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

Performance

PRPIX vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in T. Rowe Price Corporate Income Fund (PRPIX) 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
4.13%
9.24%
PRPIX
JEPI

Returns By Period

In the year-to-date period, PRPIX achieves a 2.98% return, which is significantly lower than JEPI's 15.68% return.


PRPIX

YTD

2.98%

1M

-0.59%

6M

4.14%

1Y

9.17%

5Y (annualized)

-0.46%

10Y (annualized)

1.58%

JEPI

YTD

15.68%

1M

1.17%

6M

9.24%

1Y

18.27%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


PRPIXJEPI
Sharpe Ratio1.522.63
Sortino Ratio2.313.65
Omega Ratio1.271.52
Calmar Ratio0.494.81
Martin Ratio5.9718.61
Ulcer Index1.56%1.00%
Daily Std Dev6.12%7.08%
Max Drawdown-25.82%-13.71%
Current Drawdown-11.41%-0.28%

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PRPIX vs. JEPI - Expense Ratio Comparison

PRPIX has a 0.56% expense ratio, which is higher than JEPI's 0.35% expense ratio.


PRPIX
T. Rowe Price Corporate Income Fund
Expense ratio chart for PRPIX: current value at 0.56% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.56%
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%

Correlation

-0.50.00.51.00.2

The correlation between PRPIX and JEPI is 0.18, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

PRPIX vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Corporate Income Fund (PRPIX) 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 PRPIX, currently valued at 1.52, compared to the broader market-1.000.001.002.003.004.005.001.522.63
The chart of Sortino ratio for PRPIX, currently valued at 2.31, compared to the broader market0.005.0010.002.313.65
The chart of Omega ratio for PRPIX, currently valued at 1.27, compared to the broader market1.002.003.004.001.271.52
The chart of Calmar ratio for PRPIX, currently valued at 0.49, compared to the broader market0.005.0010.0015.0020.000.494.81
The chart of Martin ratio for PRPIX, currently valued at 5.97, compared to the broader market0.0020.0040.0060.0080.00100.005.9718.61
PRPIX
JEPI

The current PRPIX Sharpe Ratio is 1.52, which is lower than the JEPI Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of PRPIX 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.52
2.63
PRPIX
JEPI

Dividends

PRPIX vs. JEPI - Dividend Comparison

PRPIX's dividend yield for the trailing twelve months is around 4.67%, less than JEPI's 7.07% yield.


TTM20232022202120202019201820172016201520142013
PRPIX
T. Rowe Price Corporate Income Fund
4.67%4.13%3.27%2.60%4.80%3.45%3.48%3.23%3.20%3.64%3.63%3.89%
JEPI
JPMorgan Equity Premium Income ETF
7.07%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

PRPIX vs. JEPI - Drawdown Comparison

The maximum PRPIX drawdown since its inception was -25.82%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for PRPIX and JEPI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.41%
-0.28%
PRPIX
JEPI

Volatility

PRPIX vs. JEPI - Volatility Comparison

The current volatility for T. Rowe Price Corporate Income Fund (PRPIX) is 1.48%, while JPMorgan Equity Premium Income ETF (JEPI) has a volatility of 2.25%. This indicates that PRPIX experiences smaller price fluctuations and is considered to be less risky 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%JuneJulyAugustSeptemberOctoberNovember
1.48%
2.25%
PRPIX
JEPI