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HEFA vs. JEPI
Performance
Return for Risk
Drawdowns
Volatility
Dividends

HEFA vs. JEPI

Last updated Jul 26, 2026
Documentation

HEFA (iShares Currency Hedged MSCI EAFE ETF) and JEPI (JPMorgan Equity Premium Income ETF) are both exchange-traded funds - HEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE 100% Hedged to USD Index, while JEPI is a Dividend fund actively managed by JPMorgan. HEFA is passively managed, while JEPI is actively managed. Over the past 5 years, HEFA returned 13.96%/yr vs 7.17%/yr for JEPI. Their 0.67 correlation means they have sometimes moved together and sometimes differently. Both charge a 0.35% expense ratio.

Performance

HEFA vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Currency Hedged MSCI EAFE ETF (HEFA) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, HEFA achieves a 13.57% return, which is significantly higher than JEPI's 3.37% return.

HEFA

1D
0.51%
1M
0.73%
6M
10.08%
YTD
13.57%
1Y
26.09%
3Y*
18.91%
5Y*
13.96%
10Y*
12.70%
ALL TIME*
10.79%

JEPI

1D
0.67%
1M
2.00%
6M
1.35%
YTD
3.37%
1Y
7.34%
3Y*
8.83%
5Y*
7.17%
10Y*
—
ALL TIME*
11.13%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

HEFA

iShares Currency Hedged MSCI EAFE ETF
$39.23M$30.73M$26.09M

JEPI

JPMorgan Equity Premium Income ETF
$256.82M$259.30M$303.30M

HEFA vs. JEPI - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
HEFA
iShares Currency Hedged MSCI EAFE ETF		13.57%24.58%13.71%20.33%-4.86%19.59%19.06%
JEPI
JPMorgan Equity Premium Income ETF		3.37%8.09%12.57%9.83%-3.49%21.52%18.39%

Correlation

The correlation between HEFA and JEPI is 0.61, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.61

Correlation (3Y)
Balances recent behavior with more history.

0.64

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.67

Correlation (All Time)
Calculated using the full available price history since May 21, 2020

0.67

The correlation between HEFA and JEPI has been stable across timeframes, ranging from 0.61 to 0.67 - a consistent structural relationship.

HEFA vs. JEPI - Sectors Allocation Comparison

Sectors
HEFA
JEPI

Financial Services

25.9%
9.1%

Industrials

18.9%
10.7%

Technology

12.0%
15.3%

Healthcare

10.4%
12.8%

Consumer Cyclical

7.2%
10.0%

Consumer Defensive

6.8%
7.8%

Basic Materials

5.9%
1.6%

Energy

3.7%
2.5%

Utilities

3.7%
4.8%

Communication Services

3.5%
6.2%

Real Estate

1.7%
2.6%

Financial Services

HEFA
25.9%
JEPI
9.1%

Industrials

HEFA
18.9%
JEPI
10.7%

Technology

HEFA
12.0%
JEPI
15.3%

Healthcare

HEFA
10.4%
JEPI
12.8%

Consumer Cyclical

HEFA
7.2%
JEPI
10.0%

Consumer Defensive

HEFA
6.8%
JEPI
7.8%

Basic Materials

HEFA
5.9%
JEPI
1.6%

Energy

HEFA
3.7%
JEPI
2.5%

Utilities

HEFA
3.7%
JEPI
4.8%

Communication Services

HEFA
3.5%
JEPI
6.2%

Real Estate

HEFA
1.7%
JEPI
2.6%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

iShares Currency Hedged MSCI EAFE ETF

JPMorgan Equity Premium Income ETF

Often compared with HEFA:
HEFA vs. DBEFHEFA vs. HAWXHEFA vs. FNDFHEFA vs. HSCZHEFA vs. IDMOHEFA vs. HEWJHEFA vs. HEZU
Often compared with JEPI:
JEPI vs. JEPQJEPI vs. SCHDJEPI vs. SPYJEPI vs. QYLDJEPI vs. SPYIJEPI vs. QQQIJEPI vs. DIVO

