JCPB
J.P. Morgan Core Plus Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
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 -4.1% (compared to the benchmark's drawdown of -16.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.6%, compared to a Buy-and-Hold benchmark return of 1.1%. The strategy executed 12 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 | 4.73% | 4.00% | 2.58% | 0.72% | 2.59% | 1.07% |
| Sharpe Ratio | 1.33 | 1.06 | 0.89 | 0.13 | 0.91 | 0.20 |
| Max Drawdown | -2.64% | -2.71% | -4.06% | -16.67% | -4.06% | -16.67% |
| % Time Invested | 100.0% | 100.0% | 75.4% | 100.0% | 77.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 2.2 | 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 or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 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% | $43.80 | $46.72 | 6.62% | 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% | $40.85 | $43.77 | 7.09% | Signal | |
| 2024-08-02 | 2024-12-23 | Completed | 33.33% | $43.23 | $42.85 | -0.94% | 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% | $41.07 | $41.28 | 0.45% | 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% | $40.18 | $39.46 | -1.86% | Signal | |
| 2023-02-13 | 2023-07-10 | Completed | 33.33% | $39.72 | $39.58 | -0.41% | 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% | $43.66 | $41.68 | -4.57% | 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% | $44.92 | $43.21 | -3.86% | 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% | $44.17 | $44.49 | 0.67% | 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% | $43.66 | $43.96 | 0.65% | 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% | $43.66 | $43.52 | -0.36% | 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 | |