KOKU vs. JEPI
Compare and contrast key facts about Xtrackers MSCI Kokusai Equity ETF (KOKU) and JPMorgan Equity Premium Income ETF (JEPI).
KOKU and JEPI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. KOKU is a passively managed fund by Deutsche Bank that tracks the performance of the MSCI Kokusai Index (World ex Japan). It was launched on Apr 8, 2020. JEPI is an actively managed fund by JPMorgan Chase. It was launched on May 20, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: KOKU or JEPI.
Key characteristics
| KOKU | JEPI | |
|---|---|---|
| YTD Return | 21.72% | 15.79% |
| 1Y Return | 32.99% | 20.11% |
| 3Y Return (Ann) | 7.82% | 8.29% |
| Sharpe Ratio | 2.82 | 2.87 |
| Sortino Ratio | 3.83 | 4.00 |
| Omega Ratio | 1.52 | 1.58 |
| Calmar Ratio | 4.18 | 5.20 |
| Martin Ratio | 19.04 | 20.34 |
| Ulcer Index | 1.74% | 0.99% |
| Daily Std Dev | 11.74% | 7.00% |
| Max Drawdown | -25.77% | -13.71% |
| Current Drawdown | -0.53% | -0.18% |
Correlation
The correlation between KOKU and JEPI is 0.80, 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.
Performance
KOKU vs. JEPI - Performance Comparison
In the year-to-date period, KOKU achieves a 21.72% return, which is significantly higher than JEPI's 15.79% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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KOKU vs. JEPI - Expense Ratio Comparison
KOKU has a 0.09% expense ratio, which is lower than JEPI's 0.35% expense ratio.
Risk-Adjusted Performance
KOKU vs. JEPI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI Kokusai Equity ETF (KOKU) and JPMorgan Equity Premium Income ETF (JEPI). 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.
Dividends
KOKU vs. JEPI - Dividend Comparison
KOKU's dividend yield for the trailing twelve months is around 1.55%, less than JEPI's 7.07% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|
KOKU Xtrackers MSCI Kokusai Equity ETF | 1.55% | 1.76% | 1.98% | 1.89% | 0.55% |
JEPI JPMorgan Equity Premium Income ETF | 7.07% | 8.40% | 11.67% | 6.59% | 5.79% |
Drawdowns
KOKU vs. JEPI - Drawdown Comparison
The maximum KOKU drawdown since its inception was -25.77%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for KOKU and JEPI. For additional features, visit the drawdowns tool.
Volatility
KOKU vs. JEPI - Volatility Comparison
Xtrackers MSCI Kokusai Equity ETF (KOKU) has a higher volatility of 3.24% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.97%. This indicates that KOKU's price experiences larger fluctuations and is considered to be riskier than JEPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.