PEPS vs. ROCY

Last updated Aug 2, 2026

PEPS (Parametric Equity Plus ETF) and ROCY (JPMorgan Equity Premium Yield ETF) are both Derivative Income funds. Both are actively managed. Their 0.96 correlation means they have historically moved very closely together. PEPS charges 0.10%/yr vs 0.35%/yr for ROCY.

Performance

PEPS vs. ROCY - Performance Comparison

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

Returns By Period

PEPS

• 1D: 0.81%
• 1M: 0.80%
• 6M: 8.59%
• YTD: 10.53%
• 1Y: 24.79%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 17.01%

ROCY

• 1D: 0.59%
• 1M: 1.73%
• 6M: —
• YTD: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: —

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
PEPS Parametric Equity Plus ETF	$5.31K	$5.85K	$15.49K
ROCY JPMorgan Equity Premium Yield ETF	$20.40M	$11.96M	$8.27M

PEPS vs. ROCY - Yearly Performance Comparison

	2026 (YTD)
PEPS Parametric Equity Plus ETF	13.85%
ROCY JPMorgan Equity Premium Yield ETF	12.41%

Correlation

The correlation between PEPS and ROCY is 0.96 - they have historically moved very closely together. At this level, their price movements offset little of one another.

	Correlation
Correlation (All Time) Calculated using the full available price history since Mar 19, 2026	0.96

Return for Risk

PEPS vs. ROCY — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

PEPS

PEPS Risk / Return Rank: 70
PEPS Sharpe Ratio Rank: 70
PEPS Sortino Ratio Rank: 65
PEPS Omega Ratio Rank: 68
PEPS Calmar Ratio Rank: 66
PEPS Martin Ratio Rank: 79

ROCY

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

PEPS vs. ROCY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Equity Plus ETF (PEPS) and JPMorgan Equity Premium Yield ETF (ROCY). 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.

	PEPS	ROCY	Difference
Sharpe ratio: Return per unit of total volatility	1.60	—	—
Sortino ratio: Return per unit of downside risk	2.16	—	—
Omega ratio: Gain probability vs. loss probability	1.29	—	—
Calmar ratio: Return relative to maximum drawdown	2.31	—	—
Martin ratio: Return relative to average drawdown	10.10	—	—

Drawdowns

PEPS vs. ROCY - Drawdown Comparison

The maximum PEPS drawdown since its inception was -21.26%, which is greater than ROCY's maximum drawdown of -3.53%. Use the drawdown chart below to compare losses from any high point for PEPS and ROCY.

Drawdown Indicators

	PEPS	ROCY	Difference
Max Drawdown Largest peak-to-trough decline	-21.26%	-3.53%	-17.73%
Max Drawdown (1Y) Largest decline over 1 year	-9.80%	—	—
Current Drawdown Current decline from peak	-0.66%	0.00%	-0.66%
Average Drawdown Average peak-to-trough decline	-2.67%	-0.65%	-2.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.24%	—	—

Volatility

Volatility by Period

	PEPS	ROCY	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.85%	—	—
Volatility (6M) Calculated over the trailing 6-month period	11.00%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	14.21%	11.59%	+2.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.11%	11.59%	+6.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.11%	11.59%	+6.52%

PEPS vs. ROCY - Expense Ratio Comparison

PEPS has a 0.10% expense ratio, which is lower than ROCY's 0.35% expense ratio.

Dividends

PEPS vs. ROCY - Dividend Comparison

PEPS's dividend yield for the trailing twelve months is around 0.92%, less than ROCY's 2.28% yield.

Position	TTM	2025	2024
PEPS Parametric Equity Plus ETF	0.92%	1.00%	0.17%
ROCY JPMorgan Equity Premium Yield ETF	2.28%	0.00%	0.00%

Frequently Asked Questions

Can I hold both PEPS and ROCY in my portfolio?

With a correlation of 0.96, PEPS and ROCY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which ETF is better, PEPS or ROCY?

On fees, PEPS is cheaper at 0.10% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, PEPS or ROCY?

PEPS is cheaper with a 0.10% expense ratio, compared with 0.35% for ROCY.

Which ETF pays a higher dividend yield, PEPS or ROCY?

ROCY has the higher dividend yield at 2.28%, compared with 0.92% for PEPS.

What is the main difference between PEPS and ROCY?

They also come from different issuers: Parametric and JPMorgan. Their fees differ too: 0.10% for PEPS and 0.35% for ROCY.