PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JEPAX vs. DFUSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

JEPAX vs. DFUSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Equity Premium Income Fund Class A (JEPAX) and DFA U.S. Large Company Portfolio (DFUSX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.62%
12.18%
JEPAX
DFUSX

Returns By Period

In the year-to-date period, JEPAX achieves a 14.63% return, which is significantly lower than DFUSX's 25.46% return.


JEPAX

YTD

14.63%

1M

0.25%

6M

7.62%

1Y

17.32%

5Y (annualized)

9.41%

10Y (annualized)

N/A

DFUSX

YTD

25.46%

1M

1.16%

6M

12.18%

1Y

32.07%

5Y (annualized)

15.54%

10Y (annualized)

13.11%

Key characteristics


JEPAXDFUSX
Sharpe Ratio2.402.59
Sortino Ratio3.463.47
Omega Ratio1.481.48
Calmar Ratio4.413.76
Martin Ratio15.8416.93
Ulcer Index1.09%1.88%
Daily Std Dev7.19%12.26%
Max Drawdown-32.68%-54.96%
Current Drawdown-1.27%-1.36%

Compare stocks, funds, or ETFs

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


JEPAX vs. DFUSX - Expense Ratio Comparison

JEPAX has a 0.85% expense ratio, which is higher than DFUSX's 0.08% expense ratio.


JEPAX
JPMorgan Equity Premium Income Fund Class A
Expense ratio chart for JEPAX: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for DFUSX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Correlation

-0.50.00.51.00.8

The correlation between JEPAX and DFUSX is 0.77, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

JEPAX vs. DFUSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Premium Income Fund Class A (JEPAX) and DFA U.S. Large Company Portfolio (DFUSX). 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 JEPAX, currently valued at 2.40, compared to the broader market-1.000.001.002.003.004.005.002.402.62
The chart of Sortino ratio for JEPAX, currently valued at 3.46, compared to the broader market0.005.0010.003.463.49
The chart of Omega ratio for JEPAX, currently valued at 1.48, compared to the broader market1.002.003.004.001.481.49
The chart of Calmar ratio for JEPAX, currently valued at 4.41, compared to the broader market0.005.0010.0015.0020.0025.004.413.79
The chart of Martin ratio for JEPAX, currently valued at 15.84, compared to the broader market0.0020.0040.0060.0080.00100.0015.8417.06
JEPAX
DFUSX

The current JEPAX Sharpe Ratio is 2.40, which is comparable to the DFUSX Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of JEPAX and DFUSX, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.40
2.62
JEPAX
DFUSX

Dividends

JEPAX vs. DFUSX - Dividend Comparison

JEPAX's dividend yield for the trailing twelve months is around 6.74%, more than DFUSX's 1.11% yield.


TTM20232022202120202019201820172016201520142013
JEPAX
JPMorgan Equity Premium Income Fund Class A
6.74%8.19%11.97%7.36%11.35%7.51%0.00%0.00%0.00%0.00%0.00%0.00%
DFUSX
DFA U.S. Large Company Portfolio
1.11%1.34%1.58%1.14%1.60%1.76%1.95%1.86%2.08%2.02%1.81%1.79%

Drawdowns

JEPAX vs. DFUSX - Drawdown Comparison

The maximum JEPAX drawdown since its inception was -32.68%, smaller than the maximum DFUSX drawdown of -54.96%. Use the drawdown chart below to compare losses from any high point for JEPAX and DFUSX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.27%
-1.36%
JEPAX
DFUSX

Volatility

JEPAX vs. DFUSX - Volatility Comparison

The current volatility for JPMorgan Equity Premium Income Fund Class A (JEPAX) is 1.97%, while DFA U.S. Large Company Portfolio (DFUSX) has a volatility of 4.07%. This indicates that JEPAX experiences smaller price fluctuations and is considered to be less risky than DFUSX 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%JuneJulyAugustSeptemberOctoberNovember
1.97%
4.07%
JEPAX
DFUSX