TJUL vs. PEP

Last updated Jun 4, 2026

TJUL (Innovator Equity Defined Protection ETF – 2 Yr to July 2025) is Options Trading fund actively managed by Innovator, while PEP (PepsiCo, Inc.) is a stock. Over the past year, TJUL returned 5.85% vs 12.44% for PEP. At a 0.10 correlation, their price movements are largely independent.

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.

Returns By Period

In the year-to-date period, TJUL achieves a 2.08% return, which is significantly higher than PEP's 0.20% return.

TJUL

• 1D: -0.05%
• 1M: 0.62%
• YTD: 2.08%
• 6M: 2.41%
• 1Y: 5.85%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PEP

• 1D: 0.38%
• 1M: -7.79%
• YTD: 0.20%
• 6M: -1.92%
• 1Y: 12.44%
• 3Y*: -5.24%
• 5Y*: 2.25%
• 10Y*: 6.45%

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

TJUL vs. PEP - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
TJUL Innovator Equity Defined Protection ETF – 2 Yr to July 2025	2.08%	6.55%	8.18%	3.05%
PEP PepsiCo, Inc.	0.20%	-1.85%	-7.60%	-6.57%

Correlation

The correlation between TJUL and PEP is -0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.04
Correlation (All Time) Calculated using the full available price history since Jul 19, 2023	0.10

The correlation between TJUL and PEP shifts across timeframes, from -0.04 (1 year) to 0.10 (all time), reflecting how their relationship changes across market environments.

Return for Risk

TJUL vs. PEP — Risk / Return Rank

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

TJUL

TJUL Risk / Return Rank: 65
TJUL Sharpe Ratio Rank: 63
TJUL Sortino Ratio Rank: 68
TJUL Omega Ratio Rank: 67
TJUL Calmar Ratio Rank: 57
TJUL Martin Ratio Rank: 71

PEP

PEP Risk / Return Rank: 56
PEP Sharpe Ratio Rank: 59
PEP Sortino Ratio Rank: 54
PEP Omega Ratio Rank: 51
PEP Calmar Ratio Rank: 57
PEP Martin Ratio Rank: 60

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.

TJUL vs. PEP - Risk-Adjusted Trends 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.

	TJUL	PEP	Difference
Sharpe ratio: Return per unit of total volatility	2.12	0.58	+1.54
Sortino ratio: Return per unit of downside risk	3.12	1.05	+2.07
Omega ratio: Gain probability vs. loss probability	1.41	1.12	+0.29
Calmar ratio: Return relative to maximum drawdown	2.82	0.77	+2.06
Martin ratio: Return relative to average drawdown	13.10	2.12	+10.98
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TJUL vs. PEP - Sharpe Ratio Comparison

The current TJUL Sharpe Ratio is 2.12, which is higher than the PEP Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of TJUL and PEP, 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

	TJUL	PEP	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.12	0.58	+1.54
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.12	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.33	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.64	0.38	+1.26

Drawdowns

TJUL vs. PEP - Drawdown Comparison

The maximum TJUL drawdown since its inception was -4.61%, smaller than the maximum PEP drawdown of -73.92%. Use the drawdown chart below to compare losses from any high point for TJUL and PEP.

Drawdown Indicators

	TJUL	PEP	Difference
Max Drawdown Largest peak-to-trough decline	-4.61%	-73.92%	+69.31%
Max Drawdown (1Y) Largest decline over 1 year	-2.08%	-16.25%	+14.17%
Max Drawdown (3Y) Largest decline over 3 years	—	-29.17%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-30.32%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-30.32%	—
Current Drawdown Current decline from peak	-0.12%	-19.58%	+19.46%
Average Drawdown Average peak-to-trough decline	-0.39%	-13.64%	+13.25%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.45%	5.87%	-5.42%

Volatility

TJUL vs. PEP - Volatility Comparison

The current volatility for Innovator Equity Defined Protection ETF – 2 Yr to July 2025 (TJUL) is 0.51%, while PepsiCo, Inc. (PEP) has a volatility of 6.35%. 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.

Volatility by Period

	TJUL	PEP	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.51%	6.35%	-5.84%
Volatility (6M) Calculated over the trailing 6-month period	2.14%	14.90%	-12.76%
Volatility (1Y) Calculated over the trailing 1-year period	2.77%	21.71%	-18.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.26%	18.38%	-14.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.26%	19.66%	-15.40%

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 3.99%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PEP PepsiCo, Inc.	3.99%	3.92%	3.51%	2.91%	2.50%	2.45%	2.71%	2.77%	3.25%	2.64%	2.83%	2.76%
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%

Frequently Asked Questions

Can I hold both TJUL and PEP in my portfolio?

TJUL and PEP have a correlation of -0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TJUL or PEP?

PEP has higher volatility (6.35%) compared to TJUL (0.51%). In terms of maximum drawdown, TJUL dropped -4.61% vs PEP's -73.92%.

Which has better risk-adjusted returns?

TJUL currently has the higher Sharpe Ratio (2.12 vs 0.58), 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.