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

Performance

IVOV vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard S&P Mid-Cap 400 Value ETF (IVOV) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.97%
9.24%
IVOV
JEPI

Returns By Period

In the year-to-date period, IVOV achieves a 16.74% return, which is significantly higher than JEPI's 15.68% return.


IVOV

YTD

16.74%

1M

5.19%

6M

15.86%

1Y

29.70%

5Y (annualized)

12.03%

10Y (annualized)

9.58%

JEPI

YTD

15.68%

1M

1.17%

6M

9.24%

1Y

18.27%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


IVOVJEPI
Sharpe Ratio1.862.63
Sortino Ratio2.663.65
Omega Ratio1.331.52
Calmar Ratio3.044.81
Martin Ratio10.2918.61
Ulcer Index2.96%1.00%
Daily Std Dev16.35%7.08%
Max Drawdown-45.99%-13.71%
Current Drawdown-0.99%-0.28%

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IVOV vs. JEPI - Expense Ratio Comparison

IVOV has a 0.15% expense ratio, which is lower than JEPI's 0.35% expense ratio.


JEPI
JPMorgan Equity Premium Income ETF
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%
Expense ratio chart for IVOV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.7

The correlation between IVOV 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

IVOV vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P Mid-Cap 400 Value ETF (IVOV) 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 IVOV, currently valued at 1.86, compared to the broader market0.002.004.001.862.63
The chart of Sortino ratio for IVOV, currently valued at 2.66, compared to the broader market-2.000.002.004.006.008.0010.002.663.65
The chart of Omega ratio for IVOV, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.52
The chart of Calmar ratio for IVOV, currently valued at 3.04, compared to the broader market0.005.0010.0015.003.044.81
The chart of Martin ratio for IVOV, currently valued at 10.29, compared to the broader market0.0020.0040.0060.0080.00100.0010.2918.61
IVOV
JEPI

The current IVOV Sharpe Ratio is 1.86, which is comparable to the JEPI Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of IVOV 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.86
2.63
IVOV
JEPI

Dividends

IVOV vs. JEPI - Dividend Comparison

IVOV's dividend yield for the trailing twelve months is around 1.31%, less than JEPI's 7.07% yield.


TTM20232022202120202019201820172016201520142013
IVOV
Vanguard S&P Mid-Cap 400 Value ETF
1.31%1.52%1.97%1.78%2.42%1.75%1.87%1.55%1.36%1.66%1.47%0.85%
JEPI
JPMorgan Equity Premium Income ETF
7.07%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

IVOV vs. JEPI - Drawdown Comparison

The maximum IVOV drawdown since its inception was -45.99%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for IVOV and JEPI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.99%
-0.28%
IVOV
JEPI

Volatility

IVOV vs. JEPI - Volatility Comparison

Vanguard S&P Mid-Cap 400 Value ETF (IVOV) has a higher volatility of 5.76% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. This indicates that IVOV'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%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
5.76%
2.25%
IVOV
JEPI