FITLX vs. JEPIX

Last updated Jul 14, 2026

FITLX (Fidelity U.S. Sustainability Index Fund) and JEPIX (JPMorgan Equity Premium Income Fund Class I) are both mutual funds - FITLX is a Large Cap Blend Equities fund tracking the MSCI USA ESG Leaders Index, while JEPIX is a Derivative Income fund actively managed by JPMorgan. FITLX is passively managed, while JEPIX is actively managed. Over the past 5 years, FITLX returned 13.27%/yr vs 7.23%/yr for JEPIX. A 0.75 correlation means they provide meaningful diversification when combined. FITLX charges 0.11%/yr vs 0.59%/yr for JEPIX.

Performance

FITLX vs. JEPIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity U.S. Sustainability Index Fund (FITLX) and JPMorgan Equity Premium Income Fund Class I (JEPIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FITLX achieves a 10.76% return, which is significantly higher than JEPIX's 3.00% return.

FITLX

• 1D: 0.69%
• 1M: 1.75%
• 6M: 8.45%
• YTD: 10.76%
• 1Y: 23.37%
• 3Y*: 21.35%
• 5Y*: 13.27%
• 10Y*: —

JEPIX

• 1D: 0.14%
• 1M: 1.94%
• 6M: 1.37%
• YTD: 3.00%
• 1Y: 8.21%
• 3Y*: 9.13%
• 5Y*: 7.23%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

FITLX vs. JEPIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
FITLX Fidelity U.S. Sustainability Index Fund	10.76%	18.77%	23.59%	29.04%	-20.28%	31.55%	18.69%	31.54%	-11.23%
JEPIX JPMorgan Equity Premium Income Fund Class I	3.00%	7.82%	12.43%	9.68%	-3.81%	19.36%	6.02%	16.44%	-9.93%

Correlation

The correlation between FITLX and JEPIX is 0.53, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.53
Correlation (3Y) Calculated over the trailing 3-year period	0.66
Correlation (5Y) Calculated over the trailing 5-year period	0.73
Correlation (All Time) Calculated using the full available price history since Sep 4, 2018	0.75

Over the past year, the correlation between FITLX and JEPIX has dropped to 0.53 - well below their long-term average of 0.75, suggesting their price drivers have been diverging.

Return for Risk

FITLX vs. JEPIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FITLX

FITLX Risk / Return Rank: 55
FITLX Sharpe Ratio Rank: 60
FITLX Sortino Ratio Rank: 58
FITLX Omega Ratio Rank: 57
FITLX Calmar Ratio Rank: 46
FITLX Martin Ratio Rank: 55

JEPIX

JEPIX Risk / Return Rank: 18
JEPIX Sharpe Ratio Rank: 18
JEPIX Sortino Ratio Rank: 20
JEPIX Omega Ratio Rank: 19
JEPIX Calmar Ratio Rank: 16
JEPIX Martin Ratio Rank: 16

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FITLX vs. JEPIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity U.S. Sustainability Index Fund (FITLX) and JPMorgan Equity Premium Income Fund Class I (JEPIX). 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.

	FITLX	JEPIX	Difference
Sharpe ratio: Return per unit of total volatility	1.72	0.90	+0.82
Sortino ratio: Return per unit of downside risk	2.41	1.41	+1.00
Omega ratio: Gain probability vs. loss probability	1.31	1.17	+0.14
Calmar ratio: Return relative to maximum drawdown	2.07	1.06	+1.01
Martin ratio: Return relative to average drawdown	8.73	3.08	+5.66

FITLX vs. JEPIX - Sharpe Ratio Comparison

The current FITLX Sharpe Ratio is 1.72, which is higher than the JEPIX Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of FITLX and JEPIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

FITLX vs. JEPIX - Drawdown Comparison

The maximum FITLX drawdown since its inception was -34.35%, which is greater than JEPIX's maximum drawdown of -32.63%. Use the drawdown chart below to compare losses from any high point for FITLX and JEPIX.

Drawdown Indicators

	FITLX	JEPIX	Difference
Max Drawdown Largest peak-to-trough decline	-34.35%	-32.63%	-1.72%
Max Drawdown (1Y) Largest decline over 1 year	-11.15%	-7.41%	-3.74%
Max Drawdown (3Y) Largest decline over 3 years	-19.99%	-13.42%	-6.57%
Max Drawdown (5Y) Largest decline over 5 years	-26.91%	-13.67%	-13.24%
Current Drawdown Current decline from peak	-0.18%	-2.19%	+2.01%
Average Drawdown Average peak-to-trough decline	-5.03%	-3.21%	-1.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.64%	2.55%	+0.09%

Volatility

FITLX vs. JEPIX - Volatility Comparison

Fidelity U.S. Sustainability Index Fund (FITLX) has a higher volatility of 4.48% compared to JPMorgan Equity Premium Income Fund Class I (JEPIX) at 2.49%. This indicates that FITLX's price experiences larger fluctuations and is considered to be riskier than JEPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FITLX	JEPIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.48%	2.49%	+1.99%
Volatility (6M) Calculated over the trailing 6-month period	10.79%	7.04%	+3.75%
Volatility (1Y) Calculated over the trailing 1-year period	13.40%	8.70%	+4.70%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.69%	11.47%	+6.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.07%	14.68%	+4.39%

FITLX vs. JEPIX - Expense Ratio Comparison

FITLX has a 0.11% expense ratio, which is lower than JEPIX's 0.59% expense ratio.

Dividends

FITLX vs. JEPIX - Dividend Comparison

FITLX's dividend yield for the trailing twelve months is around 1.00%, less than JEPIX's 7.97% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
FITLX Fidelity U.S. Sustainability Index Fund	1.00%	1.11%	1.29%	1.12%	1.49%	0.99%	1.01%	1.41%	1.58%	0.76%
JEPIX JPMorgan Equity Premium Income Fund Class I	7.97%	8.12%	7.20%	8.42%	12.24%	6.15%	11.59%	3.91%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FITLX and JEPIX in my portfolio?

FITLX and JEPIX have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FITLX or JEPIX?

FITLX has higher volatility (4.48%) compared to JEPIX (2.49%). In terms of maximum drawdown, FITLX dropped -34.35% vs JEPIX's -32.63%.

Which has better risk-adjusted returns?

FITLX currently has the higher Sharpe Ratio (1.72 vs 0.90), 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.