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

Performance

VFFSX vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard 500 Index Fund Institutional Select Shares (VFFSX) and JPMorgan Equity Premium Income ETF (JEPI). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.67%
9.24%
VFFSX
JEPI

Returns By Period

In the year-to-date period, VFFSX achieves a 26.25% return, which is significantly higher than JEPI's 15.68% return.


VFFSX

YTD

26.25%

1M

1.79%

6M

13.67%

1Y

32.38%

5Y (annualized)

15.70%

10Y (annualized)

N/A

JEPI

YTD

15.68%

1M

1.17%

6M

9.24%

1Y

18.27%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


VFFSXJEPI
Sharpe Ratio2.692.63
Sortino Ratio3.583.65
Omega Ratio1.501.52
Calmar Ratio3.904.81
Martin Ratio17.5218.61
Ulcer Index1.88%1.00%
Daily Std Dev12.24%7.08%
Max Drawdown-52.30%-13.71%
Current Drawdown-0.81%-0.28%

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VFFSX vs. JEPI - Expense Ratio Comparison

VFFSX has a 0.01% expense ratio, which is lower than JEPI's 0.35% expense ratio.


JEPI
JPMorgan Equity Premium Income ETF
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%
Expense ratio chart for VFFSX: current value at 0.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.01%

Correlation

-0.50.00.51.00.8

The correlation between VFFSX and JEPI is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

VFFSX vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard 500 Index Fund Institutional Select Shares (VFFSX) 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.


Sharpe ratio
The chart of Sharpe ratio for VFFSX, currently valued at 2.69, compared to the broader market-1.000.001.002.003.004.005.002.692.63
The chart of Sortino ratio for VFFSX, currently valued at 3.58, compared to the broader market0.005.0010.003.583.65
The chart of Omega ratio for VFFSX, currently valued at 1.50, compared to the broader market1.002.003.004.001.501.52
The chart of Calmar ratio for VFFSX, currently valued at 3.90, compared to the broader market0.005.0010.0015.0020.003.904.81
The chart of Martin ratio for VFFSX, currently valued at 17.52, compared to the broader market0.0020.0040.0060.0080.00100.0017.5218.61
VFFSX
JEPI

The current VFFSX Sharpe Ratio is 2.69, which is comparable to the JEPI Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of VFFSX and JEPI, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.69
2.63
VFFSX
JEPI

Dividends

VFFSX vs. JEPI - Dividend Comparison

VFFSX's dividend yield for the trailing twelve months is around 1.24%, less than JEPI's 7.07% yield.


TTM20232022202120202019201820172016
VFFSX
Vanguard 500 Index Fund Institutional Select Shares
1.24%1.46%1.70%1.26%1.56%1.90%2.09%1.81%1.08%
JEPI
JPMorgan Equity Premium Income ETF
7.07%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%

Drawdowns

VFFSX vs. JEPI - Drawdown Comparison

The maximum VFFSX drawdown since its inception was -52.30%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for VFFSX and JEPI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.81%
-0.28%
VFFSX
JEPI

Volatility

VFFSX vs. JEPI - Volatility Comparison

Vanguard 500 Index Fund Institutional Select Shares (VFFSX) has a higher volatility of 3.95% compared to JPMorgan Equity Premium Income ETF (JEPI) at 2.25%. This indicates that VFFSX'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%JuneJulyAugustSeptemberOctoberNovember
3.95%
2.25%
VFFSX
JEPI