SVOL vs. JEPI
Compare and contrast key facts about Simplify Volatility Premium ETF (SVOL) and JPMorgan Equity Premium Income ETF (JEPI).
SVOL and JEPI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SVOL is an actively managed fund by Simplify Asset Management Inc.. It was launched on May 12, 2021. JEPI is an actively managed fund by JPMorgan Chase. It was launched on May 20, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SVOL or JEPI.
Performance
SVOL vs. JEPI - Performance Comparison
Returns By Period
In the year-to-date period, SVOL achieves a 9.01% return, which is significantly lower than JEPI's 15.68% return.
SVOL
9.01%
1.37%
2.89%
11.17%
N/A
N/A
JEPI
15.68%
1.17%
9.24%
18.27%
N/A
N/A
Key characteristics
| SVOL | JEPI | |
|---|---|---|
| Sharpe Ratio | 0.93 | 2.63 |
| Sortino Ratio | 1.27 | 3.65 |
| Omega Ratio | 1.23 | 1.52 |
| Calmar Ratio | 1.02 | 4.81 |
| Martin Ratio | 6.63 | 18.61 |
| Ulcer Index | 1.68% | 1.00% |
| Daily Std Dev | 12.01% | 7.08% |
| Max Drawdown | -15.68% | -13.71% |
| Current Drawdown | -0.78% | -0.28% |
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SVOL vs. JEPI - Expense Ratio Comparison
SVOL has a 0.50% expense ratio, which is higher than JEPI's 0.35% expense ratio.
Correlation
The correlation between SVOL and JEPI is 0.58, 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.
Risk-Adjusted Performance
SVOL vs. JEPI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Simplify Volatility Premium ETF (SVOL) 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.
Dividends
SVOL vs. JEPI - Dividend Comparison
SVOL's dividend yield for the trailing twelve months is around 16.40%, more than JEPI's 7.07% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|
SVOL Simplify Volatility Premium ETF | 16.40% | 16.37% | 18.31% | 4.65% | 0.00% |
JEPI JPMorgan Equity Premium Income ETF | 7.07% | 8.40% | 11.67% | 6.59% | 5.79% |
Drawdowns
SVOL vs. JEPI - Drawdown Comparison
The maximum SVOL drawdown since its inception was -15.68%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for SVOL and JEPI. For additional features, visit the drawdowns tool.
Volatility
SVOL vs. JEPI - Volatility Comparison
Simplify Volatility Premium ETF (SVOL) has a higher volatility of 3.23% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. This indicates that SVOL'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.