JEPQ vs. JAAA

Last updated Jun 13, 2026

JEPQ (JPMorgan Nasdaq Equity Premium Income ETF) and JAAA (Janus Henderson AAA CLO ETF) are both exchange-traded funds - JEPQ is a Nasdaq-100 fund tracking the Nasdaq-100 Index, while JAAA is a CLO fund actively managed by Janus Henderson. JEPQ is passively managed, while JAAA is actively managed. Over the past 3 years, JEPQ returned 19.91%/yr vs 6.67%/yr for JAAA. At a 0.13 correlation, their price movements are largely independent. JEPQ charges 0.35%/yr vs 0.20%/yr for JAAA.

Performance

JEPQ vs. JAAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) and Janus Henderson AAA CLO ETF (JAAA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JEPQ achieves a 7.85% return, which is significantly higher than JAAA's 1.99% return.

JEPQ

• 1D: 0.62%
• 1M: 0.68%
• YTD: 7.85%
• 6M: 8.80%
• 1Y: 26.60%
• 3Y*: 19.91%
• 5Y*: —
• 10Y*: —

JAAA

• 1D: 0.02%
• 1M: 0.31%
• YTD: 1.99%
• 6M: 2.49%
• 1Y: 5.01%
• 3Y*: 6.67%
• 5Y*: 4.76%
• 10Y*: —

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

JEPQ vs. JAAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
JEPQ JPMorgan Nasdaq Equity Premium Income ETF	7.85%	15.18%	24.85%	36.28%	-11.16%
JAAA Janus Henderson AAA CLO ETF	1.99%	5.16%	7.43%	8.59%	1.09%

Correlation

The correlation between JEPQ and JAAA is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.27
Correlation (3Y) Calculated over the trailing 3-year period	0.15
Correlation (All Time) Calculated using the full available price history since May 4, 2022	0.13

The correlation between JEPQ and JAAA shifts across timeframes, from 0.13 (all time) to 0.27 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

JEPQ vs. JAAA — Risk / Return Rank

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

JEPQ

JEPQ Risk / Return Rank: 74
JEPQ Sharpe Ratio Rank: 73
JEPQ Sortino Ratio Rank: 69
JEPQ Omega Ratio Rank: 79
JEPQ Calmar Ratio Rank: 66
JEPQ Martin Ratio Rank: 81

JAAA

JAAA Risk / Return Rank: 98
JAAA Sharpe Ratio Rank: 99
JAAA Sortino Ratio Rank: 99
JAAA Omega Ratio Rank: 99
JAAA Calmar Ratio Rank: 98
JAAA Martin Ratio Rank: 98

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.

JEPQ vs. JAAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) and Janus Henderson AAA CLO ETF (JAAA). 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.

	JEPQ	JAAA	Difference
Sharpe ratio: Return per unit of total volatility	2.03	6.03	-3.99
Sortino ratio: Return per unit of downside risk	2.69	10.06	-7.37
Omega ratio: Gain probability vs. loss probability	1.40	2.72	-1.32
Calmar ratio: Return relative to maximum drawdown	2.91	12.91	-10.01
Martin ratio: Return relative to average drawdown	13.84	69.57	-55.74

JEPQ vs. JAAA - Sharpe Ratio Comparison

The current JEPQ Sharpe Ratio is 2.03, which is lower than the JAAA Sharpe Ratio of 6.03. The chart below compares the historical Sharpe Ratios of JEPQ and JAAA, 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

JEPQ vs. JAAA - Drawdown Comparison

The maximum JEPQ drawdown since its inception was -20.07%, which is greater than JAAA's maximum drawdown of -2.64%. Use the drawdown chart below to compare losses from any high point for JEPQ and JAAA.

Drawdown Indicators

	JEPQ	JAAA	Difference
Max Drawdown Largest peak-to-trough decline	-20.07%	-2.64%	-17.43%
Max Drawdown (1Y) Largest decline over 1 year	-8.82%	-0.39%	-8.43%
Max Drawdown (3Y) Largest decline over 3 years	-20.07%	-1.46%	-18.61%
Max Drawdown (5Y) Largest decline over 5 years	—	-2.64%	—
Current Drawdown Current decline from peak	-1.64%	0.00%	-1.64%
Average Drawdown Average peak-to-trough decline	-3.41%	-0.25%	-3.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.85%	0.07%	+1.78%

Volatility

JEPQ vs. JAAA - Volatility Comparison

JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) has a higher volatility of 4.98% compared to Janus Henderson AAA CLO ETF (JAAA) at 0.12%. This indicates that JEPQ's price experiences larger fluctuations and is considered to be riskier than JAAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JEPQ	JAAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.98%	0.12%	+4.86%
Volatility (6M) Calculated over the trailing 6-month period	10.22%	0.63%	+9.59%
Volatility (1Y) Calculated over the trailing 1-year period	12.61%	0.83%	+11.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.73%	1.67%	+15.06%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.73%	1.64%	+15.09%

JEPQ vs. JAAA - Expense Ratio Comparison

JEPQ has a 0.35% expense ratio, which is higher than JAAA's 0.20% expense ratio.

Dividends

JEPQ vs. JAAA - Dividend Comparison

JEPQ's dividend yield for the trailing twelve months is around 10.22%, more than JAAA's 4.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
JAAA Janus Henderson AAA CLO ETF	4.99%	5.30%	6.35%	6.11%	2.74%	1.21%	0.26%
JEPQ JPMorgan Nasdaq Equity Premium Income ETF	10.22%	10.53%	9.65%	10.03%	9.44%	0.00%	0.00%

Frequently Asked Questions

Can I hold both JEPQ and JAAA in my portfolio?

JEPQ and JAAA have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JEPQ or JAAA?

JEPQ has higher volatility (4.98%) compared to JAAA (0.12%). In terms of maximum drawdown, JEPQ dropped -20.07% vs JAAA's -2.64%.

Which ETF is better, JEPQ or JAAA?

On 3-year performance, JEPQ leads with 19.91% vs 6.67% for JAAA. On fees, JAAA is cheaper at 0.20% per year. On volatility, JAAA has been the lower-risk option at 0.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, JEPQ or JAAA?

Over the 3-year period, JEPQ has performed better with a 19.91% return vs 6.67%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JEPQ or JAAA?

JAAA is cheaper with a 0.20% expense ratio, compared with 0.35% for JEPQ.

Which ETF pays a higher dividend yield, JEPQ or JAAA?

JEPQ has the higher dividend yield at 10.22%, compared with 4.99% for JAAA.

What is the main difference between JEPQ and JAAA?

JEPQ is categorized as Nasdaq-100, while JAAA is CLO. They also come from different issuers: JPMorgan and Janus Henderson. Their fees differ too: 0.35% for JEPQ and 0.20% for JAAA.

Which has better risk-adjusted returns?

JAAA currently has the higher Sharpe Ratio (6.03 vs 2.03), 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.