NCDL vs. JEPI
NCDL (Nuveen Churchill Direct Lending Corp.) is a stock, while JEPI (JPMorgan Equity Premium Income ETF) is Dividend fund actively managed by JPMorgan. Over the past year, NCDL returned -15.07% vs 11.16% for JEPI. Their 0.36 correlation means their historical movements had little consistent relationship.
Performance
NCDL vs. JEPI - Performance Comparison
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Returns By Period
In the year-to-date period, NCDL achieves a -3.41% return, which is significantly lower than JEPI's 4.52% return.
NCDL
- 1D
- -0.57%
- 1M
- -4.42%
- 6M
- -4.56%
- YTD
- -3.41%
- 1Y
- -15.07%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- -3.11%
JEPI
- 1D
- 0.33%
- 1M
- 1.27%
- 6M
- 2.16%
- YTD
- 4.52%
- 1Y
- 11.16%
- 3Y*
- 9.21%
- 5Y*
- 7.40%
- 10Y*
- —
- ALL TIME*
- 11.29%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $260.98M | $260.42M | $297.70M | |
| $2.93M | $2.23M | $2.65M |
NCDL vs. JEPI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
NCDL Nuveen Churchill Direct Lending Corp. | -3.41% | -9.92% | 6.15% |
JEPI JPMorgan Equity Premium Income ETF | 4.52% | 8.09% | 11.24% |
Correlation
The correlation between NCDL and JEPI is 0.36, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.36 |
Correlation (All Time) Calculated using the full available price history since Jan 25, 2024 | 0.36 |
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Return for Risk
NCDL vs. JEPI — Risk / Return Rank
NCDL
JEPI
NCDL vs. JEPI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Nuveen Churchill Direct Lending Corp. (NCDL) 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.
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.
| NCDL | JEPI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.95 | ||
| Sortino ratioReturn per unit of downside risk | -2.71 | ||
| Omega ratioGain probability vs. loss probability | 0.90 | 1.23 | -0.33 |
| Calmar ratioReturn relative to maximum drawdown | -0.87 | 1.52 | -2.39 |
| Martin ratioReturn relative to average drawdown | -1.50 | 4.32 | -5.82 |
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Drawdowns
NCDL vs. JEPI - Drawdown Comparison
The maximum NCDL drawdown since its inception was -22.29%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for NCDL and JEPI.
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Drawdown Indicators
| NCDL | JEPI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.29% | -13.71% | -8.58% |
Max Drawdown (1Y)Largest decline over 1 year | -18.49% | -6.68% | -11.81% |
Max Drawdown (3Y)Largest decline over 3 years | — | -13.26% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -13.71% | — |
Current DrawdownCurrent decline from peak | -19.68% | -0.68% | -19.00% |
Average DrawdownAverage peak-to-trough decline | -7.53% | -2.13% | -5.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.93% | 2.36% | +8.57% |
Volatility
NCDL vs. JEPI - Volatility Comparison
Nuveen Churchill Direct Lending Corp. (NCDL) has a higher volatility of 6.57% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.38%. This indicates that NCDL'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.
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Volatility by Period
| NCDL | JEPI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.57% | 2.38% | +4.19% |
Volatility (6M)Calculated over the trailing 6-month period | 18.71% | 6.37% | +12.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.16% | 8.15% | +15.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.55% | 11.10% | +9.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.55% | 10.73% | +9.82% |
Dividends
NCDL vs. JEPI - Dividend Comparison
NCDL's dividend yield for the trailing twelve months is around 13.86%, more than JEPI's 7.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
JEPI JPMorgan Equity Premium Income ETF | 7.34% | 8.25% | 7.33% | 8.40% | 11.68% | 6.59% | 5.79% |
NCDL Nuveen Churchill Direct Lending Corp. | 13.86% | 14.24% | 12.51% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
NCDL and JEPI have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NCDL has higher volatility (6.57%) compared to JEPI (2.38%). In terms of maximum drawdown, NCDL dropped -22.29% vs JEPI's -13.71%.
JEPI currently has the higher Sharpe Ratio (1.25 vs -0.69), 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.
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