FXO vs. JEPI
Compare and contrast key facts about First Trust Financials AlphaDEX Fund (FXO) and JPMorgan Equity Premium Income ETF (JEPI).
FXO and JEPI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FXO is a passively managed fund by First Trust that tracks the performance of the StrataQuant Financials Index. It was launched on May 8, 2007. 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: FXO or JEPI.
Performance
FXO vs. JEPI - Performance Comparison
Returns By Period
In the year-to-date period, FXO achieves a 32.81% return, which is significantly higher than JEPI's 14.75% return.
FXO
32.81%
4.75%
21.42%
47.85%
14.60%
11.89%
JEPI
14.75%
-0.15%
7.61%
18.00%
N/A
N/A
Key characteristics
| FXO | JEPI | |
|---|---|---|
| Sharpe Ratio | 2.84 | 2.58 |
| Sortino Ratio | 4.02 | 3.58 |
| Omega Ratio | 1.50 | 1.51 |
| Calmar Ratio | 3.17 | 4.71 |
| Martin Ratio | 19.02 | 18.29 |
| Ulcer Index | 2.60% | 0.99% |
| Daily Std Dev | 17.41% | 7.06% |
| Max Drawdown | -71.30% | -13.71% |
| Current Drawdown | -0.53% | -1.08% |
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FXO vs. JEPI - Expense Ratio Comparison
FXO has a 0.62% expense ratio, which is higher than JEPI's 0.35% expense ratio.
Correlation
The correlation between FXO and JEPI is 0.62, 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
FXO vs. JEPI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Financials AlphaDEX Fund (FXO) 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
FXO vs. JEPI - Dividend Comparison
FXO's dividend yield for the trailing twelve months is around 1.93%, less than JEPI's 7.13% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FXO First Trust Financials AlphaDEX Fund | 1.93% | 2.98% | 2.49% | 1.91% | 2.60% | 1.72% | 2.60% | 1.62% | 1.35% | 1.51% | 1.53% | 1.21% |
JEPI JPMorgan Equity Premium Income ETF | 7.13% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
FXO vs. JEPI - Drawdown Comparison
The maximum FXO drawdown since its inception was -71.30%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for FXO and JEPI. For additional features, visit the drawdowns tool.
Volatility
FXO vs. JEPI - Volatility Comparison
First Trust Financials AlphaDEX Fund (FXO) has a higher volatility of 8.75% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.18%. This indicates that FXO'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.