SOR vs. JEPI

Last updated Jun 4, 2026

SOR (Source Capital, Inc.) is a stock, while JEPI (JPMorgan Equity Premium Income ETF) is Dividend fund actively managed by JPMorgan. Over the past 5 years, SOR returned 8.76%/yr vs 7.26%/yr for JEPI. At a 0.46 correlation, their price movements are largely independent.

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.

Returns By Period

In the year-to-date period, SOR achieves a 1.32% return, which is significantly higher than JEPI's 0.15% return.

SOR

• 1D: -1.11%
• 1M: -1.95%
• YTD: 1.32%
• 6M: -4.36%
• 1Y: 12.22%
• 3Y*: 15.42%
• 5Y*: 8.76%
• 10Y*: 9.41%

JEPI

• 1D: 0.14%
• 1M: -1.54%
• YTD: 0.15%
• 6M: 0.47%
• 1Y: 7.70%
• 3Y*: 8.88%
• 5Y*: 7.26%
• 10Y*: —

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

SOR vs. JEPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SOR Source Capital, Inc.	1.32%	11.47%	21.28%	12.59%	-5.24%	20.66%	27.21%
JEPI JPMorgan Equity Premium Income ETF	0.15%	8.09%	12.57%	9.83%	-3.49%	21.52%	18.61%

Correlation

The correlation between SOR and JEPI is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.28
Correlation (3Y) Calculated over the trailing 3-year period	0.36
Correlation (5Y) Calculated over the trailing 5-year period	0.45
Correlation (All Time) Calculated using the full available price history since May 22, 2020	0.46

The correlation between SOR and JEPI shifts across timeframes, from 0.28 (1 year) to 0.46 (all time), reflecting how their relationship changes across market environments.

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: 65
SOR Sharpe Ratio Rank: 69
SOR Sortino Ratio Rank: 61
SOR Omega Ratio Rank: 61
SOR Calmar Ratio Rank: 66
SOR Martin Ratio Rank: 69

JEPI

JEPI Risk / Return Rank: 26
JEPI Sharpe Ratio Rank: 27
JEPI Sortino Ratio Rank: 26
JEPI Omega Ratio Rank: 26
JEPI Calmar Ratio Rank: 24
JEPI Martin Ratio Rank: 26

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	0.90	0.99	-0.09
Sortino ratio: Return per unit of downside risk	1.31	1.47	-0.16
Omega ratio: Gain probability vs. loss probability	1.17	1.18	-0.01
Calmar ratio: Return relative to maximum drawdown	1.34	1.16	+0.18
Martin ratio: Return relative to average drawdown	3.67	3.73	-0.06
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 0.90, which is comparable to the JEPI Sharpe Ratio of 0.99. The chart below compares the historical Sharpe Ratios of SOR and JEPI, 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

	SOR	JEPI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.90	0.99	-0.09
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.58	0.66	-0.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.57	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	1.01	-0.53

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%	-6.68%	-2.50%
Max Drawdown (3Y) Largest decline over 3 years	-9.18%	-13.26%	+4.08%
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	-6.61%	-4.83%	-1.78%
Average Drawdown Average peak-to-trough decline	-8.43%	-2.12%	-6.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.34%	2.07%	+1.27%

Volatility

SOR vs. JEPI - Volatility Comparison

Source Capital, Inc. (SOR) has a higher volatility of 2.68% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.35%. 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	2.68%	1.35%	+1.33%
Volatility (6M) Calculated over the trailing 6-month period	11.86%	6.07%	+5.79%
Volatility (1Y) Calculated over the trailing 1-year period	13.67%	7.85%	+5.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.30%	11.06%	+4.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.48%	10.80%	+5.68%

Dividends

SOR vs. JEPI - Dividend Comparison

SOR's dividend yield for the trailing twelve months is around 5.51%, less than JEPI's 8.27% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JEPI JPMorgan Equity Premium Income ETF	8.27%	8.25%	7.33%	8.40%	11.68%	6.59%	5.79%	0.00%	0.00%	0.00%	0.00%	0.00%
SOR Source Capital, Inc.	5.51%	5.46%	11.86%	7.22%	5.74%	11.09%	4.11%	2.58%	12.90%	4.24%	98.00%	6.04%

Frequently Asked Questions

Can I hold both SOR and JEPI in my portfolio?

SOR and JEPI have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SOR or JEPI?

SOR has higher volatility (2.68%) compared to JEPI (1.35%). In terms of maximum drawdown, SOR dropped -65.51% vs JEPI's -13.71%.

Which has better risk-adjusted returns?

JEPI currently has the higher Sharpe Ratio (0.99 vs 0.90), 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.