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

Key characteristics


SYLDJEPI
YTD Return2.98%4.70%
1Y Return26.06%12.32%
3Y Return (Ann)4.21%7.05%
Sharpe Ratio1.661.72
Daily Std Dev15.38%7.05%
Max Drawdown-45.36%-13.71%
Current Drawdown-5.70%-1.93%

Correlation

-0.50.00.51.00.6

The correlation between SYLD and JEPI is 0.61, 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

SYLD vs. JEPI - Performance Comparison

In the year-to-date period, SYLD achieves a 2.98% return, which is significantly lower than JEPI's 4.70% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


40.00%60.00%80.00%100.00%120.00%140.00%160.00%December2024FebruaryMarchAprilMay
150.43%
59.98%
SYLD
JEPI

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Cambria Shareholder Yield ETF

JPMorgan Equity Premium Income ETF

SYLD vs. JEPI - Expense Ratio Comparison

SYLD has a 0.59% expense ratio, which is higher than JEPI's 0.35% expense ratio.


SYLD
Cambria Shareholder Yield ETF
Expense ratio chart for SYLD: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
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%

Risk-Adjusted Performance

SYLD vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Shareholder Yield ETF (SYLD) 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.


SYLD
Sharpe ratio
The chart of Sharpe ratio for SYLD, currently valued at 1.66, compared to the broader market0.002.004.006.001.66
Sortino ratio
The chart of Sortino ratio for SYLD, currently valued at 2.51, compared to the broader market0.005.0010.002.51
Omega ratio
The chart of Omega ratio for SYLD, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for SYLD, currently valued at 1.54, compared to the broader market0.005.0010.0015.001.54
Martin ratio
The chart of Martin ratio for SYLD, currently valued at 7.39, compared to the broader market0.0020.0040.0060.0080.00100.007.39
JEPI
Sharpe ratio
The chart of Sharpe ratio for JEPI, currently valued at 1.72, compared to the broader market0.002.004.006.001.72
Sortino ratio
The chart of Sortino ratio for JEPI, currently valued at 2.41, compared to the broader market0.005.0010.002.41
Omega ratio
The chart of Omega ratio for JEPI, currently valued at 1.31, compared to the broader market0.501.001.502.002.503.001.31
Calmar ratio
The chart of Calmar ratio for JEPI, currently valued at 1.81, compared to the broader market0.005.0010.0015.001.81
Martin ratio
The chart of Martin ratio for JEPI, currently valued at 7.20, compared to the broader market0.0020.0040.0060.0080.00100.007.20

SYLD vs. JEPI - Sharpe Ratio Comparison

The current SYLD Sharpe Ratio is 1.66, which roughly equals the JEPI Sharpe Ratio of 1.72. The chart below compares the 12-month rolling Sharpe Ratio of SYLD and JEPI.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50December2024FebruaryMarchAprilMay
1.66
1.72
SYLD
JEPI

Dividends

SYLD vs. JEPI - Dividend Comparison

SYLD's dividend yield for the trailing twelve months is around 1.80%, less than JEPI's 7.40% yield.


TTM20232022202120202019201820172016201520142013
SYLD
Cambria Shareholder Yield ETF
1.80%1.92%2.20%2.22%1.99%2.08%2.52%1.40%1.92%2.11%1.77%0.83%
JEPI
JPMorgan Equity Premium Income ETF
7.40%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SYLD vs. JEPI - Drawdown Comparison

The maximum SYLD drawdown since its inception was -45.36%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for SYLD and JEPI. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%December2024FebruaryMarchAprilMay
-5.70%
-1.93%
SYLD
JEPI

Volatility

SYLD vs. JEPI - Volatility Comparison

Cambria Shareholder Yield ETF (SYLD) has a higher volatility of 3.83% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.89%. This indicates that SYLD'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%2.00%3.00%4.00%5.00%6.00%December2024FebruaryMarchAprilMay
3.83%
1.89%
SYLD
JEPI