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PDI vs. JEPI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PDI and JEPI is 0.43, 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.


-0.50.00.51.0
Correlation: 0.4

Performance

PDI vs. JEPI - Performance Comparison

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

40.00%50.00%60.00%70.00%80.00%NovemberDecember2025FebruaryMarchApril
48.27%
66.94%
PDI
JEPI

Key characteristics

Sharpe Ratio

PDI:

0.71

JEPI:

0.41

Sortino Ratio

PDI:

0.94

JEPI:

0.67

Omega Ratio

PDI:

1.23

JEPI:

1.11

Calmar Ratio

PDI:

0.85

JEPI:

0.43

Martin Ratio

PDI:

3.10

JEPI:

1.99

Ulcer Index

PDI:

3.98%

JEPI:

2.83%

Daily Std Dev

PDI:

17.34%

JEPI:

13.76%

Max Drawdown

PDI:

-46.47%

JEPI:

-13.71%

Current Drawdown

PDI:

-6.70%

JEPI:

-7.02%

Returns By Period

In the year-to-date period, PDI achieves a 4.71% return, which is significantly higher than JEPI's -2.96% return.


PDI

YTD

4.71%

1M

-6.51%

6M

0.69%

1Y

11.54%

5Y*

8.54%

10Y*

7.62%

JEPI

YTD

-2.96%

1M

-4.23%

6M

-4.11%

1Y

4.70%

5Y*

N/A

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

PDI vs. JEPI — Risk-Adjusted Performance Rank

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

PDI
The Risk-Adjusted Performance Rank of PDI is 7777
Overall Rank
The Sharpe Ratio Rank of PDI is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of PDI is 6666
Sortino Ratio Rank
The Omega Ratio Rank of PDI is 8282
Omega Ratio Rank
The Calmar Ratio Rank of PDI is 8282
Calmar Ratio Rank
The Martin Ratio Rank of PDI is 8080
Martin Ratio Rank

JEPI
The Risk-Adjusted Performance Rank of JEPI is 5656
Overall Rank
The Sharpe Ratio Rank of JEPI is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of JEPI is 5252
Sortino Ratio Rank
The Omega Ratio Rank of JEPI is 5656
Omega Ratio Rank
The Calmar Ratio Rank of JEPI is 5959
Calmar Ratio Rank
The Martin Ratio Rank of JEPI is 6161
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

PDI vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO Dynamic Income Fund (PDI) 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.


The chart of Sharpe ratio for PDI, currently valued at 0.71, compared to the broader market-2.00-1.000.001.002.003.00
PDI: 0.71
JEPI: 0.41
The chart of Sortino ratio for PDI, currently valued at 0.94, compared to the broader market-6.00-4.00-2.000.002.004.00
PDI: 0.94
JEPI: 0.67
The chart of Omega ratio for PDI, currently valued at 1.23, compared to the broader market0.501.001.502.00
PDI: 1.23
JEPI: 1.11
The chart of Calmar ratio for PDI, currently valued at 0.85, compared to the broader market0.001.002.003.004.005.00
PDI: 0.85
JEPI: 0.43
The chart of Martin ratio for PDI, currently valued at 3.10, compared to the broader market-10.00-5.000.005.0010.0015.0020.00
PDI: 3.10
JEPI: 1.99

The current PDI Sharpe Ratio is 0.71, which is higher than the JEPI Sharpe Ratio of 0.41. The chart below compares the historical Sharpe Ratios of PDI 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.71
0.41
PDI
JEPI

Dividends

PDI vs. JEPI - Dividend Comparison

PDI's dividend yield for the trailing twelve months is around 14.47%, more than JEPI's 7.90% yield.


TTM20242023202220212020201920182017201620152014
PDI
PIMCO Dynamic Income Fund
14.47%14.45%14.74%17.84%10.21%10.01%9.45%10.78%8.81%14.79%15.08%13.43%
JEPI
JPMorgan Equity Premium Income ETF
7.90%7.33%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

PDI vs. JEPI - Drawdown Comparison

The maximum PDI drawdown since its inception was -46.47%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for PDI and JEPI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-6.70%
-7.02%
PDI
JEPI

Volatility

PDI vs. JEPI - Volatility Comparison

PIMCO Dynamic Income Fund (PDI) has a higher volatility of 15.48% compared to JPMorgan Equity Premium Income ETF (JEPI) at 11.06%. This indicates that PDI'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.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
15.48%
11.06%
PDI
JEPI