PHYQX vs. JEPQ

Last updated Jun 5, 2026

PHYQX (PGIM High Yield Fund Class R6) and JEPQ (JPMorgan Nasdaq Equity Premium Income ETF) are both funds - PHYQX is a High Yield Bonds fund managed by PGIM, while JEPQ is a Nasdaq-100 fund tracking the Nasdaq-100 Index. Over the past 3 years, PHYQX returned 9.23%/yr vs 20.81%/yr for JEPQ. At a 0.42 correlation, their price movements are largely independent. PHYQX charges 0.38%/yr vs 0.35%/yr for JEPQ.

Performance

PHYQX vs. JEPQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM High Yield Fund Class R6 (PHYQX) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PHYQX achieves a 1.64% return, which is significantly lower than JEPQ's 9.42% return.

PHYQX

• 1D: -0.21%
• 1M: 0.18%
• YTD: 1.64%
• 6M: 2.14%
• 1Y: 7.31%
• 3Y*: 9.23%
• 5Y*: 4.09%
• 10Y*: 5.85%

JEPQ

• 1D: -0.12%
• 1M: 3.79%
• YTD: 9.42%
• 6M: 9.57%
• 1Y: 28.59%
• 3Y*: 20.81%
• 5Y*: —
• 10Y*: —

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

PHYQX vs. JEPQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
PHYQX PGIM High Yield Fund Class R6	1.64%	9.18%	8.55%	12.34%	-4.48%
JEPQ JPMorgan Nasdaq Equity Premium Income ETF	9.42%	15.18%	24.85%	36.28%	-12.89%

Correlation

The correlation between PHYQX and JEPQ is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (3Y) Calculated over the trailing 3-year period	0.38
Correlation (All Time) Calculated using the full available price history since May 5, 2022	0.42

Return for Risk

PHYQX vs. JEPQ — Risk / Return Rank

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

PHYQX

PHYQX Risk / Return Rank: 69
PHYQX Sharpe Ratio Rank: 51
PHYQX Sortino Ratio Rank: 79
PHYQX Omega Ratio Rank: 79
PHYQX Calmar Ratio Rank: 64
PHYQX Martin Ratio Rank: 72

JEPQ

JEPQ Risk / Return Rank: 76
JEPQ Sharpe Ratio Rank: 77
JEPQ Sortino Ratio Rank: 73
JEPQ Omega Ratio Rank: 81
JEPQ Calmar Ratio Rank: 66
JEPQ Martin Ratio Rank: 82

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PHYQX vs. JEPQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM High Yield Fund Class R6 (PHYQX) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). 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.

	PHYQX	JEPQ	Difference
Sharpe ratio: Return per unit of total volatility	2.11	2.45	-0.34
Sortino ratio: Return per unit of downside risk	3.80	3.25	+0.55
Omega ratio: Gain probability vs. loss probability	1.53	1.48	+0.04
Calmar ratio: Return relative to maximum drawdown	3.06	3.26	-0.20
Martin ratio: Return relative to average drawdown	13.70	15.99	-2.29
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PHYQX vs. JEPQ - Sharpe Ratio Comparison

The current PHYQX Sharpe Ratio is 2.11, which is comparable to the JEPQ Sharpe Ratio of 2.45. The chart below compares the historical Sharpe Ratios of PHYQX and JEPQ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PHYQX	JEPQ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.11	2.45	-0.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.80	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.07	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.14	1.00	+0.14

Drawdowns

PHYQX vs. JEPQ - Drawdown Comparison

The maximum PHYQX drawdown since its inception was -21.12%, which is greater than JEPQ's maximum drawdown of -20.07%. Use the drawdown chart below to compare losses from any high point for PHYQX and JEPQ.

Drawdown Indicators

	PHYQX	JEPQ	Difference
Max Drawdown Largest peak-to-trough decline	-21.12%	-20.07%	-1.05%
Max Drawdown (1Y) Largest decline over 1 year	-2.47%	-8.82%	+6.35%
Max Drawdown (3Y) Largest decline over 3 years	-3.76%	-20.07%	+16.31%
Max Drawdown (5Y) Largest decline over 5 years	-16.05%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-21.12%	—	—
Current Drawdown Current decline from peak	-0.42%	-0.21%	-0.21%
Average Drawdown Average peak-to-trough decline	-2.23%	-3.42%	+1.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.55%	1.79%	-1.24%

Volatility

PHYQX vs. JEPQ - Volatility Comparison

PGIM High Yield Fund Class R6 (PHYQX) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) have volatilities of 1.24% and 1.28%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PHYQX	JEPQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.24%	1.28%	-0.04%
Volatility (6M) Calculated over the trailing 6-month period	2.83%	9.06%	-6.23%
Volatility (1Y) Calculated over the trailing 1-year period	3.59%	11.72%	-8.13%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.11%	16.60%	-11.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.49%	16.60%	-11.11%

PHYQX vs. JEPQ - Expense Ratio Comparison

PHYQX has a 0.38% expense ratio, which is higher than JEPQ's 0.35% expense ratio.

Dividends

PHYQX vs. JEPQ - Dividend Comparison

PHYQX's dividend yield for the trailing twelve months is around 7.11%, less than JEPQ's 10.08% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JEPQ JPMorgan Nasdaq Equity Premium Income ETF	10.08%	10.53%	9.65%	10.03%	9.44%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
PHYQX PGIM High Yield Fund Class R6	7.11%	7.07%	7.53%	7.09%	6.29%	6.23%	6.56%	6.32%	6.64%	6.38%	4.88%	7.05%

Frequently Asked Questions

Can I hold both PHYQX and JEPQ in my portfolio?

PHYQX and JEPQ have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PHYQX or JEPQ?

JEPQ has higher volatility (1.28%) compared to PHYQX (1.24%). In terms of maximum drawdown, PHYQX dropped -21.12% vs JEPQ's -20.07%.

Which has better risk-adjusted returns?

JEPQ currently has the higher Sharpe Ratio (2.45 vs 2.11), 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.