TAIL vs. JEPI

Last updated Jun 5, 2026

TAIL (Cambria Tail Risk ETF) and JEPI (JPMorgan Equity Premium Income ETF) are both exchange-traded funds - TAIL is a Volatility Hedged Equity fund actively managed by Cambria, while JEPI is a Dividend fund actively managed by JPMorgan. Both are actively managed. Over the past 5 years, TAIL returned -8.42%/yr vs 7.37%/yr for JEPI. At a correlation of -0.53, they often move in opposite directions. TAIL charges 0.59%/yr vs 0.35%/yr for JEPI.

Performance

TAIL vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tail Risk ETF (TAIL) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TAIL achieves a -6.35% return, which is significantly lower than JEPI's 0.69% return.

TAIL

• 1D: -0.19%
• 1M: -2.20%
• YTD: -6.35%
• 6M: -7.45%
• 1Y: -9.35%
• 3Y*: -5.78%
• 5Y*: -8.42%
• 10Y*: —

JEPI

• 1D: 0.54%
• 1M: -0.71%
• YTD: 0.69%
• 6M: 1.05%
• 1Y: 8.25%
• 3Y*: 9.05%
• 5Y*: 7.37%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

TAIL vs. JEPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
TAIL Cambria Tail Risk ETF	-6.35%	5.48%	-9.62%	-13.29%	-13.13%	-12.81%	-8.30%
JEPI JPMorgan Equity Premium Income ETF	0.69%	8.09%	12.57%	9.83%	-3.49%	21.52%	18.61%

Correlation

The correlation between TAIL and JEPI is -0.41, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.41
Correlation (3Y) Calculated over the trailing 3-year period	-0.43
Correlation (5Y) Calculated over the trailing 5-year period	-0.53
Correlation (All Time) Calculated using the full available price history since May 22, 2020	-0.53

The correlation between TAIL and JEPI shifts across timeframes, from -0.53 (5 years) to -0.41 (1 year), reflecting how their relationship changes across market environments.

TAIL vs. JEPI - Sectors Allocation Comparison

Sectors	TAIL	JEPI
Technology	35.6%	19.1%
Financial Services	11.8%	9.8%
Communication Services	11.2%	6.9%
Consumer Cyclical	10.1%	11.7%
Healthcare	8.5%	14.1%
Industrials	8.3%	13.8%
Consumer Defensive	4.9%	9.6%
Energy	3.5%	3.5%
Utilities	2.4%	6.2%
Real Estate	1.9%	3.5%
Basic Materials	1.8%	1.9%

Return for Risk

TAIL vs. JEPI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TAIL

TAIL Risk / Return Rank: 1
TAIL Sharpe Ratio Rank: 1
TAIL Sortino Ratio Rank: 1
TAIL Omega Ratio Rank: 1
TAIL Calmar Ratio Rank: 2
TAIL Martin Ratio Rank: 0

JEPI

JEPI Risk / Return Rank: 29
JEPI Sharpe Ratio Rank: 30
JEPI Sortino Ratio Rank: 30
JEPI Omega Ratio Rank: 30
JEPI Calmar Ratio Rank: 27
JEPI Martin Ratio Rank: 28

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

TAIL vs. JEPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tail Risk ETF (TAIL) 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.

	TAIL	JEPI	Difference
Sharpe ratio: Return per unit of total volatility	-1.11	1.05	-2.16
Sortino ratio: Return per unit of downside risk	-1.58	1.57	-3.14
Omega ratio: Gain probability vs. loss probability	0.82	1.19	-0.37
Calmar ratio: Return relative to maximum drawdown	-0.85	1.24	-2.09
Martin ratio: Return relative to average drawdown	-2.13	3.96	-6.09
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TAIL vs. JEPI - Sharpe Ratio Comparison

The current TAIL Sharpe Ratio is -1.11, which is lower than the JEPI Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of TAIL and JEPI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	TAIL	JEPI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-1.11	1.05	-2.16
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.57	0.67	-1.24
Sharpe Ratio (All Time) Calculated using the full available price history	-0.48	1.02	-1.50

Drawdowns

TAIL vs. JEPI - Drawdown Comparison

The maximum TAIL drawdown since its inception was -52.36%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for TAIL and JEPI.

Drawdown Indicators

	TAIL	JEPI	Difference
Max Drawdown Largest peak-to-trough decline	-52.36%	-13.71%	-38.65%
Max Drawdown (1Y) Largest decline over 1 year	-10.99%	-6.68%	-4.31%
Max Drawdown (3Y) Largest decline over 3 years	-20.69%	-13.26%	-7.43%
Max Drawdown (5Y) Largest decline over 5 years	-38.44%	-13.71%	-24.73%
Current Drawdown Current decline from peak	-51.65%	-4.31%	-47.34%
Average Drawdown Average peak-to-trough decline	-29.13%	-2.12%	-27.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.40%	2.08%	+2.32%

Volatility

TAIL vs. JEPI - Volatility Comparison

The current volatility for Cambria Tail Risk ETF (TAIL) is 0.87%, while JPMorgan Equity Premium Income ETF (JEPI) has a volatility of 1.46%. This indicates that TAIL experiences smaller price fluctuations and is considered to be less risky than JEPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TAIL	JEPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.87%	1.46%	-0.59%
Volatility (6M) Calculated over the trailing 6-month period	6.44%	6.10%	+0.34%
Volatility (1Y) Calculated over the trailing 1-year period	8.51%	7.87%	+0.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.90%	11.06%	+3.84%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.94%	10.80%	+4.14%

TAIL vs. JEPI - Expense Ratio Comparison

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

Dividends

TAIL vs. JEPI - Dividend Comparison

TAIL's dividend yield for the trailing twelve months is around 3.50%, less than JEPI's 8.23% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
JEPI JPMorgan Equity Premium Income ETF	8.23%	8.25%	7.33%	8.40%	11.68%	6.59%	5.79%	0.00%	0.00%	0.00%
TAIL Cambria Tail Risk ETF	3.50%	2.88%	3.48%	3.74%	1.50%	0.49%	0.36%	1.58%	1.52%	0.91%

Frequently Asked Questions

Can I hold both TAIL and JEPI in my portfolio?

TAIL and JEPI have a correlation of -0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TAIL or JEPI?

JEPI has higher volatility (1.46%) compared to TAIL (0.87%). In terms of maximum drawdown, TAIL dropped -52.36% vs JEPI's -13.71%.

Which ETF is better, TAIL or JEPI?

On 5-year performance, JEPI leads with 7.37% vs -8.42% for TAIL. On fees, JEPI is cheaper at 0.35% per year. On volatility, TAIL has been the lower-risk option at 0.87%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TAIL or JEPI?

Over the 5-year period, JEPI has performed better with a 7.37% return vs -8.42%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TAIL or JEPI?

JEPI is cheaper with a 0.35% expense ratio, compared with 0.59% for TAIL.

Which ETF pays a higher dividend yield, TAIL or JEPI?

JEPI has the higher dividend yield at 8.23%, compared with 3.50% for TAIL.

What is the main difference between TAIL and JEPI?

TAIL is categorized as Volatility Hedged Equity, while JEPI is Dividend. They also come from different issuers: Cambria and JPMorgan. Their fees differ too: 0.59% for TAIL and 0.35% for JEPI.

Which has better risk-adjusted returns?

JEPI currently has the higher Sharpe Ratio (1.05 vs -1.11), 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.