SWAN vs. JEPI
SWAN (Amplify BlackSwan Growth & Treasury Core ETF) and JEPI (JPMorgan Equity Premium Income ETF) are both exchange-traded funds - SWAN is a Diversified Portfolio fund tracking the S-Network BlackSwan Core Index, while JEPI is a Dividend fund actively managed by JPMorgan. SWAN is passively managed, while JEPI is actively managed. Over the past 5 years, SWAN returned 3.07%/yr vs 7.51%/yr for JEPI. A 0.64 correlation means they provide meaningful diversification when combined. SWAN charges 0.49%/yr vs 0.35%/yr for JEPI.
Performance
SWAN vs. JEPI - Performance Comparison
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Returns By Period
In the year-to-date period, SWAN achieves a 3.97% return, which is significantly higher than JEPI's 1.34% return.
SWAN
- 1D
- -0.59%
- 1M
- 0.16%
- YTD
- 3.97%
- 6M
- 3.85%
- 1Y
- 15.75%
- 3Y*
- 12.44%
- 5Y*
- 3.07%
- 10Y*
- —
JEPI
- 1D
- -0.05%
- 1M
- 0.23%
- YTD
- 1.34%
- 6M
- 1.18%
- 1Y
- 8.97%
- 3Y*
- 9.13%
- 5Y*
- 7.51%
- 10Y*
- —
SWAN vs. JEPI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
SWAN Amplify BlackSwan Growth & Treasury Core ETF | 3.97% | 13.93% | 13.44% | 12.07% | -27.77% | 10.55% | 11.41% |
JEPI JPMorgan Equity Premium Income ETF | 1.34% | 8.09% | 12.57% | 9.83% | -3.49% | 21.52% | 18.39% |
Correlation
The correlation between SWAN and JEPI is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.58 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.63 |
Correlation (All Time) Calculated using the full available price history since May 21, 2020 | 0.64 |
The correlation between SWAN and JEPI has been stable across timeframes, ranging from 0.58 to 0.65 - a consistent structural relationship.
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Return for Risk
SWAN vs. JEPI — Risk / Return Rank
SWAN
JEPI
SWAN vs. JEPI - Risk-Adjusted Trends 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SWAN | JEPI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.46 | ||
| Sortino ratioReturn per unit of downside risk | +0.59 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.21 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.24 | 1.35 | +0.90 |
| Martin ratioReturn relative to average drawdown | 8.60 | 4.00 | +4.60 |
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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.
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Drawdown Indicators
| SWAN | JEPI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.04% | -13.71% | -17.33% |
Max Drawdown (1Y)Largest decline over 1 year | -7.05% | -6.68% | -0.37% |
Max Drawdown (3Y)Largest decline over 3 years | -12.07% | -13.26% | +1.19% |
Max Drawdown (5Y)Largest decline over 5 years | -31.04% | -13.71% | -17.33% |
Current DrawdownCurrent decline from peak | -1.79% | -3.69% | +1.90% |
Average DrawdownAverage peak-to-trough decline | -8.83% | -2.13% | -6.70% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.84% | 2.24% | -0.40% |
Volatility
SWAN vs. JEPI - Volatility Comparison
Amplify BlackSwan Growth & Treasury Core ETF (SWAN) has a higher volatility of 3.91% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.35%. 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.
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Volatility by Period
| SWAN | JEPI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.91% | 2.35% | +1.56% |
Volatility (6M)Calculated over the trailing 6-month period | 7.97% | 6.28% | +1.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.99% | 8.04% | +1.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.42% | 11.08% | +0.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.49% | 10.79% | +1.70% |
SWAN vs. JEPI - Expense Ratio Comparison
SWAN has a 0.49% expense ratio, which is higher than JEPI's 0.35% expense ratio.
Dividends
SWAN vs. JEPI - Dividend Comparison
SWAN's dividend yield for the trailing twelve months is around 2.82%, less than JEPI's 8.17% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
JEPI JPMorgan Equity Premium Income ETF | 8.17% | 8.25% | 7.33% | 8.40% | 11.68% | 6.59% | 5.79% | 0.00% | 0.00% |
SWAN Amplify BlackSwan Growth & Treasury Core ETF | 2.82% | 2.86% | 2.54% | 2.98% | 2.12% | 5.04% | 1.64% | 3.69% | 0.29% |
Frequently Asked Questions
SWAN and JEPI have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SWAN has higher volatility (3.91%) compared to JEPI (2.35%). In terms of maximum drawdown, SWAN dropped -31.04% vs JEPI's -13.71%.
On 5-year performance, JEPI leads with 7.51% vs 3.07% for SWAN. On fees, JEPI is cheaper at 0.35% per year. On volatility, JEPI has been the lower-risk option at 2.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, JEPI has performed better with a 7.51% return vs 3.07%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JEPI is cheaper with a 0.35% expense ratio, compared with 0.49% for SWAN.
JEPI has the higher dividend yield at 8.17%, compared with 2.82% for SWAN.
SWAN is categorized as Diversified Portfolio, while JEPI is Dividend. They also come from different issuers: Amplify and JPMorgan. Their fees differ too: 0.49% for SWAN and 0.35% for JEPI.
SWAN currently has the higher Sharpe Ratio (1.59 vs 1.12), 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.
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