JEPI J.P. Morgan Equity Premium Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
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 7.4%, compared to a Buy-and-Hold benchmark return of 8.5%. 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 | 7.68% | 8.72% | 5.94% | 7.59% | 7.38% | 8.51% |
| Sharpe Ratio | 1.03 | 1.07 | 0.82 | 0.66 | 0.91 | 0.74 |
| Max Drawdown | -6.68% | -6.68% | -9.22% | -13.71% | -9.22% | -13.26% |
| % Time Invested | 100.0% | 100.0% | 80.7% | 100.0% | 99.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 2.0 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-10-22 | Open | Open | 33.33% | $54.82 | $56.04 | 2.22% | Mark-to-Market |
| 2023-04-03 | Open | Open | 33.33% | $42.46 | $56.04 | 31.99% | Mark-to-Market |
| 2026-05-22 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Mark-to-Market |
| 2025-05-01 | 2026-05-22 | Completed | 33.33% | $51.10 | $56.26 | 10.11% | 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% | $51.10 | $51.92 | 1.61% | 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% | $41.57 | $48.64 | 17.00% | Stop |
| 2024-01-22 | 2025-03-10 | Completed | 33.33% | $46.24 | $52.22 | 12.95% | 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% | $43.27 | $42.56 | -1.65% | 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% | $41.87 | $43.08 | 2.89% | 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% | $40.27 | $42.50 | 5.54% | 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% | $40.27 | $40.13 | -0.36% | 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 |