SFM vs. JEPQ
SFM (Sprouts Farmers Market, Inc.) is a stock, while JEPQ (JPMorgan Nasdaq Equity Premium Income ETF) is Nasdaq-100 fund tracking the Nasdaq-100 Index. Over the past 3 years, SFM returned 24.73%/yr vs 18.48%/yr for JEPQ. At a 0.20 correlation, their price movements are largely independent.
Performance
SFM vs. JEPQ - Performance Comparison
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Returns By Period
In the year-to-date period, SFM achieves a -7.53% return, which is significantly lower than JEPQ's 7.89% return.
SFM
- 1D
- 0.50%
- 1M
- -11.89%
- 6M
- -9.62%
- YTD
- -7.53%
- 1Y
- -55.96%
- 3Y*
- 24.73%
- 5Y*
- 23.43%
- 10Y*
- 12.29%
JEPQ
- 1D
- -1.43%
- 1M
- -1.48%
- 6M
- 6.48%
- YTD
- 7.89%
- 1Y
- 20.98%
- 3Y*
- 18.48%
- 5Y*
- —
- 10Y*
- —
SFM vs. JEPQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
SFM Sprouts Farmers Market, Inc. | -7.53% | -37.30% | 164.12% | 48.63% | 5.27% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 7.89% | 15.18% | 24.85% | 36.28% | -11.16% |
Correlation
The correlation between SFM and JEPQ is -0.10, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.10 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since May 4, 2022 | 0.20 |
The correlation between SFM and JEPQ shifts across timeframes, from -0.10 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SFM vs. JEPQ — Risk / Return Rank
SFM
JEPQ
SFM vs. JEPQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Sprouts Farmers Market, Inc. (SFM) 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.
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.
| SFM | JEPQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.72 | ||
| Sortino ratioReturn per unit of downside risk | -3.97 | ||
| Omega ratioGain probability vs. loss probability | 0.75 | 1.29 | -0.54 |
| Calmar ratioReturn relative to maximum drawdown | -0.91 | 2.39 | -3.31 |
| Martin ratioReturn relative to average drawdown | -1.19 | 10.98 | -12.17 |
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Drawdowns
SFM vs. JEPQ - Drawdown Comparison
The maximum SFM drawdown since its inception was -72.88%, which is greater than JEPQ's maximum drawdown of -20.07%. Use the drawdown chart below to compare losses from any high point for SFM and JEPQ.
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Drawdown Indicators
| SFM | JEPQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -72.88% | -20.07% | -52.81% |
Max Drawdown (1Y)Largest decline over 1 year | -61.35% | -8.82% | -52.53% |
Max Drawdown (3Y)Largest decline over 3 years | -63.48% | -20.07% | -43.41% |
Max Drawdown (5Y)Largest decline over 5 years | -63.48% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -63.48% | — | — |
Current DrawdownCurrent decline from peak | -58.97% | -2.57% | -56.40% |
Average DrawdownAverage peak-to-trough decline | -40.37% | -3.37% | -37.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 46.99% | 1.92% | +45.07% |
Volatility
SFM vs. JEPQ - Volatility Comparison
Sprouts Farmers Market, Inc. (SFM) has a higher volatility of 13.45% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 5.76%. This indicates that SFM'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.
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Volatility by Period
| SFM | JEPQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 13.45% | 5.76% | +7.69% |
Volatility (6M)Calculated over the trailing 6-month period | 31.99% | 11.42% | +20.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 47.00% | 13.83% | +33.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 39.51% | 16.82% | +22.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 38.01% | 16.82% | +21.19% |
Dividends
SFM vs. JEPQ - Dividend Comparison
SFM has not paid dividends to shareholders, while JEPQ's dividend yield for the trailing twelve months is around 10.57%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 10.57% | 10.53% | 9.65% | 10.03% | 9.44% |
SFM Sprouts Farmers Market, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
SFM and JEPQ have a correlation of -0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SFM has higher volatility (13.45%) compared to JEPQ (5.76%). In terms of maximum drawdown, SFM dropped -72.88% vs JEPQ's -20.07%.
JEPQ currently has the higher Sharpe Ratio (1.52 vs -1.19), 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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