.82% | 7.59% | 6.14% | 7.03% |
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
EFR vs. JEPI - Drawdown Comparison
The maximum EFR drawdown since its inception was -60.67%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for EFR and JEPI. For additional features, visit the drawdowns tool.
Volatility
EFR vs. JEPI - Volatility Comparison
The current volatility for Eaton Vance Senior Floating-Rate Trust (EFR) is 1.71%, while JPMorgan Equity Premium Income ETF (JEPI) has a volatility of 1.95%. This indicates that EFR experiences smaller price fluctuations and is considered to be less risky than JEPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.