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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -7.5% (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 2.0%. The strategy executed 47 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.
Available in Investing Mode
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
Available in Investing Mode
JCPB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.75% | 6.26% | 3.23% | 1.17% | 2.75% | 2.05% |
| Sharpe Ratio | 1.97 | 1.61 | 1.11 | 0.22 | 0.83 | 0.39 |
| Max Drawdown | -2.21% | -2.71% | -3.64% | -16.67% | -7.48% | -16.67% |
| % Time Invested | 94.0% | 100.0% | 75.3% | 100.0% | 79.8% | 100.0% |
| Trades / Year | 8.0 | 0.0 | 6.6 | 0.0 | 7.0 | 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 |
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2026-05-15 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-04-24 | 2026-05-15 | Completed | 33.33% | $46.96 | $46.52 | -0.94% | Signal |
| 2026-04-17 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2026-03-31 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2026-03-23 | 2026-04-24 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2025-04-23 | 2026-04-17 | Completed | 33.33% | $44.14 | $47.16 | 6.83% | Signal |
| 2026-01-22 | 2026-03-31 | Completed | 33.33% | $46.66 | $46.67 | 0.04% | Signal |
| 2026-03-05 | 2026-03-23 | Completed | 33.33% | $47.17 | $46.50 | -1.43% | Signal |
| 2026-03-03 | 2026-03-05 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2026-02-10 | 2026-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2026-01-20 | 2026-02-10 | Completed | 33.33% | $46.59 | $47.06 | 1.01% | Signal |
| 2025-12-08 | 2026-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.56% | Interest Income |
| 2025-12-24 | 2026-01-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2025-12-16 | 2025-12-24 | Completed | 33.33% | $46.41 | $46.62 | 0.44% | Signal |
| 2025-11-18 | 2025-12-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2025-06-27 | 2025-12-08 | Completed | 33.33% | $44.85 | $46.47 | 3.61% | Signal |
| 2025-08-22 | 2025-11-18 | Completed | 33.33% | $45.30 | $46.36 | 2.35% | Signal |
| 2025-07-31 | 2025-08-22 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2025-06-20 | 2025-07-31 | Completed | 33.33% | $44.46 | $44.98 | 1.19% | Signal |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2025-06-03 | 2025-06-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-04-25 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2025-04-11 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2025-02-26 | 2025-04-25 | Completed | 33.33% | $44.21 | $44.27 | 0.13% | Signal |
| 2024-12-24 | 2025-04-23 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.15% | Interest Income |
| 2025-02-07 | 2025-04-11 | Completed | 33.33% | $43.63 | $43.51 | -0.27% | Signal |
| 2024-10-25 | 2025-02-26 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.89% | Interest Income |
| 2024-12-31 | 2025-02-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2024-12-10 | 2024-12-31 | Completed | 33.33% | $43.92 | $43.29 | -1.45% | Signal |
| 2024-08-01 | 2024-12-24 | Completed | 33.33% | $43.42 | $42.94 | -1.09% | Signal |
| 2024-10-14 | 2024-12-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income |
| 2024-06-07 | 2024-10-25 | Completed | 33.33% | $41.93 | $43.55 | 3.87% | Signal |
| 2024-05-20 | 2024-10-14 | Completed | 33.33% | $41.70 | $43.63 | 4.63% | Signal |
| 2024-05-14 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.28% | Interest Income |
| 2024-02-21 | 2024-06-07 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.97% | Interest Income |
| 2024-04-09 | 2024-05-20 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.69% | Interest Income |
| 2024-01-18 | 2024-05-14 | Completed | 33.33% | $41.48 | $41.60 | 0.29% | Signal |
| 2024-03-22 | 2024-04-09 | Completed | 33.33% | $41.81 | $41.54 | -0.65% | Signal |
| 2024-01-29 | 2024-03-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2023-11-30 | 2024-02-21 | Completed | 33.33% | $40.36 | $41.36 | 2.47% | Signal |
| 2023-11-15 | 2024-01-29 | Completed | 33.33% | $39.63 | $41.61 | 4.99% | Signal |
| 2023-07-06 | 2024-01-18 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.53% | Interest Income |
| 2023-06-02 | 2023-11-30 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.14% | Interest Income |
| 2023-06-02 | 2023-11-15 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.89% | Interest Income |
| 2023-02-14 | 2023-07-06 | Completed | 33.33% | $40.06 | $39.99 | -0.19% | Signal |
| 2023-05-26 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2023-05-08 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income |
| 2023-04-12 | 2023-05-26 | Completed | 33.33% | $40.95 | $40.02 | -2.27% | Signal |
| 2023-03-27 | 2023-05-08 | Completed | 33.33% | $40.54 | $40.78 | 0.60% | Signal |
| 2023-04-04 | 2023-04-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.10% | Interest Income |
| 2023-03-07 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.41% | Interest Income |
