VGK vs. JEPI

Last updated Jun 9, 2026

VGK (Vanguard FTSE Europe ETF) and JEPI (JPMorgan Equity Premium Income ETF) are both exchange-traded funds - VGK is a Europe Equities fund tracking the FTSE Developed Europe All Cap Index, while JEPI is a Dividend fund actively managed by JPMorgan. VGK is passively managed, while JEPI is actively managed. Over the past 5 years, VGK returned 8.08%/yr vs 7.28%/yr for JEPI. A 0.65 correlation means they provide meaningful diversification when combined. VGK charges 0.06%/yr vs 0.35%/yr for JEPI.

Performance

VGK vs. JEPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard FTSE Europe ETF (VGK) 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, VGK achieves a 5.17% return, which is significantly higher than JEPI's 0.04% return.

VGK

• 1D: 0.45%
• 1M: -0.68%
• YTD: 5.17%
• 6M: 8.47%
• 1Y: 16.29%
• 3Y*: 16.24%
• 5Y*: 8.08%
• 10Y*: 9.63%

JEPI

• 1D: -0.31%
• 1M: -0.40%
• YTD: 0.04%
• 6M: 0.91%
• 1Y: 7.03%
• 3Y*: 8.80%
• 5Y*: 7.28%
• 10Y*: —

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

VGK vs. JEPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
VGK Vanguard FTSE Europe ETF	5.17%	35.83%	1.88%	20.19%	-15.98%	16.89%	30.98%
JEPI JPMorgan Equity Premium Income ETF	0.04%	8.09%	12.57%	9.83%	-3.49%	21.52%	18.39%

Correlation

The correlation between VGK and JEPI is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.65
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.66
Correlation (All Time) Calculated using the full available price history since May 21, 2020	0.65

The correlation between VGK and JEPI has been stable across timeframes, ranging from 0.63 to 0.66 - a consistent structural relationship.

VGK vs. JEPI - Sectors Allocation Comparison

Sectors	VGK	JEPI
Financial Services	23.6%	9.8%
Industrials	19.3%	13.8%
Healthcare	11.9%	14.1%
Consumer Defensive	8.4%	9.6%
Technology	8.2%	19.1%
Consumer Cyclical	6.8%	11.7%
Basic Materials	5.3%	1.9%
Energy	5.3%	3.5%
Utilities	4.7%	6.2%
Communication Services	3.3%	6.9%
Real Estate	1.5%	3.5%

Return for Risk

VGK vs. JEPI — Risk / Return Rank

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

VGK

VGK Risk / Return Rank: 32
VGK Sharpe Ratio Rank: 32
VGK Sortino Ratio Rank: 32
VGK Omega Ratio Rank: 31
VGK Calmar Ratio Rank: 30
VGK Martin Ratio Rank: 36

JEPI

JEPI Risk / Return Rank: 26
JEPI Sharpe Ratio Rank: 27
JEPI Sortino Ratio Rank: 27
JEPI Omega Ratio Rank: 27
JEPI Calmar Ratio Rank: 24
JEPI Martin Ratio Rank: 26

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.

VGK vs. JEPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard FTSE Europe ETF (VGK) 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.

	VGK	JEPI	Difference
Sharpe ratio: Return per unit of total volatility	1.05	0.90	+0.16
Sortino ratio: Return per unit of downside risk	1.55	1.35	+0.21
Omega ratio: Gain probability vs. loss probability	1.19	1.17	+0.02
Calmar ratio: Return relative to maximum drawdown	1.35	1.06	+0.30
Martin ratio: Return relative to average drawdown	5.01	3.31	+1.70
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VGK vs. JEPI - Sharpe Ratio Comparison

The current VGK Sharpe Ratio is 1.05, which is comparable to the JEPI Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of VGK 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

	VGK	JEPI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.05	0.90	+0.16
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.45	0.66	-0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.51	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.28	1.01	-0.73

Drawdowns

VGK vs. JEPI - Drawdown Comparison

The maximum VGK drawdown since its inception was -63.61%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for VGK and JEPI.

Drawdown Indicators

	VGK	JEPI	Difference
Max Drawdown Largest peak-to-trough decline	-63.61%	-13.71%	-49.90%
Max Drawdown (1Y) Largest decline over 1 year	-12.09%	-6.68%	-5.41%
Max Drawdown (3Y) Largest decline over 3 years	-14.31%	-13.26%	-1.05%
Max Drawdown (5Y) Largest decline over 5 years	-32.74%	-13.71%	-19.03%
Max Drawdown (10Y) Largest decline over 10 years	-37.24%	—	—
Current Drawdown Current decline from peak	-2.83%	-4.93%	+2.10%
Average Drawdown Average peak-to-trough decline	-13.34%	-2.12%	-11.22%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.26%	2.13%	+1.13%

Volatility

VGK vs. JEPI - Volatility Comparison

Vanguard FTSE Europe ETF (VGK) has a higher volatility of 4.86% compared to JPMorgan Equity Premium Income ETF (JEPI) at 1.48%. This indicates that VGK'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.

Volatility by Period

	VGK	JEPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.86%	1.48%	+3.38%
Volatility (6M) Calculated over the trailing 6-month period	12.97%	6.09%	+6.88%
Volatility (1Y) Calculated over the trailing 1-year period	15.57%	7.89%	+7.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.92%	11.06%	+6.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.97%	10.79%	+8.18%

VGK vs. JEPI - Expense Ratio Comparison

VGK has a 0.06% expense ratio, which is lower than JEPI's 0.35% expense ratio.

Dividends

VGK vs. JEPI - Dividend Comparison

VGK's dividend yield for the trailing twelve months is around 2.83%, less than JEPI's 8.28% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JEPI JPMorgan Equity Premium Income ETF	8.28%	8.25%	7.33%	8.40%	11.68%	6.59%	5.79%	0.00%	0.00%	0.00%	0.00%	0.00%
VGK Vanguard FTSE Europe ETF	2.83%	2.86%	3.61%	3.15%	3.25%	3.05%	2.11%	3.27%	3.95%	2.70%	3.52%	3.25%

Frequently Asked Questions

Can I hold both VGK and JEPI in my portfolio?

VGK and JEPI have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VGK or JEPI?

VGK has higher volatility (4.86%) compared to JEPI (1.48%). In terms of maximum drawdown, VGK dropped -63.61% vs JEPI's -13.71%.

Which ETF is better, VGK or JEPI?

On 5-year performance, VGK leads with 8.08% vs 7.28% for JEPI. On fees, VGK is cheaper at 0.06% per year. On volatility, JEPI has been the lower-risk option at 1.48%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, VGK or JEPI?

Over the 5-year period, VGK has performed better with a 8.08% return vs 7.28%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, VGK or JEPI?

VGK is cheaper with a 0.06% expense ratio, compared with 0.35% for JEPI.

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

JEPI has the higher dividend yield at 8.28%, compared with 2.83% for VGK.

What is the main difference between VGK and JEPI?

VGK is categorized as Europe Equities, while JEPI is Dividend. They also come from different issuers: Vanguard and JPMorgan. Their fees differ too: 0.06% for VGK and 0.35% for JEPI.

Which has better risk-adjusted returns?

VGK currently has the higher Sharpe Ratio (1.05 vs 0.90), 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.