JCPB J.P. Morgan Core Plus Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for JCPB (J.P. Morgan Core Plus Bond ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.0% (compared to the benchmark's drawdown of -16.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.8%, compared to a Buy-and-Hold benchmark return of 1.3%. The strategy executed 11 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
JCPB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.18% | 6.26% | 2.88% | 1.17% | 2.82% | 1.26% |
| Sharpe Ratio | 1.72 | 1.61 | 1.01 | 0.22 | 1.00 | 0.24 |
| Max Drawdown | -2.64% | -2.71% | -4.04% | -16.67% | -4.04% | -16.67% |
| % Time Invested | 100.0% | 100.0% | 75.4% | 100.0% | 76.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 2.1 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-06-27 | Open | Open | 33.33% | $44.85 | $46.97 | 4.73% | Mark-to-Market |
| 2024-08-05 | Open | Open | 33.33% | $43.90 | $46.97 | 6.99% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-04-16 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2025-04-23 | 2026-04-16 | Completed | 33.33% | $44.14 | $47.09 | 6.67% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-27 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2024-12-23 | 2025-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2024-04-11 | 2025-03-27 | Completed | 33.33% | $41.17 | $44.11 | 7.15% | Signal |
| 2024-08-02 | 2024-12-23 | Completed | 33.33% | $43.57 | $43.19 | -0.89% | Signal |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-14 | 2024-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.27% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-19 | 2024-05-14 | Completed | 33.33% | $41.39 | $41.60 | 0.50% | Signal |
| 2023-09-13 | 2024-04-11 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.92% | Interest Income |
| 2023-07-10 | 2024-01-19 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.51% | Interest Income |
| 2023-06-26 | 2023-09-13 | Completed | 33.33% | $40.50 | $39.77 | -1.81% | Signal |
| 2023-02-13 | 2023-07-10 | Completed | 33.33% | $40.04 | $39.89 | -0.36% | Signal |
| 2023-06-02 | 2023-06-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income |
| 2022-12-02 | 2023-02-13 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.67% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-03-28 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2021-03-05 | 2022-03-28 | Completed | 33.33% | $44.00 | $42.01 | -4.52% | Stop |
| 2022-03-01 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-09-15 | 2022-03-01 | Completed | 33.33% | $45.28 | $43.55 | -3.81% | Signal |
| 2021-12-15 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-06-14 | 2021-12-15 | Completed | 33.33% | $44.51 | $44.84 | 0.73% | Signal |
| 2021-09-02 | 2021-09-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-05-27 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2021-05-04 | 2021-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2021-03-05 | 2021-05-27 | Completed | 33.33% | $44.00 | $44.31 | 0.70% | Signal |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-03-29 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.09% | Interest Income |
| 2021-03-05 | 2021-03-29 | Completed | 33.33% | $44.00 | $43.86 | -0.31% | Signal |
| 2021-03-03 | 2021-03-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-03-03 | 2021-03-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-03-03 | 2021-03-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |