RYLD vs. JEPI

Last updated Jul 31, 2026

RYLD (Global X Russell 2000 Covered Call ETF) and JEPI (JPMorgan Equity Premium Income ETF) are both exchange-traded funds - RYLD is a Derivative Income fund tracking the CBOE Russell 2000 BuyWrite Index, while JEPI is a Dividend fund actively managed by JPMorgan. RYLD is passively managed, while JEPI is actively managed. Over the past 5 years, RYLD returned 3.18%/yr vs 7.33%/yr for JEPI. Their 0.65 correlation means they have sometimes moved together and sometimes differently. RYLD charges 0.60%/yr vs 0.35%/yr for JEPI.

Performance

RYLD vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X Russell 2000 Covered Call ETF (RYLD) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, RYLD achieves a 12.50% return, which is significantly higher than JEPI's 4.17% return.

RYLD

• 1D: 1.07%
• 1M: 1.32%
• 6M: 9.44%
• YTD: 12.50%
• 1Y: 22.37%
• 3Y*: 8.15%
• 5Y*: 3.18%
• 10Y*: —
• ALL TIME*: 5.84%

JEPI

• 1D: 0.56%
• 1M: 2.05%
• 6M: 1.84%
• YTD: 4.17%
• 1Y: 9.09%
• 3Y*: 9.08%
• 5Y*: 7.33%
• 10Y*: —
• ALL TIME*: 11.23%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
JEPI JPMorgan Equity Premium Income ETF	$266.77M	$260.58M	$298.64M
RYLD Global X Russell 2000 Covered Call ETF	$10.51M	$9.39M	$9.11M

RYLD vs. JEPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
RYLD Global X Russell 2000 Covered Call ETF	12.50%	5.65%	10.13%	0.27%	-13.03%	22.13%	26.63%
JEPI JPMorgan Equity Premium Income ETF	4.17%	8.09%	12.57%	9.83%	-3.49%	21.52%	18.39%

Correlation

The correlation between RYLD and JEPI is 0.55, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.55
Correlation (3Y) Balances recent behavior with more history.	0.66
Correlation (5Y) Shows whether the relationship held over a longer period.	0.67
Correlation (All Time) Calculated using the full available price history since May 21, 2020	0.65

The correlation between RYLD and JEPI shifts across timeframes, from 0.55 (1 year) to 0.67 (5 years), reflecting how their relationship changes across market environments.

RYLD vs. JEPI - Sectors Allocation Comparison

Sectors	RYLD	JEPI
Healthcare	20.3%	12.8%
Financial Services	17.8%	9.1%
Technology	14.5%	15.3%
Industrials	14.1%	10.7%
Consumer Cyclical	9.2%	10.0%
Real Estate	6.8%	2.6%
Energy	5.5%	2.5%
Basic Materials	4.4%	1.6%
Utilities	2.8%	4.8%
Consumer Defensive	2.6%	7.8%
Communication Services	2.2%	6.2%

Return for Risk

RYLD vs. JEPI — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

RYLD

RYLD Risk / Return Rank: 90
RYLD Sharpe Ratio Rank: 89
RYLD Sortino Ratio Rank: 89
RYLD Omega Ratio Rank: 92
RYLD Calmar Ratio Rank: 89
RYLD Martin Ratio Rank: 91

JEPI

JEPI Risk / Return Rank: 45
JEPI Sharpe Ratio Rank: 49
JEPI Sortino Ratio Rank: 49
JEPI Omega Ratio Rank: 48
JEPI Calmar Ratio Rank: 41
JEPI Martin Ratio Rank: 39

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

RYLD vs. JEPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Russell 2000 Covered Call ETF (RYLD) 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.

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.

	RYLD	JEPI	Difference
Sharpe ratio: Return per unit of total volatility	2.11	1.12	+0.99
Sortino ratio: Return per unit of downside risk	2.97	1.66	+1.31
Omega ratio: Gain probability vs. loss probability	1.44	1.21	+0.23
Calmar ratio: Return relative to maximum drawdown	3.57	1.37	+2.21
Martin ratio: Return relative to average drawdown	14.60	3.87	+10.73

RYLD vs. JEPI - Sharpe Ratio Comparison

The current RYLD Sharpe Ratio is 2.11, which is higher than the JEPI Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of RYLD and JEPI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

RYLD vs. JEPI - Drawdown Comparison

The maximum RYLD drawdown since its inception was -41.53%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for RYLD and JEPI.

Drawdown Indicators

	RYLD	JEPI	Difference
Max Drawdown Largest peak-to-trough decline	-41.53%	-13.71%	-27.82%
Max Drawdown (1Y) Largest decline over 1 year	-6.29%	-6.68%	+0.39%
Max Drawdown (3Y) Largest decline over 3 years	-19.05%	-13.26%	-5.79%
Max Drawdown (5Y) Largest decline over 5 years	-21.33%	-13.71%	-7.62%
Current Drawdown Current decline from peak	-0.19%	-1.01%	+0.82%
Average Drawdown Average peak-to-trough decline	-8.66%	-2.13%	-6.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.54%	2.36%	-0.82%

Volatility

RYLD vs. JEPI - Volatility Comparison

The current volatility for Global X Russell 2000 Covered Call ETF (RYLD) is 2.07%, while JPMorgan Equity Premium Income ETF (JEPI) has a volatility of 2.37%. This indicates that RYLD 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.

Volatility by Period

	RYLD	JEPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.07%	2.37%	-0.30%
Volatility (6M) Calculated over the trailing 6-month period	7.73%	6.36%	+1.37%
Volatility (1Y) Calculated over the trailing 1-year period	10.67%	8.17%	+2.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.97%	11.11%	+2.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.05%	10.74%	+6.31%

RYLD vs. JEPI - Expense Ratio Comparison

RYLD has a 0.60% expense ratio, which is higher than JEPI's 0.35% expense ratio.

Dividends

RYLD vs. JEPI - Dividend Comparison

RYLD's dividend yield for the trailing twelve months is around 11.60%, more than JEPI's 7.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
JEPI JPMorgan Equity Premium Income ETF	7.99%	8.25%	7.33%	8.40%	11.68%	6.59%	5.79%	0.00%
RYLD Global X Russell 2000 Covered Call ETF	11.60%	12.00%	12.03%	12.64%	13.49%	12.35%	10.76%	6.43%

Frequently Asked Questions

Can I hold both RYLD and JEPI in my portfolio?

RYLD and JEPI have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RYLD or JEPI?

JEPI has higher volatility (2.37%) compared to RYLD (2.07%). In terms of maximum drawdown, RYLD dropped -41.53% vs JEPI's -13.71%.

Which ETF is better, RYLD or JEPI?

On 5-year performance, JEPI leads with 7.33% vs 3.18% for RYLD. On fees, JEPI is cheaper at 0.35% per year. On volatility, RYLD has been the lower-risk option at 2.07%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, RYLD or JEPI?

Over the 5-year period, JEPI has performed better with a 7.33% return vs 3.18%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, RYLD or JEPI?

JEPI is cheaper with a 0.35% expense ratio, compared with 0.60% for RYLD.

Which ETF pays a higher dividend yield, RYLD or JEPI?

RYLD has the higher dividend yield at 11.60%, compared with 7.99% for JEPI.

What is the main difference between RYLD and JEPI?

RYLD is categorized as Derivative Income, while JEPI is Dividend. They also come from different issuers: Global X and JPMorgan. Their fees differ too: 0.60% for RYLD and 0.35% for JEPI.

Which has better risk-adjusted returns?

RYLD currently has the higher Sharpe Ratio (2.11 vs 1.12), 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.