RYLD vs. JEPI
Compare and contrast key facts about Global X Russell 2000 Covered Call ETF (RYLD) and JPMorgan Equity Premium Income ETF (JEPI).
RYLD and JEPI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. RYLD is a passively managed fund by Global X that tracks the performance of the CBOE Russell 2000 BuyWrite Index. It was launched on Apr 17, 2019. JEPI is an actively managed fund by JPMorgan Chase. It was launched on May 20, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: RYLD or JEPI.
Performance
RYLD vs. JEPI - Performance Comparison
Returns By Period
In the year-to-date period, RYLD achieves a 9.56% return, which is significantly lower than JEPI's 14.85% return.
RYLD
9.56%
2.45%
7.01%
12.60%
3.44%
N/A
JEPI
14.85%
0.36%
7.81%
17.75%
N/A
N/A
Key characteristics
| RYLD | JEPI | |
|---|---|---|
| Sharpe Ratio | 1.18 | 2.57 |
| Sortino Ratio | 1.71 | 3.57 |
| Omega Ratio | 1.23 | 1.51 |
| Calmar Ratio | 0.68 | 4.69 |
| Martin Ratio | 7.05 | 18.13 |
| Ulcer Index | 1.70% | 1.00% |
| Daily Std Dev | 10.17% | 7.05% |
| Max Drawdown | -41.52% | -13.71% |
| Current Drawdown | -7.16% | -1.00% |
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RYLD vs. JEPI - Expense Ratio Comparison
RYLD has a 0.60% expense ratio, which is higher than JEPI's 0.35% expense ratio.
Correlation
The correlation between RYLD and JEPI is 0.65, 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.
Risk-Adjusted Performance
RYLD vs. JEPI - Risk-Adjusted Performance 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.
Dividends
RYLD vs. JEPI - Dividend Comparison
RYLD's dividend yield for the trailing twelve months is around 11.98%, more than JEPI's 7.12% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
RYLD Global X Russell 2000 Covered Call ETF | 11.98% | 12.65% | 13.50% | 12.35% | 10.77% | 6.44% |
JEPI JPMorgan Equity Premium Income ETF | 7.12% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% |
Drawdowns
RYLD vs. JEPI - Drawdown Comparison
The maximum RYLD drawdown since its inception was -41.52%, 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. For additional features, visit the drawdowns tool.
Volatility
RYLD vs. JEPI - Volatility Comparison
Global X Russell 2000 Covered Call ETF (RYLD) has a higher volatility of 3.72% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.14%. This indicates that RYLD'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.