SHYL vs. JEPI
SHYL (Xtrackers Short Duration High Yield Bond ETF) and JEPI (JPMorgan Equity Premium Income ETF) are both exchange-traded funds - SHYL is a High Yield Bonds fund tracking the Solactive USD High Yield Corporates Total Market 0-5 Year Index, while JEPI is a Dividend fund actively managed by JPMorgan. SHYL is passively managed, while JEPI is actively managed. Over the past 5 years, SHYL returned 4.91%/yr vs 7.37%/yr for JEPI. A 0.59 correlation means they provide meaningful diversification when combined. SHYL charges 0.20%/yr vs 0.35%/yr for JEPI.
Performance
SHYL vs. JEPI - Performance Comparison
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Returns By Period
In the year-to-date period, SHYL achieves a 1.30% return, which is significantly higher than JEPI's 0.69% return.
SHYL
- 1D
- 0.15%
- 1M
- 0.20%
- YTD
- 1.30%
- 6M
- 1.76%
- 1Y
- 6.02%
- 3Y*
- 8.39%
- 5Y*
- 4.91%
- 10Y*
- —
JEPI
- 1D
- 0.54%
- 1M
- -0.71%
- YTD
- 0.69%
- 6M
- 1.05%
- 1Y
- 8.25%
- 3Y*
- 9.05%
- 5Y*
- 7.37%
- 10Y*
- —
SHYL vs. JEPI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SHYL Xtrackers Short Duration High Yield Bond ETF | 1.30% | 7.78% | 8.52% | 11.39% | -5.21% | 4.60% | 12.51% |
JEPI JPMorgan Equity Premium Income ETF | 0.69% | 8.09% | 12.57% | 9.83% | -3.49% | 21.52% | 18.61% |
Correlation
The correlation between SHYL and JEPI is 0.55, 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 | 0.55 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.58 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.60 |
Correlation (All Time) Calculated using the full available price history since May 22, 2020 | 0.59 |
The correlation between SHYL and JEPI has been stable across timeframes, ranging from 0.55 to 0.60 - a consistent structural relationship.
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Return for Risk
SHYL vs. JEPI — Risk / Return Rank
SHYL
JEPI
SHYL vs. JEPI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers Short Duration High Yield Bond ETF (SHYL) 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.
| SHYL | JEPI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.84 | ||
| Sortino ratioReturn per unit of downside risk | +1.31 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.19 | +0.19 |
| Calmar ratioReturn relative to maximum drawdown | 3.80 | 1.24 | +2.56 |
| Martin ratioReturn relative to average drawdown | 14.98 | 3.96 | +11.01 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SHYL | JEPI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.89 | 1.05 | +0.84 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.84 | 0.67 | +0.17 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.72 | 1.02 | -0.30 |
Drawdowns
SHYL vs. JEPI - Drawdown Comparison
The maximum SHYL drawdown since its inception was -19.26%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for SHYL and JEPI.
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Drawdown Indicators
| SHYL | JEPI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.26% | -13.71% | -5.55% |
Max Drawdown (1Y)Largest decline over 1 year | -1.59% | -6.68% | +5.09% |
Max Drawdown (3Y)Largest decline over 3 years | -4.73% | -13.26% | +8.53% |
Max Drawdown (5Y)Largest decline over 5 years | -9.60% | -13.71% | +4.11% |
Current DrawdownCurrent decline from peak | -0.08% | -4.31% | +4.23% |
Average DrawdownAverage peak-to-trough decline | -1.54% | -2.12% | +0.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.40% | 2.08% | -1.68% |
Volatility
SHYL vs. JEPI - Volatility Comparison
The current volatility for Xtrackers Short Duration High Yield Bond ETF (SHYL) is 0.86%, while JPMorgan Equity Premium Income ETF (JEPI) has a volatility of 1.46%. This indicates that SHYL 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.
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Volatility by Period
| SHYL | JEPI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.86% | 1.46% | -0.60% |
Volatility (6M)Calculated over the trailing 6-month period | 2.45% | 6.10% | -3.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.20% | 7.87% | -4.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.84% | 11.06% | -5.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.69% | 10.80% | -4.11% |
SHYL vs. JEPI - Expense Ratio Comparison
SHYL has a 0.20% expense ratio, which is lower than JEPI's 0.35% expense ratio.
Dividends
SHYL vs. JEPI - Dividend Comparison
SHYL's dividend yield for the trailing twelve months is around 6.93%, less than JEPI's 8.23% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
JEPI JPMorgan Equity Premium Income ETF | 8.23% | 8.25% | 7.33% | 8.40% | 11.68% | 6.59% | 5.79% | 0.00% | 0.00% |
SHYL Xtrackers Short Duration High Yield Bond ETF | 6.93% | 7.02% | 7.26% | 6.60% | 5.52% | 4.65% | 6.16% | 5.93% | 5.54% |
Frequently Asked Questions
SHYL 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.
JEPI has higher volatility (1.46%) compared to SHYL (0.86%). In terms of maximum drawdown, SHYL dropped -19.26% vs JEPI's -13.71%.
On 5-year performance, JEPI leads with 7.37% vs 4.91% for SHYL. On fees, SHYL is cheaper at 0.20% per year. On volatility, SHYL has been the lower-risk option at 0.86%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, JEPI has performed better with a 7.37% return vs 4.91%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SHYL is cheaper with a 0.20% expense ratio, compared with 0.35% for JEPI.
JEPI has the higher dividend yield at 8.23%, compared with 6.93% for SHYL.
SHYL is categorized as High Yield Bonds, while JEPI is Dividend. They also come from different issuers: Deutsche Bank and JPMorgan. Their fees differ too: 0.20% for SHYL and 0.35% for JEPI.
SHYL currently has the higher Sharpe Ratio (1.89 vs 1.05), 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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