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TJUL vs. PEP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TJUL and PEP is 0.17, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

TJUL vs. PEP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Defined Protection ETF – 2 Yr to July 2025 (TJUL) and PepsiCo, Inc. (PEP). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%December2025FebruaryMarchAprilMay
12.89%
-25.10%
TJUL
PEP

Key characteristics

Sharpe Ratio

TJUL:

1.37

PEP:

-1.17

Sortino Ratio

TJUL:

2.04

PEP:

-1.59

Omega Ratio

TJUL:

1.38

PEP:

0.81

Calmar Ratio

TJUL:

1.67

PEP:

-0.79

Martin Ratio

TJUL:

10.28

PEP:

-1.89

Ulcer Index

TJUL:

0.75%

PEP:

12.15%

Daily Std Dev

TJUL:

5.60%

PEP:

19.64%

Max Drawdown

TJUL:

-4.61%

PEP:

-40.41%

Current Drawdown

TJUL:

-0.24%

PEP:

-29.06%

Returns By Period

In the year-to-date period, TJUL achieves a 1.26% return, which is significantly higher than PEP's -13.26% return.


TJUL

YTD

1.26%

1M

3.69%

6M

2.14%

1Y

7.12%

5Y*

N/A

10Y*

N/A

PEP

YTD

-13.26%

1M

-10.82%

6M

-20.75%

1Y

-23.16%

5Y*

2.85%

10Y*

6.16%

*Annualized

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Risk-Adjusted Performance

TJUL vs. PEP — Risk-Adjusted Performance Rank

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

TJUL
The Risk-Adjusted Performance Rank of TJUL is 9191
Overall Rank
The Sharpe Ratio Rank of TJUL is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of TJUL is 8989
Sortino Ratio Rank
The Omega Ratio Rank of TJUL is 9393
Omega Ratio Rank
The Calmar Ratio Rank of TJUL is 9090
Calmar Ratio Rank
The Martin Ratio Rank of TJUL is 9393
Martin Ratio Rank

PEP
The Risk-Adjusted Performance Rank of PEP is 44
Overall Rank
The Sharpe Ratio Rank of PEP is 22
Sharpe Ratio Rank
The Sortino Ratio Rank of PEP is 55
Sortino Ratio Rank
The Omega Ratio Rank of PEP is 77
Omega Ratio Rank
The Calmar Ratio Rank of PEP is 66
Calmar Ratio Rank
The Martin Ratio Rank of PEP is 11
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

TJUL vs. PEP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF – 2 Yr to July 2025 (TJUL) and PepsiCo, Inc. (PEP). 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.


The current TJUL Sharpe Ratio is 1.37, which is higher than the PEP Sharpe Ratio of -1.17. The chart below compares the historical Sharpe Ratios of TJUL and PEP, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00December2025FebruaryMarchAprilMay
1.37
-1.17
TJUL
PEP

Dividends

TJUL vs. PEP - Dividend Comparison

TJUL has not paid dividends to shareholders, while PEP's dividend yield for the trailing twelve months is around 4.16%.


TTM20242023202220212020201920182017201620152014
TJUL
Innovator Equity Defined Protection ETF – 2 Yr to July 2025
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PEP
PepsiCo, Inc.
4.16%3.52%2.92%2.51%2.45%2.71%2.79%3.25%2.64%2.83%2.76%2.68%

Drawdowns

TJUL vs. PEP - Drawdown Comparison

The maximum TJUL drawdown since its inception was -4.61%, smaller than the maximum PEP drawdown of -40.41%. Use the drawdown chart below to compare losses from any high point for TJUL and PEP. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-0.24%
-27.90%
TJUL
PEP

Volatility

TJUL vs. PEP - Volatility Comparison

The current volatility for Innovator Equity Defined Protection ETF – 2 Yr to July 2025 (TJUL) is 4.04%, while PepsiCo, Inc. (PEP) has a volatility of 8.67%. This indicates that TJUL experiences smaller price fluctuations and is considered to be less risky than PEP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%December2025FebruaryMarchAprilMay
4.04%
8.67%
TJUL
PEP