JEPI vs. RY

Last updated Jun 9, 2026

JEPI (JPMorgan Equity Premium Income ETF) is Dividend fund actively managed by JPMorgan, while RY (Royal Bank of Canada) is a stock. Over the past 5 years, JEPI returned 7.28%/yr vs 17.96%/yr for RY. A 0.56 correlation means they provide meaningful diversification when combined.

Performance

JEPI vs. RY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Equity Premium Income ETF (JEPI) and Royal Bank of Canada (RY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JEPI achieves a 0.04% return, which is significantly lower than RY's 16.17% return.

JEPI

• 1D: -0.31%
• 1M: -0.40%
• YTD: 0.04%
• 6M: 0.91%
• 1Y: 7.03%
• 3Y*: 8.80%
• 5Y*: 7.28%
• 10Y*: —

RY

• 1D: 0.66%
• 1M: 7.51%
• YTD: 16.17%
• 6M: 21.22%
• 1Y: 57.80%
• 3Y*: 33.05%
• 5Y*: 17.96%
• 10Y*: 16.63%

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

JEPI vs. RY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
JEPI JPMorgan Equity Premium Income ETF	0.04%	8.09%	12.57%	9.83%	-3.49%	21.52%	18.61%
RY Royal Bank of Canada	16.17%	46.29%	23.80%	12.72%	-8.00%	34.11%	39.94%

Correlation

The correlation between JEPI and RY is 0.50, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.50
Correlation (3Y) Calculated over the trailing 3-year period	0.53
Correlation (5Y) Calculated over the trailing 5-year period	0.58
Correlation (All Time) Calculated using the full available price history since May 22, 2020	0.56

The correlation between JEPI and RY has been stable across timeframes, ranging from 0.50 to 0.58 - a consistent structural relationship.

Return for Risk

JEPI vs. RY — Risk / Return Rank

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

JEPI

JEPI Risk / Return Rank: 26
JEPI Sharpe Ratio Rank: 27
JEPI Sortino Ratio Rank: 27
JEPI Omega Ratio Rank: 27
JEPI Calmar Ratio Rank: 24
JEPI Martin Ratio Rank: 26

RY

RY Risk / Return Rank: 97
RY Sharpe Ratio Rank: 98
RY Sortino Ratio Rank: 98
RY Omega Ratio Rank: 97
RY Calmar Ratio Rank: 94
RY Martin Ratio Rank: 96

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.

JEPI vs. RY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Premium Income ETF (JEPI) and Royal Bank of Canada (RY). 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.

	JEPI	RY	Difference
Sharpe ratio: Return per unit of total volatility	0.90	3.86	-2.96
Sortino ratio: Return per unit of downside risk	1.35	5.56	-4.22
Omega ratio: Gain probability vs. loss probability	1.17	1.68	-0.51
Calmar ratio: Return relative to maximum drawdown	1.06	5.79	-4.73
Martin ratio: Return relative to average drawdown	3.31	21.54	-18.23
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JEPI vs. RY - Sharpe Ratio Comparison

The current JEPI Sharpe Ratio is 0.90, which is lower than the RY Sharpe Ratio of 3.86. The chart below compares the historical Sharpe Ratios of JEPI and RY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	JEPI	RY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.90	3.86	-2.96
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.66	1.00	-0.34
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.84	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.01	0.65	+0.35

Drawdowns

JEPI vs. RY - Drawdown Comparison

The maximum JEPI drawdown since its inception was -13.71%, smaller than the maximum RY drawdown of -62.90%. Use the drawdown chart below to compare losses from any high point for JEPI and RY.

Drawdown Indicators

	JEPI	RY	Difference
Max Drawdown Largest peak-to-trough decline	-13.71%	-62.90%	+49.19%
Max Drawdown (1Y) Largest decline over 1 year	-6.68%	-10.04%	+3.36%
Max Drawdown (3Y) Largest decline over 3 years	-13.26%	-19.88%	+6.62%
Max Drawdown (5Y) Largest decline over 5 years	-13.71%	-28.36%	+14.65%
Max Drawdown (10Y) Largest decline over 10 years	—	-39.95%	—
Current Drawdown Current decline from peak	-4.93%	0.00%	-4.93%
Average Drawdown Average peak-to-trough decline	-2.12%	-9.32%	+7.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.13%	2.69%	-0.56%

Volatility

JEPI vs. RY - Volatility Comparison

The current volatility for JPMorgan Equity Premium Income ETF (JEPI) is 1.48%, while Royal Bank of Canada (RY) has a volatility of 4.34%. This indicates that JEPI experiences smaller price fluctuations and is considered to be less risky than RY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JEPI	RY	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.48%	4.34%	-2.86%
Volatility (6M) Calculated over the trailing 6-month period	6.09%	11.36%	-5.27%
Volatility (1Y) Calculated over the trailing 1-year period	7.89%	15.09%	-7.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.06%	18.00%	-6.94%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.79%	19.77%	-8.98%

Dividends

JEPI vs. RY - Dividend Comparison

JEPI's dividend yield for the trailing twelve months is around 8.28%, more than RY's 2.37% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JEPI JPMorgan Equity Premium Income ETF	8.28%	8.25%	7.33%	8.40%	11.68%	6.59%	5.79%	0.00%	0.00%	0.00%	0.00%	0.00%
RY Royal Bank of Canada	2.37%	2.54%	3.39%	4.29%	4.07%	3.24%	3.88%	3.88%	4.27%	3.22%	3.95%	5.41%

Frequently Asked Questions

Can I hold both JEPI and RY in my portfolio?

JEPI and RY have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JEPI or RY?

RY has higher volatility (4.34%) compared to JEPI (1.48%). In terms of maximum drawdown, JEPI dropped -13.71% vs RY's -62.90%.

Which has better risk-adjusted returns?

RY currently has the higher Sharpe Ratio (3.86 vs 0.90), 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.