Return for Risk

HEFA vs. JEPI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
HEFA
HEFA Risk / Return Rank: 8383
Overall Rank
HEFA Sharpe Ratio Rank: 8686
Sharpe Ratio Rank
HEFA Sortino Ratio Rank: 8686
Sortino Ratio Rank
HEFA Omega Ratio Rank: 8686
Omega Ratio Rank
HEFA Calmar Ratio Rank: 7676
Calmar Ratio Rank
HEFA Martin Ratio Rank: 8383
Martin Ratio Rank
JEPI
JEPI Risk / Return Rank: 3636
Overall Rank
JEPI Sharpe Ratio Rank: 3939
Sharpe Ratio Rank
JEPI Sortino Ratio Rank: 3838
Sortino Ratio Rank
JEPI Omega Ratio Rank: 3737
Omega Ratio Rank
JEPI Calmar Ratio Rank: 3434
Calmar Ratio Rank
JEPI Martin Ratio Rank: 3434
Martin Ratio Rank
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.

HEFA vs. JEPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) 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.

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.

HEFAJEPIDifference
Sharpe ratioReturn per unit of total volatility
2.03
0.95

+1.08

Sortino ratioReturn per unit of downside risk
2.81
1.42

+1.39

Omega ratioGain probability vs. loss probability

1.37

1.18

+0.20

Calmar ratioReturn relative to maximum drawdown

2.77

1.15

+1.63

Martin ratioReturn relative to average drawdown

11.52

3.22

+8.30

HEFA vs. JEPI - Sharpe Ratio Comparison

The current HEFA Sharpe Ratio is 2.03, which is higher than the JEPI Sharpe Ratio of 0.95. The chart below compares the historical Sharpe Ratios of HEFA and JEPI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

HEFA vs. JEPI - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for HEFA and JEPI.

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Drawdown Indicators

HEFAJEPIDifference

Max Drawdown

Largest peak-to-trough decline

-32.39%

-13.71%

-18.68%

Max Drawdown (1Y)

Largest decline over 1 year

-9.52%

-6.68%

-2.84%

Max Drawdown (3Y)

Largest decline over 3 years

-14.28%

-13.26%

-1.02%

Max Drawdown (5Y)

Largest decline over 5 years

-14.79%

-13.71%

-1.08%

Max Drawdown (10Y)

Largest decline over 10 years

-32.39%

—

—

Current Drawdown

Current decline from peak

-1.12%

-1.77%

+0.65%

Average Drawdown

Average peak-to-trough decline

-4.13%

-2.13%

-2.00%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.29%

2.37%

-0.08%

Volatility

HEFA vs. JEPI - Volatility Comparison

iShares Currency Hedged MSCI EAFE ETF (HEFA) has a higher volatility of 3.21% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.95%. This indicates that HEFA'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.

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Volatility by Period

HEFAJEPIDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.21%

1.95%

+1.26%

Volatility (6M)

Calculated over the trailing 6-month period

10.72%

6.22%

+4.50%

Volatility (1Y)

Calculated over the trailing 1-year period

13.05%

8.06%

+4.99%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.82%

11.09%

+2.73%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.66%

10.74%

+4.92%

HEFA vs. JEPI - Expense Ratio Comparison

Both HEFA and JEPI have an expense ratio of 0.35%.

Dividends

HEFA vs. JEPI - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 4.04%, less than JEPI's 8.05% yield.

PositionTTM20252024202320222021202020192018201720162015
HEFA
iShares Currency Hedged MSCI EAFE ETF		4.04%4.40%3.09%3.02%25.14%3.06%2.10%7.56%4.58%2.55%3.17%3.54%
JEPI
JPMorgan Equity Premium Income ETF		8.05%8.25%7.33%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

HEFA and JEPI have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

HEFA has higher volatility (3.21%) compared to JEPI (1.95%). In terms of maximum drawdown, HEFA dropped -32.39% vs JEPI's -13.71%.

On 5-year performance, HEFA leads with 13.96% vs 7.17% for JEPI. Both ETFs have the same 0.35% expense ratio. On volatility, JEPI has been the lower-risk option at 1.95%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, HEFA has performed better with a 13.96% return vs 7.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

HEFA and JEPI have the same expense ratio: 0.35% per year.

JEPI has the higher dividend yield at 8.05%, compared with 4.04% for HEFA.

HEFA is categorized as Foreign Large Cap Equities, while JEPI is Dividend. They also come from different issuers: iShares and JPMorgan.

HEFA currently has the higher Sharpe Ratio (2.03 vs 0.95), 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.

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