EFV vs. JEPI
Compare and contrast key facts about iShares MSCI EAFE Value ETF (EFV) and JPMorgan Equity Premium Income ETF (JEPI).
EFV and JEPI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EFV is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Value Index. It was launched on Aug 1, 2005. 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: EFV or JEPI.
Performance
EFV vs. JEPI - Performance Comparison
Returns By Period
In the year-to-date period, EFV achieves a 6.52% return, which is significantly lower than JEPI's 14.44% return.
EFV
6.52%
-4.82%
-1.62%
12.77%
5.83%
4.04%
JEPI
14.44%
-0.20%
7.19%
17.88%
N/A
N/A
Key characteristics
| EFV | JEPI | |
|---|---|---|
| Sharpe Ratio | 1.16 | 2.53 |
| Sortino Ratio | 1.60 | 3.52 |
| Omega Ratio | 1.20 | 1.50 |
| Calmar Ratio | 1.85 | 4.62 |
| Martin Ratio | 6.15 | 17.99 |
| Ulcer Index | 2.31% | 0.99% |
| Daily Std Dev | 12.29% | 7.05% |
| Max Drawdown | -63.94% | -13.71% |
| Current Drawdown | -6.90% | -1.35% |
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EFV vs. JEPI - Expense Ratio Comparison
EFV has a 0.39% expense ratio, which is higher than JEPI's 0.35% expense ratio.
Correlation
The correlation between EFV and JEPI is 0.61, 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.
Risk-Adjusted Performance
EFV vs. JEPI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Value ETF (EFV) 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
EFV vs. JEPI - Dividend Comparison
EFV's dividend yield for the trailing twelve months is around 4.62%, less than JEPI's 7.15% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFV iShares MSCI EAFE Value ETF | 4.62% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.27% | 3.59% | 4.87% | 3.19% |
JEPI JPMorgan Equity Premium Income ETF | 7.15% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
EFV vs. JEPI - Drawdown Comparison
The maximum EFV drawdown since its inception was -63.94%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for EFV and JEPI. For additional features, visit the drawdowns tool.
Volatility
EFV vs. JEPI - Volatility Comparison
iShares MSCI EAFE Value ETF (EFV) has a higher volatility of 4.12% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.17%. This indicates that EFV'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.