SDRIX vs. JEPI
SDRIX (Swan Defined Risk Fund) and JEPI (JPMorgan Equity Premium Income ETF) are both funds - SDRIX is a Options Trading fund managed by Swan, while JEPI is a Dividend fund actively managed by JPMorgan. Over the past 5 years, SDRIX returned 4.64%/yr vs 7.40%/yr for JEPI. Their 0.76 correlation means they have sometimes moved together and sometimes differently. SDRIX charges 1.18%/yr vs 0.35%/yr for JEPI.
Performance
SDRIX vs. JEPI - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with SDRIX having a 4.47% return and JEPI slightly higher at 4.52%.
SDRIX
- 1D
- 1.11%
- 1M
- -0.84%
- 6M
- 3.56%
- YTD
- 4.47%
- 1Y
- 12.46%
- 3Y*
- 7.99%
- 5Y*
- 4.64%
- 10Y*
- 5.46%
- ALL TIME*
- 5.44%
JEPI
- 1D
- 0.33%
- 1M
- 1.27%
- 6M
- 2.16%
- YTD
- 4.52%
- 1Y
- 11.16%
- 3Y*
- 9.21%
- 5Y*
- 7.40%
- 10Y*
- —
- ALL TIME*
- 11.29%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $260.98M | $260.42M | $297.70M | |
| $0.00 | $0.00 | $0.00 |
SDRIX vs. JEPI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SDRIX Swan Defined Risk Fund | 4.47% | 10.72% | 4.91% | 12.37% | -12.84% | 17.41% | 12.46% |
JEPI JPMorgan Equity Premium Income ETF | 4.52% | 8.09% | 12.57% | 9.83% | -3.49% | 21.52% | 18.39% |
Correlation
The correlation between SDRIX and JEPI is 0.57, 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. | 0.57 |
Correlation (3Y) Balances recent behavior with more history. | 0.72 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.77 |
Correlation (All Time) Calculated using the full available price history since May 21, 2020 | 0.76 |
The correlation between SDRIX and JEPI shifts across timeframes, from 0.57 (1 year) to 0.77 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
SDRIX vs. JEPI — Risk / Return Rank
SDRIX
JEPI
SDRIX vs. JEPI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Swan Defined Risk Fund (SDRIX) 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.
| SDRIX | JEPI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.06 | ||
| Sortino ratioReturn per unit of downside risk | 0.00 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.23 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.07 | 1.52 | +0.55 |
| Martin ratioReturn relative to average drawdown | 8.16 | 4.32 | +3.84 |
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Drawdowns
SDRIX vs. JEPI - Drawdown Comparison
The maximum SDRIX drawdown since its inception was -20.69%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for SDRIX and JEPI.
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Drawdown Indicators
| SDRIX | JEPI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.69% | -13.71% | -6.98% |
Max Drawdown (1Y)Largest decline over 1 year | -5.29% | -6.68% | +1.39% |
Max Drawdown (3Y)Largest decline over 3 years | -14.16% | -13.26% | -0.90% |
Max Drawdown (5Y)Largest decline over 5 years | -17.67% | -13.71% | -3.96% |
Max Drawdown (10Y)Largest decline over 10 years | -20.69% | — | — |
Current DrawdownCurrent decline from peak | -2.16% | -0.68% | -1.48% |
Average DrawdownAverage peak-to-trough decline | -3.53% | -2.13% | -1.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.34% | 2.36% | -1.02% |
Volatility
SDRIX vs. JEPI - Volatility Comparison
Swan Defined Risk Fund (SDRIX) and JPMorgan Equity Premium Income ETF (JEPI) have volatilities of 2.44% and 2.38%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SDRIX | JEPI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.44% | 2.38% | +0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 6.71% | 6.37% | +0.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.34% | 8.15% | +0.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.70% | 11.10% | -1.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.76% | 10.73% | -0.97% |
SDRIX vs. JEPI - Expense Ratio Comparison
SDRIX has a 1.18% expense ratio, which is higher than JEPI's 0.35% expense ratio.
Dividends
SDRIX vs. JEPI - Dividend Comparison
SDRIX's dividend yield for the trailing twelve months is around 10.10%, more than JEPI's 7.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JEPI JPMorgan Equity Premium Income ETF | 7.34% | 8.25% | 7.33% | 8.40% | 11.68% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SDRIX Swan Defined Risk Fund | 10.10% | 10.55% | 0.00% | 12.37% | 0.00% | 0.00% | 0.34% | 1.21% | 1.00% | 0.76% | 1.42% | 0.78% |
Frequently Asked Questions
SDRIX and JEPI have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SDRIX has higher volatility (2.44%) compared to JEPI (2.38%). In terms of maximum drawdown, SDRIX dropped -20.69% vs JEPI's -13.71%.
SDRIX currently has the higher Sharpe Ratio (1.31 vs 1.25), 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.
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