SWZ vs. JEPIX
SWZ (Total Return Securities Fund) and JEPIX (JPMorgan Equity Premium Income Fund Class I) are both mutual funds - SWZ is a Large Cap Blend Equities fund, while JEPIX is a Derivative Income fund actively managed by JPMorgan. Over the past 5 years, SWZ returned 11.40%/yr vs 7.23%/yr for JEPIX. At a 0.44 correlation, their price movements are largely independent. SWZ charges 1.06%/yr vs 0.59%/yr for JEPIX.
Performance
SWZ vs. JEPIX - Performance Comparison
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Returns By Period
In the year-to-date period, SWZ achieves a -4.66% return, which is significantly lower than JEPIX's 3.00% return.
SWZ
- 1D
- -0.17%
- 1M
- 0.00%
- 6M
- -5.42%
- YTD
- -4.66%
- 1Y
- -4.97%
- 3Y*
- 20.43%
- 5Y*
- 11.40%
- 10Y*
- 11.84%
JEPIX
- 1D
- 0.14%
- 1M
- 1.94%
- 6M
- 1.37%
- YTD
- 3.00%
- 1Y
- 8.21%
- 3Y*
- 9.13%
- 5Y*
- 7.23%
- 10Y*
- —
SWZ vs. JEPIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
SWZ Total Return Securities Fund | -4.66% | 86.85% | -2.46% | 15.50% | -17.69% | 18.20% | 14.19% | 24.00% | -18.02% |
JEPIX JPMorgan Equity Premium Income Fund Class I | 3.00% | 7.82% | 12.43% | 9.68% | -3.81% | 19.36% | 6.02% | 16.44% | -9.93% |
Correlation
The correlation between SWZ and JEPIX is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.44 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.41 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.45 |
Correlation (All Time) Calculated using the full available price history since Sep 4, 2018 | 0.44 |
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Return for Risk
SWZ vs. JEPIX — Risk / Return Rank
SWZ
JEPIX
SWZ vs. JEPIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Total Return Securities Fund (SWZ) and JPMorgan Equity Premium Income Fund Class I (JEPIX). 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.
| SWZ | JEPIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.39 | ||
| Sortino ratioReturn per unit of downside risk | -2.00 | ||
| Omega ratioGain probability vs. loss probability | 0.92 | 1.17 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | -0.70 | 1.06 | -1.76 |
| Martin ratioReturn relative to average drawdown | -1.22 | 3.08 | -4.30 |
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Drawdowns
SWZ vs. JEPIX - Drawdown Comparison
The maximum SWZ drawdown since its inception was -69.62%, which is greater than JEPIX's maximum drawdown of -32.63%. Use the drawdown chart below to compare losses from any high point for SWZ and JEPIX.
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Drawdown Indicators
| SWZ | JEPIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.62% | -32.63% | -36.99% |
Max Drawdown (1Y)Largest decline over 1 year | -7.13% | -7.41% | +0.28% |
Max Drawdown (3Y)Largest decline over 3 years | -15.52% | -13.42% | -2.10% |
Max Drawdown (5Y)Largest decline over 5 years | -30.36% | -13.67% | -16.69% |
Max Drawdown (10Y)Largest decline over 10 years | -31.21% | — | — |
Current DrawdownCurrent decline from peak | -7.63% | -2.19% | -5.44% |
Average DrawdownAverage peak-to-trough decline | -21.93% | -3.21% | -18.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.08% | 2.55% | +1.53% |
Volatility
SWZ vs. JEPIX - Volatility Comparison
The current volatility for Total Return Securities Fund (SWZ) is 2.27%, while JPMorgan Equity Premium Income Fund Class I (JEPIX) has a volatility of 2.49%. This indicates that SWZ experiences smaller price fluctuations and is considered to be less risky than JEPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SWZ | JEPIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.27% | 2.49% | -0.22% |
Volatility (6M)Calculated over the trailing 6-month period | 7.48% | 7.04% | +0.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.24% | 8.70% | +1.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 27.25% | 11.47% | +15.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.71% | 14.68% | +8.03% |
SWZ vs. JEPIX - Expense Ratio Comparison
SWZ has a 1.06% expense ratio, which is higher than JEPIX's 0.59% expense ratio.
Dividends
SWZ vs. JEPIX - Dividend Comparison
SWZ has not paid dividends to shareholders, while JEPIX's dividend yield for the trailing twelve months is around 7.97%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JEPIX JPMorgan Equity Premium Income Fund Class I | 7.97% | 8.12% | 7.20% | 8.42% | 12.24% | 6.15% | 11.59% | 3.91% | 0.00% | 0.00% | 0.00% | 0.00% |
SWZ Total Return Securities Fund | 0.00% | 98.81% | 7.11% | 6.07% | 8.23% | 5.83% | 6.25% | 1.67% | 74.09% | 1.02% | 5.00% | 6.72% |
Frequently Asked Questions
SWZ and JEPIX have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JEPIX has higher volatility (2.49%) compared to SWZ (2.27%). In terms of maximum drawdown, SWZ dropped -69.62% vs JEPIX's -32.63%.
JEPIX currently has the higher Sharpe Ratio (0.90 vs -0.49), 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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