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SPLV vs. JEPI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SPLV vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500® Low Volatility ETF (SPLV) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.45%
9.24%
SPLV
JEPI

Returns By Period

In the year-to-date period, SPLV achieves a 19.73% return, which is significantly higher than JEPI's 15.68% return.


SPLV

YTD

19.73%

1M

1.83%

6M

14.74%

1Y

23.16%

5Y (annualized)

7.52%

10Y (annualized)

9.40%

JEPI

YTD

15.68%

1M

1.17%

6M

9.24%

1Y

18.27%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


SPLVJEPI
Sharpe Ratio2.582.63
Sortino Ratio3.603.65
Omega Ratio1.471.52
Calmar Ratio2.594.81
Martin Ratio17.2118.61
Ulcer Index1.39%1.00%
Daily Std Dev9.26%7.08%
Max Drawdown-36.26%-13.71%
Current Drawdown0.00%-0.28%

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SPLV vs. JEPI - Expense Ratio Comparison

SPLV has a 0.25% expense ratio, which is lower than JEPI's 0.35% expense ratio.


JEPI
JPMorgan Equity Premium Income ETF
Expense ratio chart for JEPI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for SPLV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Correlation

-0.50.00.51.00.9

The correlation between SPLV and JEPI is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

SPLV vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® Low Volatility ETF (SPLV) 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.


Sharpe ratio
The chart of Sharpe ratio for SPLV, currently valued at 2.58, compared to the broader market0.002.004.002.582.63
The chart of Sortino ratio for SPLV, currently valued at 3.60, compared to the broader market-2.000.002.004.006.008.0010.003.603.65
The chart of Omega ratio for SPLV, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.52
The chart of Calmar ratio for SPLV, currently valued at 2.59, compared to the broader market0.005.0010.0015.002.594.81
The chart of Martin ratio for SPLV, currently valued at 17.21, compared to the broader market0.0020.0040.0060.0080.00100.0017.2118.61
SPLV
JEPI

The current SPLV Sharpe Ratio is 2.58, which is comparable to the JEPI Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of SPLV 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.

Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.58
2.63
SPLV
JEPI

Dividends

SPLV vs. JEPI - Dividend Comparison

SPLV's dividend yield for the trailing twelve months is around 1.84%, less than JEPI's 7.07% yield.


TTM20232022202120202019201820172016201520142013
SPLV
Invesco S&P 500® Low Volatility ETF
1.84%2.45%2.11%1.50%2.13%2.08%2.17%2.03%2.03%2.28%2.20%2.60%
JEPI
JPMorgan Equity Premium Income ETF
7.07%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SPLV vs. JEPI - Drawdown Comparison

The maximum SPLV drawdown since its inception was -36.26%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for SPLV and JEPI. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.28%
SPLV
JEPI

Volatility

SPLV vs. JEPI - Volatility Comparison

Invesco S&P 500® Low Volatility ETF (SPLV) has a higher volatility of 3.01% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. This indicates that SPLV'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.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%JuneJulyAugustSeptemberOctoberNovember
3.01%
2.25%
SPLV
JEPI