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

Key characteristics


JEPISPY
YTD Return13.48%23.18%
1Y Return21.18%40.57%
3Y Return (Ann)7.77%9.72%
Sharpe Ratio3.153.45
Sortino Ratio4.434.57
Omega Ratio1.641.65
Calmar Ratio4.764.12
Martin Ratio23.1322.62
Ulcer Index0.97%1.83%
Daily Std Dev7.08%12.01%
Max Drawdown-13.71%-55.19%
Current Drawdown-1.25%-0.78%

Correlation

-0.50.00.51.00.8

The correlation between JEPI and SPY 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.

Performance

JEPI vs. SPY - Performance Comparison

In the year-to-date period, JEPI achieves a 13.48% return, which is significantly lower than SPY's 23.18% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctober
9.91%
16.65%
JEPI
SPY

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JEPI vs. SPY - Expense Ratio Comparison

JEPI has a 0.35% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

JEPI vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Equity Premium Income ETF (JEPI) and SPDR S&P 500 ETF (SPY). 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.


JEPI
Sharpe ratio
The chart of Sharpe ratio for JEPI, currently valued at 3.15, compared to the broader market-2.000.002.004.006.003.15
Sortino ratio
The chart of Sortino ratio for JEPI, currently valued at 4.43, compared to the broader market0.005.0010.004.43
Omega ratio
The chart of Omega ratio for JEPI, currently valued at 1.64, compared to the broader market1.001.502.002.503.003.501.64
Calmar ratio
The chart of Calmar ratio for JEPI, currently valued at 4.76, compared to the broader market0.005.0010.0015.004.76
Martin ratio
The chart of Martin ratio for JEPI, currently valued at 23.13, compared to the broader market0.0020.0040.0060.0080.00100.00120.0023.13
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.45, compared to the broader market-2.000.002.004.006.003.45
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.57, compared to the broader market0.005.0010.004.57
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.65, compared to the broader market1.001.502.002.503.003.501.65
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.12, compared to the broader market0.005.0010.0015.004.12
Martin ratio
The chart of Martin ratio for SPY, currently valued at 22.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.0022.62

JEPI vs. SPY - Sharpe Ratio Comparison

The current JEPI Sharpe Ratio is 3.15, which is comparable to the SPY Sharpe Ratio of 3.45. The chart below compares the historical Sharpe Ratios of JEPI and SPY, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctober
3.15
3.45
JEPI
SPY

Dividends

JEPI vs. SPY - Dividend Comparison

JEPI's dividend yield for the trailing twelve months is around 7.14%, more than SPY's 1.21% yield.


TTM20232022202120202019201820172016201520142013
JEPI
JPMorgan Equity Premium Income ETF
7.14%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

JEPI vs. SPY - Drawdown Comparison

The maximum JEPI drawdown since its inception was -13.71%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JEPI and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-1.25%
-0.78%
JEPI
SPY

Volatility

JEPI vs. SPY - Volatility Comparison

The current volatility for JPMorgan Equity Premium Income ETF (JEPI) is 1.45%, while SPDR S&P 500 ETF (SPY) has a volatility of 2.51%. This indicates that JEPI experiences smaller price fluctuations and is considered to be less risky than SPY 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%JuneJulyAugustSeptemberOctober
1.45%
2.51%
JEPI
SPY