SOR vs. JEPI

Last updated Apr 1, 2026

Compare and contrast key facts about Source Capital, Inc. (SOR) and JPMorgan Equity Premium Income ETF (JEPI).

JEPI is an actively managed fund by JPMorgan. It was launched on May 20, 2020.

Performance

SOR vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Source Capital, Inc. (SOR) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

SOR vs. JEPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SOR Source Capital, Inc.	2.56%	11.47%	21.28%	12.59%	-5.24%	20.66%	27.21%
JEPI JPMorgan Equity Premium Income ETF	0.20%	8.09%	12.57%	9.83%	-3.49%	21.52%	18.61%

Returns By Period

In the year-to-date period, SOR achieves a 2.56% return, which is significantly higher than JEPI's 0.20% return.

SOR

• 1D: 3.88%
• 1M: -3.53%
• YTD: 2.56%
• 6M: 5.69%
• 1Y: 18.01%
• 3Y*: 16.32%
• 5Y*: 10.06%
• 10Y*: 10.00%

JEPI

• 1D: 1.85%
• 1M: -4.79%
• YTD: 0.20%
• 6M: 3.11%
• 1Y: 7.84%
• 3Y*: 9.57%
• 5Y*: 8.26%
• 10Y*: —

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

Return for Risk

SOR vs. JEPI — Risk / Return Rank

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

SOR

SOR Risk / Return Rank: 76
SOR Sharpe Ratio Rank: 77
SOR Sortino Ratio Rank: 70
SOR Omega Ratio Rank: 73
SOR Calmar Ratio Rank: 77
SOR Martin Ratio Rank: 84

JEPI

JEPI Risk / Return Rank: 39
JEPI Sharpe Ratio Rank: 35
JEPI Sortino Ratio Rank: 34
JEPI Omega Ratio Rank: 42
JEPI Calmar Ratio Rank: 37
JEPI Martin Ratio Rank: 47

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.

SOR vs. JEPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Source Capital, Inc. (SOR) 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.

	SOR	JEPI	Difference
Sharpe ratio Return per unit of total volatility	1.10	0.60	+0.50
Sortino ratio Return per unit of downside risk	1.59	0.93	+0.66
Omega ratio Gain probability vs. loss probability	1.23	1.15	+0.08
Calmar ratio Return relative to maximum drawdown	1.94	0.85	+1.10
Martin ratio Return relative to average drawdown	7.47	4.15	+3.32
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SOR vs. JEPI - Sharpe Ratio Comparison

The current SOR Sharpe Ratio is 1.10, which is higher than the JEPI Sharpe Ratio of 0.60. The chart below compares the historical Sharpe Ratios of SOR and JEPI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	SOR	JEPI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.10	0.60	+0.50
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.66	0.75	-0.09
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.61	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.33	1.03	-0.71

Correlation

The correlation between SOR and JEPI is 0.47, 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.

Dividends

SOR vs. JEPI - Dividend Comparison

SOR's dividend yield for the trailing twelve months is around 5.40%, less than JEPI's 8.40% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SOR Source Capital, Inc.	5.40%	5.46%	11.86%	7.22%	5.74%	11.09%	4.11%	2.58%	12.90%	4.24%	4.40%	6.04%
JEPI JPMorgan Equity Premium Income ETF	8.40%	8.25%	7.33%	8.40%	11.68%	6.59%	5.79%	0.00%	0.00%	0.00%	0.00%	0.00%

Drawdowns

SOR vs. JEPI - Drawdown Comparison

The maximum SOR drawdown since its inception was -65.51%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for SOR and JEPI.

Drawdown Indicators

	SOR	JEPI	Difference
Max Drawdown Largest peak-to-trough decline	-65.51%	-13.71%	-51.80%
Max Drawdown (1Y) Largest decline over 1 year	-9.18%	-10.28%	+1.10%
Max Drawdown (5Y) Largest decline over 5 years	-17.47%	-13.71%	-3.76%
Max Drawdown (10Y) Largest decline over 10 years	-39.13%	—	—
Current Drawdown Current decline from peak	-5.47%	-4.79%	-0.68%
Average Drawdown Average peak-to-trough decline	-15.74%	-2.07%	-13.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.39%	2.10%	+0.29%

Volatility

SOR vs. JEPI - Volatility Comparison

Source Capital, Inc. (SOR) has a higher volatility of 6.45% compared to JPMorgan Equity Premium Income ETF (JEPI) at 3.95%. This indicates that SOR'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.

Volatility by Period

	SOR	JEPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.45%	3.95%	+2.50%
Volatility (6M) Calculated over the trailing 6-month period	12.39%	6.36%	+6.03%
Volatility (1Y) Calculated over the trailing 1-year period	16.48%	13.26%	+3.22%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.29%	11.06%	+4.23%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.53%	10.89%	+5.64%