ROCY vs. PEPS
ROCY (JPMorgan Equity Premium Yield ETF) and PEPS (Parametric Equity Plus ETF) are both Derivative Income funds. Both are actively managed. Their correlation of 0.95 suggests significant overlap in exposure. ROCY charges 0.35%/yr vs 0.10%/yr for PEPS.
Performance
ROCY vs. PEPS - Performance Comparison
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Returns By Period
ROCY
- 1D
- -0.30%
- 1M
- 0.92%
- YTD
- —
- 6M
- —
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
PEPS
- 1D
- -0.52%
- 1M
- 0.84%
- YTD
- 9.36%
- 6M
- 8.89%
- 1Y
- 29.43%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
ROCY vs. PEPS - Yearly Performance Comparison
| 2026 (YTD) | |
|---|---|
ROCY JPMorgan Equity Premium Yield ETF | 10.55% |
PEPS Parametric Equity Plus ETF | 12.64% |
Correlation
The correlation between ROCY and PEPS is 0.95, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (All Time) Calculated using the full available price history since Mar 19, 2026 | 0.95 |
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Return for Risk
ROCY vs. PEPS — Risk / Return Rank
ROCY
Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.
PEPS
ROCY vs. PEPS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Premium Yield ETF (ROCY) and Parametric Equity Plus ETF (PEPS). 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.
| ROCY | PEPS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | — | 1.39 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 3.02 | — |
| Martin ratioReturn relative to average drawdown | — | 13.65 | — |
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Drawdowns
ROCY vs. PEPS - Drawdown Comparison
The maximum ROCY drawdown since its inception was -3.53%, smaller than the maximum PEPS drawdown of -21.26%. Use the drawdown chart below to compare losses from any high point for ROCY and PEPS.
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Drawdown Indicators
| ROCY | PEPS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.53% | -21.26% | +17.73% |
Max Drawdown (1Y)Largest decline over 1 year | — | -9.80% | — |
Current DrawdownCurrent decline from peak | -0.84% | -1.68% | +0.84% |
Average DrawdownAverage peak-to-trough decline | -0.54% | -2.75% | +2.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | — | 2.16% | — |
Volatility
ROCY vs. PEPS - Volatility Comparison
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Volatility by Period
| ROCY | PEPS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | — | 5.19% | — |
Volatility (6M)Calculated over the trailing 6-month period | — | 10.76% | — |
Volatility (1Y)Calculated over the trailing 1-year period | 12.21% | 13.75% | -1.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.21% | 18.41% | -6.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.21% | 18.41% | -6.20% |
ROCY vs. PEPS - Expense Ratio Comparison
ROCY has a 0.35% expense ratio, which is higher than PEPS's 0.10% expense ratio.
Dividends
ROCY vs. PEPS - Dividend Comparison
ROCY's dividend yield for the trailing twelve months is around 1.63%, more than PEPS's 1.14% yield.
| Position | TTM | 2025 | 2024 |
|---|---|---|---|
PEPS Parametric Equity Plus ETF | 1.14% | 1.00% | 0.17% |
ROCY JPMorgan Equity Premium Yield ETF | 1.63% | 0.00% | 0.00% |
Frequently Asked Questions
With a correlation of 0.95, ROCY and PEPS 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.
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.
PEPS is cheaper with a 0.10% expense ratio, compared with 0.35% for ROCY.
ROCY has the higher dividend yield at 1.63%, compared with 1.14% for PEPS.
They also come from different issuers: JPMorgan and Parametric. Their fees differ too: 0.35% for ROCY and 0.10% for PEPS.
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