PNNT vs. JEPI
PNNT (PennantPark Investment Corporation) is a stock, while JEPI (JPMorgan Equity Premium Income ETF) is Dividend fund actively managed by JPMorgan. Over the past 5 years, PNNT returned 1.59%/yr vs 7.26%/yr for JEPI. At a 0.36 correlation, their price movements are largely independent.
Performance
PNNT vs. JEPI - Performance Comparison
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Returns By Period
In the year-to-date period, PNNT achieves a -29.11% return, which is significantly lower than JEPI's 0.15% return.
PNNT
- 1D
- -2.02%
- 1M
- -17.74%
- YTD
- -29.11%
- 6M
- -25.37%
- 1Y
- -31.74%
- 3Y*
- 2.96%
- 5Y*
- 1.59%
- 10Y*
- 7.16%
JEPI
- 1D
- 0.14%
- 1M
- -1.54%
- YTD
- 0.15%
- 6M
- 0.47%
- 1Y
- 7.70%
- 3Y*
- 8.88%
- 5Y*
- 7.26%
- 10Y*
- —
PNNT vs. JEPI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
PNNT PennantPark Investment Corporation | -29.11% | -2.96% | 16.56% | 37.25% | -8.90% | 61.71% | 59.33% |
JEPI JPMorgan Equity Premium Income ETF | 0.15% | 8.09% | 12.57% | 9.83% | -3.49% | 21.52% | 18.61% |
Correlation
The correlation between PNNT and JEPI is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.30 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.40 |
Correlation (All Time) Calculated using the full available price history since May 22, 2020 | 0.36 |
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Return for Risk
PNNT vs. JEPI — Risk / Return Rank
PNNT
JEPI
PNNT vs. JEPI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PennantPark Investment Corporation (PNNT) 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.
| PNNT | JEPI | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -1.20 | 0.99 | -2.18 |
Sortino ratioReturn per unit of downside risk | -1.60 | 1.47 | -3.07 |
Omega ratioGain probability vs. loss probability | 0.79 | 1.18 | -0.39 |
Calmar ratioReturn relative to maximum drawdown | -0.75 | 1.16 | -1.90 |
Martin ratioReturn relative to average drawdown | -1.63 | 3.73 | -5.37 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| PNNT | JEPI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.20 | 0.99 | -2.18 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.07 | 0.66 | -0.59 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.22 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.13 | 1.01 | -0.88 |
Drawdowns
PNNT vs. JEPI - Drawdown Comparison
The maximum PNNT drawdown since its inception was -82.16%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for PNNT and JEPI.
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Drawdown Indicators
| PNNT | JEPI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -82.16% | -13.71% | -68.45% |
Max Drawdown (1Y)Largest decline over 1 year | -42.61% | -6.68% | -35.93% |
Max Drawdown (3Y)Largest decline over 3 years | -42.61% | -13.26% | -29.35% |
Max Drawdown (5Y)Largest decline over 5 years | -42.61% | -13.71% | -28.90% |
Max Drawdown (10Y)Largest decline over 10 years | -69.14% | — | — |
Current DrawdownCurrent decline from peak | -39.66% | -4.83% | -34.83% |
Average DrawdownAverage peak-to-trough decline | -15.26% | -2.12% | -13.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 19.45% | 2.07% | +17.38% |
Volatility
PNNT vs. JEPI - Volatility Comparison
PennantPark Investment Corporation (PNNT) has a higher volatility of 13.61% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.35%. This indicates that PNNT'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
| PNNT | JEPI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 13.61% | 1.35% | +12.26% |
Volatility (6M)Calculated over the trailing 6-month period | 23.39% | 6.07% | +17.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 26.56% | 7.85% | +18.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.67% | 11.06% | +12.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 32.72% | 10.80% | +21.92% |
Dividends
PNNT vs. JEPI - Dividend Comparison
PNNT's dividend yield for the trailing twelve months is around 24.68%, more than JEPI's 8.27% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JEPI JPMorgan Equity Premium Income ETF | 8.27% | 8.25% | 7.33% | 8.40% | 11.68% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PNNT PennantPark Investment Corporation | 24.68% | 16.11% | 12.85% | 11.65% | 10.43% | 6.93% | 11.71% | 11.03% | 11.30% | 10.42% | 14.62% | 18.12% |
Frequently Asked Questions
PNNT and JEPI have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PNNT has higher volatility (13.61%) compared to JEPI (1.35%). In terms of maximum drawdown, PNNT dropped -82.16% vs JEPI's -13.71%.
JEPI currently has the higher Sharpe Ratio (0.99 vs -1.20), 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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