SWAN vs. JEPI
Compare and contrast key facts about Amplify BlackSwan Growth & Treasury Core ETF (SWAN) and JPMorgan Equity Premium Income ETF (JEPI).
SWAN and JEPI are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SWAN is a passively managed fund by Amplify Investments that tracks the performance of the S-Network BlackSwan Core Index. It was launched on Nov 6, 2018. 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: SWAN or JEPI.
Key characteristics
| SWAN | JEPI | |
|---|---|---|
| YTD Return | 12.52% | 12.90% |
| 1Y Return | 24.72% | 17.57% |
| 3Y Return (Ann) | -3.05% | 7.56% |
| Sharpe Ratio | 2.45 | 2.77 |
| Sortino Ratio | 3.49 | 3.86 |
| Omega Ratio | 1.44 | 1.55 |
| Calmar Ratio | 0.99 | 5.04 |
| Martin Ratio | 15.14 | 19.87 |
| Ulcer Index | 1.88% | 0.98% |
| Daily Std Dev | 11.59% | 7.03% |
| Max Drawdown | -31.04% | -13.71% |
| Current Drawdown | -9.60% | -1.76% |
Correlation
The correlation between SWAN and JEPI is 0.63, 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.
Performance
SWAN vs. JEPI - Performance Comparison
The year-to-date returns for both investments are quite close, with SWAN having a 12.52% return and JEPI slightly higher at 12.90%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SWAN vs. JEPI - Expense Ratio Comparison
SWAN has a 0.49% expense ratio, which is higher than JEPI's 0.35% expense ratio.
Risk-Adjusted Performance
SWAN vs. JEPI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Amplify BlackSwan Growth & Treasury Core ETF (SWAN) 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
SWAN vs. JEPI - Dividend Comparison
SWAN's dividend yield for the trailing twelve months is around 2.52%, less than JEPI's 7.25% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
SWAN Amplify BlackSwan Growth & Treasury Core ETF | 2.52% | 2.98% | 2.12% | 5.04% | 1.64% | 3.69% | 0.29% |
JEPI JPMorgan Equity Premium Income ETF | 7.25% | 8.40% | 11.68% | 6.59% | 5.79% | 0.00% | 0.00% |
Drawdowns
SWAN vs. JEPI - Drawdown Comparison
The maximum SWAN drawdown since its inception was -31.04%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for SWAN and JEPI. For additional features, visit the drawdowns tool.
Volatility
SWAN vs. JEPI - Volatility Comparison
Amplify BlackSwan Growth & Treasury Core ETF (SWAN) has a higher volatility of 2.74% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.60%. This indicates that SWAN'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.