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

Performance

FDL vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Morningstar Dividend Leaders Index Fund (FDL) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.18%
7.81%
FDL
JEPI

Returns By Period

In the year-to-date period, FDL achieves a 21.68% return, which is significantly higher than JEPI's 14.85% return.


FDL

YTD

21.68%

1M

0.95%

6M

12.18%

1Y

31.12%

5Y (annualized)

10.56%

10Y (annualized)

10.04%

JEPI

YTD

14.85%

1M

0.36%

6M

7.81%

1Y

17.75%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


FDLJEPI
Sharpe Ratio2.682.57
Sortino Ratio3.793.57
Omega Ratio1.471.51
Calmar Ratio3.544.69
Martin Ratio18.8618.13
Ulcer Index1.64%1.00%
Daily Std Dev11.53%7.05%
Max Drawdown-65.93%-13.71%
Current Drawdown-1.21%-1.00%

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FDL vs. JEPI - Expense Ratio Comparison

FDL has a 0.45% expense ratio, which is higher than JEPI's 0.35% expense ratio.


FDL
First Trust Morningstar Dividend Leaders Index Fund
Expense ratio chart for FDL: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
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%

Correlation

-0.50.00.51.00.7

The correlation between FDL and JEPI is 0.70, 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

FDL vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Morningstar Dividend Leaders Index Fund (FDL) 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 FDL, currently valued at 2.68, compared to the broader market0.002.004.002.682.57
The chart of Sortino ratio for FDL, currently valued at 3.79, compared to the broader market-2.000.002.004.006.008.0010.0012.003.793.57
The chart of Omega ratio for FDL, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.51
The chart of Calmar ratio for FDL, currently valued at 3.54, compared to the broader market0.005.0010.0015.003.544.69
The chart of Martin ratio for FDL, currently valued at 18.86, compared to the broader market0.0020.0040.0060.0080.00100.0018.8618.13
FDL
JEPI

The current FDL Sharpe Ratio is 2.68, which is comparable to the JEPI Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of FDL 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.68
2.57
FDL
JEPI

Dividends

FDL vs. JEPI - Dividend Comparison

FDL's dividend yield for the trailing twelve months is around 4.07%, less than JEPI's 7.12% yield.


TTM20232022202120202019201820172016201520142013
FDL
First Trust Morningstar Dividend Leaders Index Fund
4.07%4.58%3.57%4.59%4.48%3.75%3.97%3.18%2.94%3.65%3.35%3.13%
JEPI
JPMorgan Equity Premium Income ETF
7.12%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

FDL vs. JEPI - Drawdown Comparison

The maximum FDL drawdown since its inception was -65.93%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for FDL and JEPI. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.21%
-1.00%
FDL
JEPI

Volatility

FDL vs. JEPI - Volatility Comparison

First Trust Morningstar Dividend Leaders Index Fund (FDL) has a higher volatility of 3.52% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.14%. This indicates that FDL'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
3.52%
2.14%
FDL
JEPI