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

Key characteristics


XRMIJEPI
YTD Return12.34%15.91%
1Y Return14.93%21.29%
3Y Return (Ann)0.43%8.56%
Sharpe Ratio2.672.91
Sortino Ratio3.884.06
Omega Ratio1.561.59
Calmar Ratio1.165.33
Martin Ratio17.9220.85
Ulcer Index0.82%0.99%
Daily Std Dev5.50%7.08%
Max Drawdown-15.29%-13.71%
Current Drawdown-0.05%0.00%

Correlation

-0.50.00.51.00.7

The correlation between XRMI and JEPI is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

XRMI vs. JEPI - Performance Comparison

In the year-to-date period, XRMI achieves a 12.34% return, which is significantly lower than JEPI's 15.91% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.54%
9.11%
XRMI
JEPI

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XRMI vs. JEPI - Expense Ratio Comparison

XRMI has a 0.60% expense ratio, which is higher than JEPI's 0.35% expense ratio.


XRMI
Global X S&P 500 Risk Managed Income ETF
Expense ratio chart for XRMI: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
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%

Risk-Adjusted Performance

XRMI vs. JEPI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Risk Managed Income ETF (XRMI) 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.


XRMI
Sharpe ratio
The chart of Sharpe ratio for XRMI, currently valued at 2.67, compared to the broader market-2.000.002.004.002.67
Sortino ratio
The chart of Sortino ratio for XRMI, currently valued at 3.88, compared to the broader market0.005.0010.003.88
Omega ratio
The chart of Omega ratio for XRMI, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for XRMI, currently valued at 1.16, compared to the broader market0.005.0010.0015.001.16
Martin ratio
The chart of Martin ratio for XRMI, currently valued at 17.92, compared to the broader market0.0020.0040.0060.0080.00100.0017.92
JEPI
Sharpe ratio
The chart of Sharpe ratio for JEPI, currently valued at 2.91, compared to the broader market-2.000.002.004.002.91
Sortino ratio
The chart of Sortino ratio for JEPI, currently valued at 4.06, compared to the broader market0.005.0010.004.06
Omega ratio
The chart of Omega ratio for JEPI, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for JEPI, currently valued at 5.33, compared to the broader market0.005.0010.0015.005.33
Martin ratio
The chart of Martin ratio for JEPI, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

XRMI vs. JEPI - Sharpe Ratio Comparison

The current XRMI Sharpe Ratio is 2.67, which is comparable to the JEPI Sharpe Ratio of 2.91. The chart below compares the historical Sharpe Ratios of XRMI 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.67
2.91
XRMI
JEPI

Dividends

XRMI vs. JEPI - Dividend Comparison

XRMI's dividend yield for the trailing twelve months is around 11.87%, more than JEPI's 7.06% yield.


TTM2023202220212020
XRMI
Global X S&P 500 Risk Managed Income ETF
11.87%12.61%12.85%2.94%0.00%
JEPI
JPMorgan Equity Premium Income ETF
7.06%8.40%11.67%6.59%5.79%

Drawdowns

XRMI vs. JEPI - Drawdown Comparison

The maximum XRMI drawdown since its inception was -15.29%, which is greater than JEPI's maximum drawdown of -13.71%. Use the drawdown chart below to compare losses from any high point for XRMI and JEPI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.05%
0
XRMI
JEPI

Volatility

XRMI vs. JEPI - Volatility Comparison

The current volatility for Global X S&P 500 Risk Managed Income ETF (XRMI) is 1.87%, while JPMorgan Equity Premium Income ETF (JEPI) has a volatility of 2.04%. This indicates that XRMI 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.


1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
1.87%
2.04%
XRMI
JEPI