RYLG vs. JEPQ

Last updated Jun 4, 2026

RYLG (Global X Russell 2000 Covered Call & Growth ETF) and JEPQ (JPMorgan Nasdaq Equity Premium Income ETF) are both exchange-traded funds - RYLG is a Derivative Income fund tracking the Cboe Russell 2000 Half BuyWrite Index, while JEPQ is a Nasdaq-100 fund tracking the Nasdaq-100 Index. Both are passively managed. Over the past 3 years, RYLG returned 12.54%/yr vs 20.92%/yr for JEPQ. A 0.66 correlation means they provide meaningful diversification when combined. Both charge a 0.35% expense ratio.

Performance

RYLG vs. JEPQ - Performance Comparison

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

Returns By Period

In the year-to-date period, RYLG achieves a 12.45% return, which is significantly higher than JEPQ's 9.54% return.

RYLG

• 1D: -0.97%
• 1M: 3.55%
• YTD: 12.45%
• 6M: 12.24%
• 1Y: 29.67%
• 3Y*: 12.54%
• 5Y*: —
• 10Y*: —

JEPQ

• 1D: -0.10%
• 1M: 4.31%
• YTD: 9.54%
• 6M: 9.75%
• 1Y: 29.00%
• 3Y*: 20.92%
• 5Y*: —
• 10Y*: —

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

RYLG vs. JEPQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
RYLG Global X Russell 2000 Covered Call & Growth ETF	12.45%	9.39%	10.57%	8.33%	-1.56%
JEPQ JPMorgan Nasdaq Equity Premium Income ETF	9.54%	15.18%	24.85%	36.28%	-1.77%

Correlation

The correlation between RYLG and JEPQ is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.64
Correlation (All Time) Calculated using the full available price history since Oct 6, 2022	0.66

The correlation between RYLG and JEPQ has been stable across timeframes, ranging from 0.64 to 0.69 - a consistent structural relationship.

RYLG vs. JEPQ - Sectors Allocation Comparison

Sectors	RYLG	JEPQ
Industrials	17.5%	3.1%
Technology	16.8%	54.0%
Healthcare	16.5%	4.4%
Financial Services	16.0%	0.4%
Consumer Cyclical	8.4%	12.8%
Real Estate	6.2%	0.2%
Energy	6.2%	0.4%
Basic Materials	4.8%	1.0%
Utilities	2.9%	1.3%
Communication Services	2.5%	15.4%
Consumer Defensive	2.4%	7.1%

Return for Risk

RYLG vs. JEPQ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

RYLG

RYLG Risk / Return Rank: 64
RYLG Sharpe Ratio Rank: 59
RYLG Sortino Ratio Rank: 59
RYLG Omega Ratio Rank: 57
RYLG Calmar Ratio Rank: 73
RYLG Martin Ratio Rank: 74

JEPQ

JEPQ Risk / Return Rank: 74
JEPQ Sharpe Ratio Rank: 74
JEPQ Sortino Ratio Rank: 71
JEPQ Omega Ratio Rank: 80
JEPQ Calmar Ratio Rank: 65
JEPQ Martin Ratio Rank: 80

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

RYLG vs. JEPQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Russell 2000 Covered Call & Growth ETF (RYLG) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). 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.

	RYLG	JEPQ	Difference
Sharpe ratio Return per unit of total volatility	2.01	2.49	-0.47
Sortino ratio Return per unit of downside risk	2.83	3.29	-0.46
Omega ratio Gain probability vs. loss probability	1.35	1.49	-0.14
Calmar ratio Return relative to maximum drawdown	3.64	3.31	+0.34
Martin ratio Return relative to average drawdown	14.04	16.22	-2.19
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RYLG vs. JEPQ - Sharpe Ratio Comparison

The current RYLG Sharpe Ratio is 2.01, which is comparable to the JEPQ Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of RYLG and JEPQ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	RYLG	JEPQ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.01	2.49	-0.47
Sharpe Ratio (All Time) Calculated using the full available price history	0.63	1.00	-0.38

Drawdowns

RYLG vs. JEPQ - Drawdown Comparison

The maximum RYLG drawdown since its inception was -22.37%, which is greater than JEPQ's maximum drawdown of -20.07%. Use the drawdown chart below to compare losses from any high point for RYLG and JEPQ.

Drawdown Indicators

	RYLG	JEPQ	Difference
Max Drawdown Largest peak-to-trough decline	-22.37%	-20.07%	-2.30%
Max Drawdown (1Y) Largest decline over 1 year	-8.18%	-8.82%	+0.64%
Max Drawdown (3Y) Largest decline over 3 years	-22.37%	-20.07%	-2.30%
Current Drawdown Current decline from peak	-0.97%	-0.10%	-0.87%
Average Drawdown Average peak-to-trough decline	-4.13%	-3.42%	-0.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.12%	1.79%	+0.33%

Volatility

RYLG vs. JEPQ - Volatility Comparison

Global X Russell 2000 Covered Call & Growth ETF (RYLG) has a higher volatility of 3.93% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 1.26%. This indicates that RYLG's price experiences larger fluctuations and is considered to be riskier than JEPQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	RYLG	JEPQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.93%	1.26%	+2.67%
Volatility (6M) Calculated over the trailing 6-month period	10.67%	9.07%	+1.60%
Volatility (1Y) Calculated over the trailing 1-year period	14.88%	11.73%	+3.15%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.17%	16.61%	+0.56%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.17%	16.61%	+0.56%

RYLG vs. JEPQ - Expense Ratio Comparison

Both RYLG and JEPQ have an expense ratio of 0.35%.

Dividends

RYLG vs. JEPQ - Dividend Comparison

RYLG's dividend yield for the trailing twelve months is around 10.34%, more than JEPQ's 10.07% yield.

Position	TTM	2025	2024	2023	2022
JEPQ JPMorgan Nasdaq Equity Premium Income ETF	10.07%	10.53%	9.65%	10.03%	9.44%
RYLG Global X Russell 2000 Covered Call & Growth ETF	10.34%	10.82%	23.73%	5.78%	4.36%

Frequently Asked Questions

Can I hold both RYLG and JEPQ in my portfolio?

RYLG and JEPQ have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RYLG or JEPQ?

RYLG has higher volatility (3.93%) compared to JEPQ (1.26%). In terms of maximum drawdown, RYLG dropped -22.37% vs JEPQ's -20.07%.

Which ETF is better, RYLG or JEPQ?

On 3-year performance, JEPQ leads with 20.92% vs 12.54% for RYLG. Both ETFs have the same 0.35% expense ratio. On volatility, JEPQ has been the lower-risk option at 1.26%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, RYLG or JEPQ?

Over the 3-year period, JEPQ has performed better with a 20.92% return vs 12.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, RYLG or JEPQ?

RYLG and JEPQ have the same expense ratio: 0.35% per year.

Which ETF pays a higher dividend yield, RYLG or JEPQ?

RYLG has the higher dividend yield at 10.34%, compared with 10.07% for JEPQ.

What is the main difference between RYLG and JEPQ?

RYLG is categorized as Derivative Income, while JEPQ is Nasdaq-100. RYLG tracks Cboe Russell 2000 Half BuyWrite Index, while JEPQ tracks Nasdaq-100 Index. They also come from different issuers: Global X and JPMorgan.

Which has better risk-adjusted returns?

JEPQ currently has the higher Sharpe Ratio (2.49 vs 2.01), 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.