JEPIX vs. SPY

Last updated Jun 24, 2026

JEPIX (JPMorgan Equity Premium Income Fund Class I) and SPY (State Street SPDR S&P 500 ETF) are both funds - JEPIX is a Derivative Income fund actively managed by JPMorgan, while SPY is a S&P 500 fund tracking the S&P 500 Index. JEPIX is actively managed, while SPY is passively managed. Over the past 5 years, JEPIX returned 7.34%/yr vs 13.05%/yr for SPY. A 0.77 correlation means they provide meaningful diversification when combined. JEPIX charges 0.59%/yr vs 0.09%/yr for SPY.

Performance

JEPIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Equity Premium Income Fund Class I (JEPIX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JEPIX achieves a 0.90% return, which is significantly lower than SPY's 8.15% return.

JEPIX

• 1D: -0.07%
• 1M: 0.35%
• YTD: 0.90%
• 6M: 1.13%
• 1Y: 8.22%
• 3Y*: 9.01%
• 5Y*: 7.34%
• 10Y*: —

SPY

• 1D: -1.45%
• 1M: -1.36%
• YTD: 8.15%
• 6M: 7.20%
• 1Y: 23.59%
• 3Y*: 20.68%
• 5Y*: 13.05%
• 10Y*: 15.53%

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

JEPIX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
JEPIX JPMorgan Equity Premium Income Fund Class I	0.90%	7.82%	12.43%	9.68%	-3.81%	19.36%	6.02%	16.44%	-9.93%
SPY State Street SPDR S&P 500 ETF	8.15%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-13.02%

Correlation

The correlation between JEPIX and SPY is 0.58, 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	0.58
Correlation (3Y) Calculated over the trailing 3-year period	0.70
Correlation (5Y) Calculated over the trailing 5-year period	0.75
Correlation (All Time) Calculated using the full available price history since Sep 4, 2018	0.77

The correlation between JEPIX and SPY shifts across timeframes, from 0.58 (1 year) to 0.77 (all time), reflecting how their relationship changes across market environments.

Return for Risk

JEPIX vs. SPY — Risk / Return Rank

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

JEPIX

JEPIX Risk / Return Rank: 15
JEPIX Sharpe Ratio Rank: 15
JEPIX Sortino Ratio Rank: 17
JEPIX Omega Ratio Rank: 16
JEPIX Calmar Ratio Rank: 14
JEPIX Martin Ratio Rank: 14

SPY

SPY Risk / Return Rank: 59
SPY Sharpe Ratio Rank: 58
SPY Sortino Ratio Rank: 56
SPY Omega Ratio Rank: 57
SPY Calmar Ratio Rank: 56
SPY Martin Ratio Rank: 67

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.

JEPIX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Premium Income Fund Class I (JEPIX) and State Street SPDR S&P 500 ETF (SPY). 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.

	JEPIX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.03	1.90	-0.87
Sortino ratio: Return per unit of downside risk	1.60	2.58	-0.98
Omega ratio: Gain probability vs. loss probability	1.20	1.34	-0.15
Calmar ratio: Return relative to maximum drawdown	1.21	2.67	-1.46
Martin ratio: Return relative to average drawdown	3.66	11.92	-8.26

JEPIX vs. SPY - Sharpe Ratio Comparison

The current JEPIX Sharpe Ratio is 1.03, which is lower than the SPY Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of JEPIX and SPY, 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

JEPIX vs. SPY - Drawdown Comparison

The maximum JEPIX drawdown since its inception was -32.63%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JEPIX and SPY.

Drawdown Indicators

	JEPIX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-32.63%	-55.19%	+22.56%
Max Drawdown (1Y) Largest decline over 1 year	-7.41%	-8.88%	+1.47%
Max Drawdown (3Y) Largest decline over 3 years	-13.42%	-18.76%	+5.34%
Max Drawdown (5Y) Largest decline over 5 years	-13.67%	-24.50%	+10.83%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-4.19%	-3.17%	-1.02%
Average Drawdown Average peak-to-trough decline	-3.21%	-9.04%	+5.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.44%	1.98%	+0.46%

Volatility

JEPIX vs. SPY - Volatility Comparison

The current volatility for JPMorgan Equity Premium Income Fund Class I (JEPIX) is 2.47%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.87%. This indicates that JEPIX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JEPIX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.47%	4.87%	-2.40%
Volatility (6M) Calculated over the trailing 6-month period	6.94%	9.85%	-2.91%
Volatility (1Y) Calculated over the trailing 1-year period	8.72%	12.50%	-3.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.47%	17.15%	-5.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.72%	17.95%	-3.23%

JEPIX vs. SPY - Expense Ratio Comparison

JEPIX has a 0.59% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

JEPIX vs. SPY - Dividend Comparison

JEPIX's dividend yield for the trailing twelve months is around 8.10%, more than SPY's 1.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JEPIX JPMorgan Equity Premium Income Fund Class I	8.10%	8.12%	7.20%	8.42%	12.24%	6.15%	11.59%	3.91%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	1.03%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both JEPIX and SPY in my portfolio?

JEPIX and SPY have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JEPIX or SPY?

SPY has higher volatility (4.87%) compared to JEPIX (2.47%). In terms of maximum drawdown, JEPIX dropped -32.63% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.90 vs 1.03), 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.