JEPI vs. VGK

Last updated Jun 9, 2026

JEPI (JPMorgan Equity Premium Income ETF) and VGK (Vanguard FTSE Europe ETF) are both exchange-traded funds - JEPI is a Dividend fund actively managed by JPMorgan, while VGK is a Europe Equities fund tracking the FTSE Developed Europe All Cap Index. JEPI is actively managed, while VGK is passively managed. Over the past 5 years, JEPI returned 7.28%/yr vs 8.08%/yr for VGK. A 0.65 correlation means they provide meaningful diversification when combined. JEPI charges 0.35%/yr vs 0.06%/yr for VGK.

Performance

JEPI vs. VGK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Equity Premium Income ETF (JEPI) and Vanguard FTSE Europe ETF (VGK). 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 VGK's 5.17% return.

JEPI

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

VGK

• 1D: 0.45%
• 1M: -0.68%
• YTD: 5.17%
• 6M: 8.47%
• 1Y: 16.29%
• 3Y*: 16.24%
• 5Y*: 8.08%
• 10Y*: 9.63%

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

JEPI vs. VGK - 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%	18.39%
VGK Vanguard FTSE Europe ETF	5.17%	35.83%	1.88%	20.19%	-15.98%	16.89%	30.98%

Correlation

The correlation between JEPI and VGK is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.65
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.66
Correlation (All Time) Calculated using the full available price history since May 21, 2020	0.65

The correlation between JEPI and VGK has been stable across timeframes, ranging from 0.63 to 0.66 - a consistent structural relationship.

JEPI vs. VGK - Sectors Allocation Comparison

Sectors	JEPI	VGK
Technology	19.1%	8.2%
Healthcare	14.1%	11.9%
Industrials	13.8%	19.3%
Consumer Cyclical	11.7%	6.8%
Financial Services	9.8%	23.6%
Consumer Defensive	9.6%	8.4%
Communication Services	6.9%	3.3%
Utilities	6.2%	4.7%
Real Estate	3.5%	1.5%
Energy	3.5%	5.3%
Basic Materials	1.9%	5.3%

Return for Risk

JEPI vs. VGK — 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

VGK

VGK Risk / Return Rank: 32
VGK Sharpe Ratio Rank: 32
VGK Sortino Ratio Rank: 32
VGK Omega Ratio Rank: 31
VGK Calmar Ratio Rank: 30
VGK Martin Ratio Rank: 36

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. VGK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Premium Income ETF (JEPI) and Vanguard FTSE Europe ETF (VGK). 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	VGK	Difference
Sharpe ratio: Return per unit of total volatility	0.90	1.05	-0.16
Sortino ratio: Return per unit of downside risk	1.35	1.55	-0.21
Omega ratio: Gain probability vs. loss probability	1.17	1.19	-0.02
Calmar ratio: Return relative to maximum drawdown	1.06	1.35	-0.30
Martin ratio: Return relative to average drawdown	3.31	5.01	-1.70
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. VGK - Sharpe Ratio Comparison

The current JEPI Sharpe Ratio is 0.90, which is comparable to the VGK Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of JEPI and VGK, 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	VGK	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.90	1.05	-0.16
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.66	0.45	+0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.51	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.01	0.28	+0.73

Drawdowns

JEPI vs. VGK - Drawdown Comparison

The maximum JEPI drawdown since its inception was -13.71%, smaller than the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for JEPI and VGK.

Drawdown Indicators

	JEPI	VGK	Difference
Max Drawdown Largest peak-to-trough decline	-13.71%	-63.61%	+49.90%
Max Drawdown (1Y) Largest decline over 1 year	-6.68%	-12.09%	+5.41%
Max Drawdown (3Y) Largest decline over 3 years	-13.26%	-14.31%	+1.05%
Max Drawdown (5Y) Largest decline over 5 years	-13.71%	-32.74%	+19.03%
Max Drawdown (10Y) Largest decline over 10 years	—	-37.24%	—
Current Drawdown Current decline from peak	-4.93%	-2.83%	-2.10%
Average Drawdown Average peak-to-trough decline	-2.12%	-13.34%	+11.22%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.13%	3.26%	-1.13%

Volatility

JEPI vs. VGK - Volatility Comparison

The current volatility for JPMorgan Equity Premium Income ETF (JEPI) is 1.48%, while Vanguard FTSE Europe ETF (VGK) has a volatility of 4.86%. This indicates that JEPI experiences smaller price fluctuations and is considered to be less risky than VGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JEPI	VGK	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.48%	4.86%	-3.38%
Volatility (6M) Calculated over the trailing 6-month period	6.09%	12.97%	-6.88%
Volatility (1Y) Calculated over the trailing 1-year period	7.89%	15.57%	-7.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.06%	17.92%	-6.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.79%	18.97%	-8.18%

JEPI vs. VGK - Expense Ratio Comparison

JEPI has a 0.35% expense ratio, which is higher than VGK's 0.06% expense ratio.

Dividends

JEPI vs. VGK - Dividend Comparison

JEPI's dividend yield for the trailing twelve months is around 8.28%, more than VGK's 2.83% 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%
VGK Vanguard FTSE Europe ETF	2.83%	2.86%	3.61%	3.15%	3.25%	3.05%	2.11%	3.27%	3.95%	2.70%	3.52%	3.25%

Frequently Asked Questions

Can I hold both JEPI and VGK in my portfolio?

JEPI and VGK have a correlation of 0.65, 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 VGK?

VGK has higher volatility (4.86%) compared to JEPI (1.48%). In terms of maximum drawdown, JEPI dropped -13.71% vs VGK's -63.61%.

Which ETF is better, JEPI or VGK?

On 5-year performance, VGK leads with 8.08% vs 7.28% for JEPI. On fees, VGK is cheaper at 0.06% per year. On volatility, JEPI has been the lower-risk option at 1.48%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, JEPI or VGK?

Over the 5-year period, VGK has performed better with a 8.08% return vs 7.28%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JEPI or VGK?

VGK is cheaper with a 0.06% expense ratio, compared with 0.35% for JEPI.

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

JEPI has the higher dividend yield at 8.28%, compared with 2.83% for VGK.

What is the main difference between JEPI and VGK?

JEPI is categorized as Dividend, while VGK is Europe Equities. They also come from different issuers: JPMorgan and Vanguard. Their fees differ too: 0.35% for JEPI and 0.06% for VGK.

Which has better risk-adjusted returns?

VGK currently has the higher Sharpe Ratio (1.05 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.