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

Key characteristics


RFVJEPI
YTD Return-3.21%3.94%
1Y Return22.21%10.71%
3Y Return (Ann)9.04%8.03%
Sharpe Ratio1.141.52
Daily Std Dev20.12%7.30%
Max Drawdown-71.82%-13.71%
Current Drawdown-5.83%-2.28%

Correlation

0.63
-1.001.00

The correlation between RFV and JEPI is 0.63, 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.

Performance

RFV vs. JEPI - Performance Comparison

In the year-to-date period, RFV achieves a -3.21% return, which is significantly lower than JEPI's 3.94% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%NovemberDecember2024FebruaryMarchApril
19.20%
9.25%
RFV
JEPI

Compare stocks, funds, or ETFs


Invesco S&P MidCap 400® Pure Value ETF

JPMorgan Equity Premium Income ETF

RFV vs. JEPI - Expense Ratio Comparison

Both RFV and JEPI have an expense ratio of 0.35%.

RFV
Invesco S&P MidCap 400® Pure Value ETF
0.50%1.00%1.50%2.00%0.35%
0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

RFV vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P MidCap 400® Pure Value ETF (RFV) 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.


RFV
Sharpe ratio
The Sharpe ratio of RFV compared to the broader market0.002.004.001.14
Sortino ratio
The Sortino ratio of RFV compared to the broader market-2.000.002.004.006.008.0010.001.73
Omega ratio
The Omega ratio of RFV compared to the broader market1.001.502.002.501.20
Calmar ratio
The Calmar ratio of RFV compared to the broader market0.002.004.006.008.0010.0012.001.30
Martin ratio
The Martin ratio of RFV compared to the broader market0.0020.0040.0060.0080.003.96
JEPI
Sharpe ratio
The Sharpe ratio of JEPI compared to the broader market0.002.004.001.52
Sortino ratio
The Sortino ratio of JEPI compared to the broader market-2.000.002.004.006.008.0010.002.15
Omega ratio
The Omega ratio of JEPI compared to the broader market1.001.502.002.501.28
Calmar ratio
The Calmar ratio of JEPI compared to the broader market0.002.004.006.008.0010.0012.001.65
Martin ratio
The Martin ratio of JEPI compared to the broader market0.0020.0040.0060.0080.006.99

RFV vs. JEPI - Sharpe Ratio Comparison

The current RFV Sharpe Ratio is 1.14, which roughly equals the JEPI Sharpe Ratio of 1.52. The chart below compares the 12-month rolling Sharpe Ratio of RFV and JEPI.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50NovemberDecember2024FebruaryMarchApril
1.14
1.52
RFV
JEPI

Dividends

RFV vs. JEPI - Dividend Comparison

RFV's dividend yield for the trailing twelve months is around 1.29%, less than JEPI's 7.59% yield.


TTM20232022202120202019201820172016201520142013
RFV
Invesco S&P MidCap 400® Pure Value ETF
1.29%1.27%2.05%1.60%1.52%1.71%1.39%1.36%0.88%1.79%1.19%0.80%
JEPI
JPMorgan Equity Premium Income ETF
7.59%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

RFV vs. JEPI - Drawdown Comparison

The maximum RFV drawdown since its inception was -71.82%, which is greater than JEPI's maximum drawdown of -13.71%. The drawdown chart below compares losses from any high point along the way for RFV and JEPI


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.83%
-2.28%
RFV
JEPI

Volatility

RFV vs. JEPI - Volatility Comparison

Invesco S&P MidCap 400® Pure Value ETF (RFV) has a higher volatility of 5.86% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.16%. This indicates that RFV'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.


2.00%4.00%6.00%8.00%NovemberDecember2024FebruaryMarchApril
5.86%
2.16%
RFV
JEPI