JAAA vs. JEPI

Last updated Jun 13, 2026

JAAA (Janus Henderson AAA CLO ETF) and JEPI (JPMorgan Equity Premium Income ETF) are both exchange-traded funds - JAAA is a CLO fund actively managed by Janus Henderson, while JEPI is a Dividend fund actively managed by JPMorgan. Both are actively managed. Over the past 5 years, JAAA returned 4.76%/yr vs 7.45%/yr for JEPI. At a 0.14 correlation, their price movements are largely independent. JAAA charges 0.20%/yr vs 0.35%/yr for JEPI.

Performance

JAAA vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Janus Henderson AAA CLO ETF (JAAA) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JAAA achieves a 1.99% return, which is significantly higher than JEPI's 1.29% return.

JAAA

• 1D: 0.02%
• 1M: 0.31%
• YTD: 1.99%
• 6M: 2.49%
• 1Y: 5.01%
• 3Y*: 6.67%
• 5Y*: 4.76%
• 10Y*: —

JEPI

• 1D: 0.43%
• 1M: 0.79%
• YTD: 1.29%
• 6M: 1.18%
• 1Y: 8.34%
• 3Y*: 9.13%
• 5Y*: 7.45%
• 10Y*: —

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

JAAA vs. JEPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
JAAA Janus Henderson AAA CLO ETF	1.99%	5.16%	7.43%	8.59%	0.49%	1.39%	0.76%
JEPI JPMorgan Equity Premium Income ETF	1.29%	8.09%	12.57%	9.83%	-3.49%	21.52%	5.70%

Correlation

The correlation between JAAA and JEPI is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.27
Correlation (3Y) Calculated over the trailing 3-year period	0.20
Correlation (5Y) Calculated over the trailing 5-year period	0.15
Correlation (All Time) Calculated using the full available price history since Oct 19, 2020	0.14

The correlation between JAAA and JEPI shifts across timeframes, from 0.14 (all time) to 0.27 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

JAAA vs. JEPI — Risk / Return Rank

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

JAAA

JAAA Risk / Return Rank: 98
JAAA Sharpe Ratio Rank: 99
JAAA Sortino Ratio Rank: 99
JAAA Omega Ratio Rank: 99
JAAA Calmar Ratio Rank: 98
JAAA Martin Ratio Rank: 98

JEPI

JEPI Risk / Return Rank: 28
JEPI Sharpe Ratio Rank: 30
JEPI Sortino Ratio Rank: 29
JEPI Omega Ratio Rank: 28
JEPI Calmar Ratio Rank: 27
JEPI Martin Ratio Rank: 28

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.

JAAA vs. JEPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Janus Henderson AAA CLO ETF (JAAA) 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.

	JAAA	JEPI	Difference
Sharpe ratio: Return per unit of total volatility	6.03	0.95	+5.08
Sortino ratio: Return per unit of downside risk	10.06	1.42	+8.64
Omega ratio: Gain probability vs. loss probability	2.72	1.17	+1.55
Calmar ratio: Return relative to maximum drawdown	12.91	1.14	+11.78
Martin ratio: Return relative to average drawdown	69.57	3.46	+66.11

JAAA vs. JEPI - Sharpe Ratio Comparison

The current JAAA Sharpe Ratio is 6.03, which is higher than the JEPI Sharpe Ratio of 0.95. The chart below compares the historical Sharpe Ratios of JAAA 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.

Drawdowns

JAAA vs. JEPI - Drawdown Comparison

The maximum JAAA drawdown since its inception was -2.64%, smaller than the maximum JEPI drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for JAAA and JEPI.

Drawdown Indicators

	JAAA	JEPI	Difference
Max Drawdown Largest peak-to-trough decline	-2.64%	-13.71%	+11.07%
Max Drawdown (1Y) Largest decline over 1 year	-0.39%	-6.68%	+6.29%
Max Drawdown (3Y) Largest decline over 3 years	-1.46%	-13.26%	+11.80%
Max Drawdown (5Y) Largest decline over 5 years	-2.64%	-13.71%	+11.07%
Current Drawdown Current decline from peak	0.00%	-3.75%	+3.75%
Average Drawdown Average peak-to-trough decline	-0.25%	-2.13%	+1.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.07%	2.20%	-2.13%

Volatility

JAAA vs. JEPI - Volatility Comparison

The current volatility for Janus Henderson AAA CLO ETF (JAAA) is 0.12%, while JPMorgan Equity Premium Income ETF (JEPI) has a volatility of 2.05%. This indicates that JAAA experiences smaller price fluctuations and is considered to be less risky than JEPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JAAA	JEPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.12%	2.05%	-1.93%
Volatility (6M) Calculated over the trailing 6-month period	0.63%	6.23%	-5.60%
Volatility (1Y) Calculated over the trailing 1-year period	0.83%	8.02%	-7.19%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	1.67%	11.08%	-9.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	1.64%	10.79%	-9.15%

JAAA vs. JEPI - Expense Ratio Comparison

JAAA has a 0.20% expense ratio, which is lower than JEPI's 0.35% expense ratio.

Dividends

JAAA vs. JEPI - Dividend Comparison

JAAA's dividend yield for the trailing twelve months is around 4.99%, less than JEPI's 8.18% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
JAAA Janus Henderson AAA CLO ETF	4.99%	5.30%	6.35%	6.11%	2.74%	1.21%	0.26%
JEPI JPMorgan Equity Premium Income ETF	8.18%	8.25%	7.33%	8.40%	11.68%	6.59%	5.79%

Frequently Asked Questions

Can I hold both JAAA and JEPI in my portfolio?

JAAA and JEPI have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JAAA or JEPI?

JEPI has higher volatility (2.05%) compared to JAAA (0.12%). In terms of maximum drawdown, JAAA dropped -2.64% vs JEPI's -13.71%.

Which ETF is better, JAAA or JEPI?

On 5-year performance, JEPI leads with 7.45% vs 4.76% for JAAA. On fees, JAAA is cheaper at 0.20% per year. On volatility, JAAA has been the lower-risk option at 0.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, JAAA or JEPI?

Over the 5-year period, JEPI has performed better with a 7.45% return vs 4.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JAAA or JEPI?

JAAA is cheaper with a 0.20% expense ratio, compared with 0.35% for JEPI.

Which ETF pays a higher dividend yield, JAAA or JEPI?

JEPI has the higher dividend yield at 8.18%, compared with 4.99% for JAAA.

What is the main difference between JAAA and JEPI?

JAAA is categorized as CLO, while JEPI is Dividend. They also come from different issuers: Janus Henderson and JPMorgan. Their fees differ too: 0.20% for JAAA and 0.35% for JEPI.

Which has better risk-adjusted returns?

JAAA currently has the higher Sharpe Ratio (6.03 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.