JEPI
J.P. Morgan Equity Premium Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for JEPI (J.P. Morgan Equity Premium Income ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -9.2% (compared to the benchmark's drawdown of -13.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.5%, compared to a Buy-and-Hold benchmark return of 8.9%. The strategy executed 8 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.
JEPI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 6.53% | 7.63% | 6.29% | 7.21% | 7.53% | 8.89% |
| Sharpe Ratio | 0.86 | 0.92 | 0.86 | 0.63 | 0.94 | 0.78 |
| Max Drawdown | -6.68% | -6.68% | -9.23% | -13.71% | -9.23% | -13.26% |
| % Time Invested | 100.0% | 100.0% | 83.8% | 100.0% | 99.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 1.9 | 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 | ||||||||
| 2025-05-01 | 2026-05-22 | Completed | 33.33% | $50.39 | $55.49 | 10.05% | Signal | |
| 2025-06-04 | 2025-10-22 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.10% | Interest Income | |
| 2025-05-01 | 2025-06-04 | Completed | 33.33% | $50.39 | $51.20 | 1.56% | Signal | |
| 2025-04-08 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income | |
| 2025-03-10 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2023-03-28 | 2025-04-08 | Completed | 33.33% | $41.00 | $47.97 | 16.94% | Stop | |
| 2024-01-22 | 2025-03-10 | Completed | 33.33% | $45.60 | $51.51 | 12.90% | Signal | |
| 2023-10-26 | 2024-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.57% | Interest Income | |
| 2023-06-08 | 2023-10-26 | Completed | 33.33% | $42.68 | $41.97 | -1.70% | Signal | |
| 2023-06-02 | 2023-06-08 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income | |
| 2023-04-28 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2023-01-03 | 2023-04-28 | Completed | 33.33% | $41.29 | $42.48 | 2.83% | Signal | |
| 2023-01-12 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.81% | Interest Income | |
| 2022-12-02 | 2023-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income | |
| 2022-05-16 | 2023-01-12 | Completed | 33.33% | $39.72 | $41.92 | 5.49% | Signal | |
| 2022-12-02 | 2023-01-03 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | 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 | |
| 2022-06-28 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2022-05-12 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2022-05-16 | 2022-06-28 | Completed | 33.33% | $39.72 | $39.57 | -0.41% | Signal | |
| 2022-05-12 | 2022-05-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2022-05-12 | 2022-05-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |