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JEPIX vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

JEPIX vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Equity Premium Income Fund Class I (JEPIX) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
8.37%
12.62%
JEPIX
SCHD

Returns By Period

In the year-to-date period, JEPIX achieves a 14.81% return, which is significantly lower than SCHD's 16.26% return.


JEPIX

YTD

14.81%

1M

0.28%

6M

7.68%

1Y

17.52%

5Y (annualized)

9.68%

10Y (annualized)

N/A

SCHD

YTD

16.26%

1M

0.84%

6M

10.89%

1Y

25.41%

5Y (annualized)

12.67%

10Y (annualized)

11.40%

Key characteristics


JEPIXSCHD
Sharpe Ratio2.442.27
Sortino Ratio3.523.27
Omega Ratio1.491.40
Calmar Ratio4.493.34
Martin Ratio16.3312.25
Ulcer Index1.07%2.05%
Daily Std Dev7.16%11.06%
Max Drawdown-32.63%-33.37%
Current Drawdown-1.27%-1.54%

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JEPIX vs. SCHD - Expense Ratio Comparison

JEPIX has a 0.63% expense ratio, which is higher than SCHD's 0.06% expense ratio.


JEPIX
JPMorgan Equity Premium Income Fund Class I
Expense ratio chart for JEPIX: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.7

The correlation between JEPIX and SCHD is 0.73, 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

JEPIX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Premium Income Fund Class I (JEPIX) and Schwab US Dividend Equity ETF (SCHD). 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 JEPIX, currently valued at 2.44, compared to the broader market-1.000.001.002.003.004.005.002.442.30
The chart of Sortino ratio for JEPIX, currently valued at 3.52, compared to the broader market0.005.0010.003.523.31
The chart of Omega ratio for JEPIX, currently valued at 1.49, compared to the broader market1.002.003.004.001.491.40
The chart of Calmar ratio for JEPIX, currently valued at 4.49, compared to the broader market0.005.0010.0015.0020.0025.004.493.47
The chart of Martin ratio for JEPIX, currently valued at 16.33, compared to the broader market0.0020.0040.0060.0080.00100.0016.3312.41
JEPIX
SCHD

The current JEPIX Sharpe Ratio is 2.44, which is comparable to the SCHD Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of JEPIX and SCHD, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.44
2.30
JEPIX
SCHD

Dividends

JEPIX vs. SCHD - Dividend Comparison

JEPIX's dividend yield for the trailing twelve months is around 6.97%, more than SCHD's 3.40% yield.


TTM20232022202120202019201820172016201520142013
JEPIX
JPMorgan Equity Premium Income Fund Class I
6.97%8.43%12.24%7.58%11.59%7.71%0.00%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.40%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

JEPIX vs. SCHD - Drawdown Comparison

The maximum JEPIX drawdown since its inception was -32.63%, roughly equal to the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for JEPIX and SCHD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.27%
-1.54%
JEPIX
SCHD

Volatility

JEPIX vs. SCHD - Volatility Comparison

The current volatility for JPMorgan Equity Premium Income Fund Class I (JEPIX) is 2.01%, while Schwab US Dividend Equity ETF (SCHD) has a volatility of 3.39%. This indicates that JEPIX experiences smaller price fluctuations and is considered to be less risky than SCHD 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%JuneJulyAugustSeptemberOctoberNovember
2.01%
3.39%
JEPIX
SCHD