| 2023-02-24 | 2023-03-27 | Interest (FLOT) | 33.33% | $1.00 | $0.99 | -0.69% | Interest Income |
| 2022-12-06 | 2023-03-07 | Completed | 33.33% | $39.71 | $39.58 | -0.33% | Signal |
| 2023-02-07 | 2023-02-24 | Completed | 33.33% | $40.31 | $39.55 | -1.89% | Signal |
| 2022-12-02 | 2023-02-14 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.69% | Interest Income |
| 2023-01-13 | 2023-02-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income |
| 2022-11-21 | 2023-01-13 | Completed | 33.33% | $38.99 | $40.45 | 3.74% | Signal |
| 2022-12-02 | 2022-12-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | 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 | 2022-11-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2022-09-14 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.13% | 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 |
| 2022-08-03 | 2022-09-14 | Completed | 33.33% | $40.96 | $39.59 | -3.33% | Signal |
| 2022-08-31 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2022-07-20 | 2022-08-31 | Completed | 33.33% | $40.45 | $40.24 | -0.51% | Signal |
| 2022-03-02 | 2022-08-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2022-06-15 | 2022-07-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-06-13 | 2022-06-15 | Completed | 33.33% | $39.77 | $39.44 | -0.82% | Signal |
| 2022-03-02 | 2022-06-13 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-01-14 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-01-11 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-06 | 2022-01-14 | Completed | 33.33% | $45.30 | $44.38 | -2.02% | Signal |
| 2021-12-30 | 2022-01-11 | Completed | 33.33% | $44.84 | $44.30 | -1.20% | Signal |
| 2021-12-15 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-12-07 | 2021-12-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-06-14 | 2021-12-15 | Completed | 33.33% | $44.51 | $44.84 | 0.73% | Signal |
| 2021-11-10 | 2021-12-07 | Completed | 33.33% | $45.14 | $44.93 | -0.46% | Signal |
| 2021-11-02 | 2021-12-06 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-11-02 | 2021-11-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-10-11 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-10-05 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-05-05 | 2021-10-11 | Completed | 33.33% | $44.17 | $44.53 | 0.82% | Signal |
| 2021-09-23 | 2021-10-05 | Completed | 33.33% | $45.16 | $44.84 | -0.70% | Signal |
| 2021-09-02 | 2021-09-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2021-08-31 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-04-19 | 2021-08-31 | Completed | 33.33% | $44.19 | $45.10 | 2.06% | Signal |
| 2021-05-04 | 2021-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2021-05-04 | 2021-05-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-05-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-04-05 | 2021-04-19 | 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 |
| 2021-02-10 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income |
| 2021-01-26 | 2021-04-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-04-16 | 2021-03-29 | Completed | 33.33% | $44.43 | $43.86 | -1.29% | Signal |
| 2020-11-18 | 2021-02-10 | Completed | 33.33% | $44.73 | $44.93 | 0.43% | Signal |
| 2020-11-05 | 2021-01-26 | Completed | 33.33% | $44.70 | $44.99 | 0.64% | Signal |
| 2020-11-03 | 2020-11-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-11-03 | 2020-11-05 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2020-10-08 | 2020-11-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2020-09-21 | 2020-11-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2020-09-29 | 2020-10-08 | Completed | 33.33% | $44.47 | $44.38 | -0.20% | Signal |
| 2020-08-31 | 2020-09-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-04-14 | 2020-09-21 | Completed | 33.33% | $43.06 | $44.50 | 3.34% | Signal |
| 2020-04-16 | 2020-08-31 | Completed | 33.33% | $44.43 | $44.46 | 0.05% | Signal |
| 2020-03-24 | 2020-04-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-03-20 | 2020-04-16 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2020-03-20 | 2020-04-14 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-09-20 | 2020-03-24 | Completed | 33.33% | $41.02 | $40.76 | -0.62% | Stop |
| 2019-12-26 | 2020-03-20 | Completed | 33.33% | $41.39 | $41.72 | 0.79% | Stop |
| 2019-12-05 | 2020-03-20 | Completed | 33.33% | $41.35 | $41.72 | 0.89% | Stop |
| 2019-10-23 | 2019-12-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2019-11-04 | 2019-12-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2019-10-18 | 2019-11-04 | Completed | 33.33% | $41.27 | $41.29 | 0.04% | Signal |
| 2019-09-20 | 2019-10-23 | Completed | 33.33% | $41.02 | $41.29 | 0.67% | Signal |
| 2019-09-26 | 2019-10-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Interest Income |
| 2019-09-20 | 2019-09-26 | Completed | 33.33% | $41.02 | $41.32 | 0.74% | Signal |
| 2019-09-18 | 2019-09-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-09-18 | 2019-09-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-09-18 | 2019-09-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |