PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PAPI vs. JEPI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

PAPI vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Equity Premium Income ETF (PAPI) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.70%
9.69%
PAPI
JEPI

Returns By Period

The year-to-date returns for both investments are quite close, with PAPI having a 15.58% return and JEPI slightly higher at 16.16%.


PAPI

YTD

15.58%

1M

3.08%

6M

9.70%

1Y

21.42%

5Y (annualized)

N/A

10Y (annualized)

N/A

JEPI

YTD

16.16%

1M

1.71%

6M

9.69%

1Y

18.77%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


PAPIJEPI
Sharpe Ratio2.222.65
Sortino Ratio3.183.68
Omega Ratio1.401.52
Calmar Ratio4.884.85
Martin Ratio12.5918.78
Ulcer Index1.70%1.00%
Daily Std Dev9.64%7.08%
Max Drawdown-4.39%-13.71%
Current Drawdown0.00%0.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


PAPI vs. JEPI - Expense Ratio Comparison

PAPI has a 0.29% expense ratio, which is lower than JEPI's 0.35% expense ratio.


JEPI
JPMorgan Equity Premium Income ETF
Expense ratio chart for JEPI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for PAPI: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Correlation

-0.50.00.51.00.7

The correlation between PAPI and JEPI is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

PAPI vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Premium Income ETF (PAPI) 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.


Sharpe ratio
The chart of Sharpe ratio for PAPI, currently valued at 2.22, compared to the broader market0.002.004.002.222.65
The chart of Sortino ratio for PAPI, currently valued at 3.18, compared to the broader market-2.000.002.004.006.008.0010.0012.003.183.68
The chart of Omega ratio for PAPI, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.52
The chart of Calmar ratio for PAPI, currently valued at 4.88, compared to the broader market0.005.0010.0015.0020.004.884.85
The chart of Martin ratio for PAPI, currently valued at 12.59, compared to the broader market0.0020.0040.0060.0080.00100.0012.5918.78
PAPI
JEPI

The current PAPI Sharpe Ratio is 2.22, which is comparable to the JEPI Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of PAPI and JEPI, 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 Ratio2.002.503.00Thu 24Sat 26Mon 28Wed 30NovemberNov 03Tue 05Thu 07Sat 09Mon 11Wed 13Fri 15Nov 17Tue 19Thu 21
2.22
2.65
PAPI
JEPI

Dividends

PAPI vs. JEPI - Dividend Comparison

PAPI's dividend yield for the trailing twelve months is around 6.78%, less than JEPI's 7.04% yield.


TTM2023202220212020
PAPI
Parametric Equity Premium Income ETF
6.78%1.45%0.00%0.00%0.00%
JEPI
JPMorgan Equity Premium Income ETF
7.04%8.40%11.67%6.59%5.79%

Drawdowns

PAPI vs. JEPI - Drawdown Comparison

The maximum PAPI drawdown since its inception was -4.39%, smaller than the maximum JEPI drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for PAPI and JEPI. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
PAPI
JEPI

Volatility

PAPI vs. JEPI - Volatility Comparison

Parametric Equity Premium Income ETF (PAPI) has a higher volatility of 2.96% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. This indicates that PAPI'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.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.96%
2.25%
PAPI
JEPI