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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -10.3% (compared to the benchmark's drawdown of -13.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.9%, compared to a Buy-and-Hold benchmark return of 9.1%. The strategy executed 42 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
JEPI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 8.57% | 8.72% | 4.35% | 7.59% | 5.91% | 9.10% |
| Sharpe Ratio | 1.30 | 1.07 | 0.68 | 0.66 | 0.89 | 0.81 |
| Max Drawdown | -5.15% | -6.68% | -10.27% | -13.71% | -10.27% | -13.71% |
| % Time Invested | 98.0% | 100.0% | 94.3% | 100.0% | 94.8% | 100.0% |
| Trades / Year | 4.0 | 0.0 | 7.6 | 0.0 | 7.6 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-22 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Mark-to-Market |
| 2026-05-05 | 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 |
| 2025-05-01 | 2026-05-22 | Completed | 33.33% | $51.10 | $56.26 | 10.11% | Signal |
| 2026-04-13 | 2026-05-05 | Completed | 33.33% | $57.00 | $56.72 | -0.50% | Signal |
| 2026-04-07 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.25% | Interest Income |
| 2026-03-11 | 2026-04-13 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-05-01 | 2026-04-07 | Completed | 33.33% | $51.10 | $56.16 | 9.91% | Signal |
| 2025-12-04 | 2026-03-11 | Completed | 33.33% | $55.57 | $57.33 | 3.16% | Signal |
| 2025-11-11 | 2025-12-04 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2025-10-21 | 2025-11-11 | Completed | 33.33% | $54.60 | $54.47 | -0.23% | Signal |
| 2025-09-29 | 2025-10-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2025-08-28 | 2025-09-29 | Completed | 33.33% | $53.92 | $54.11 | 0.35% | Signal |
| 2025-08-06 | 2025-08-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2025-04-25 | 2025-08-06 | Completed | 33.33% | $50.05 | $52.70 | 5.29% | Signal |
| 2025-04-02 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2025-03-10 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2025-03-07 | 2025-04-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2025-02-28 | 2025-04-02 | Completed | 33.33% | $53.05 | $51.47 | -2.99% | Signal |
| 2024-01-22 | 2025-03-10 | Completed | 33.33% | $46.24 | $52.22 | 12.95% | Signal |
| 2025-01-22 | 2025-03-07 | Completed | 33.33% | $52.94 | $52.35 | -1.11% | Signal |
| 2025-01-14 | 2025-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2024-12-19 | 2025-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income |
| 2024-09-06 | 2025-01-14 | Completed | 33.33% | $50.56 | $51.45 | 1.76% | Signal |
| 2024-11-26 | 2024-12-19 | Completed | 33.33% | $53.63 | $51.67 | -3.65% | Signal |
| 2024-11-04 | 2024-11-26 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2024-08-28 | 2024-11-04 | Completed | 33.33% | $50.59 | $51.69 | 2.18% | Signal |
| 2024-08-14 | 2024-09-06 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2024-08-06 | 2024-08-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-06-18 | 2024-08-14 | Completed | 33.33% | $48.28 | $49.24 | 1.99% | Signal |
| 2024-08-02 | 2024-08-06 | Completed | 33.33% | $48.99 | $47.87 | -2.28% | Signal |
| 2024-07-11 | 2024-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2024-06-28 | 2024-07-11 | Completed | 33.33% | $48.71 | $48.50 | -0.42% | Signal |
| 2024-06-05 | 2024-06-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income |
| 2024-05-13 | 2024-06-18 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.57% | Interest Income |
| 2024-05-08 | 2024-06-05 | Completed | 33.33% | $48.25 | $48.41 | 0.32% | Signal |
| 2023-12-11 | 2024-05-13 | Completed | 33.33% | $45.02 | $48.69 | 8.16% | Signal |
| 2024-04-12 | 2024-05-08 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income |
| 2023-11-21 | 2024-04-12 | Completed | 33.33% | $44.54 | $47.91 | 7.56% | Signal |
| 2023-10-26 | 2024-01-22 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.57% | Interest Income |
| 2023-09-26 | 2023-12-11 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.19% | Interest Income |
| 2023-10-30 | 2023-11-21 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2023-10-20 | 2023-10-30 | Completed | 33.33% | $43.25 | $42.21 | -2.41% | Signal |
| 2023-06-09 | 2023-10-26 | Completed | 33.33% | $43.33 | $42.56 | -1.78% | Signal |
| 2023-09-26 | 2023-10-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income |
| 2023-09-07 | 2023-09-26 | Completed | 33.33% | $44.45 | $43.72 | -1.63% | Signal |
| 2023-04-03 | 2023-09-26 | Completed | 33.33% | $42.46 | $43.72 | 2.98% | Signal |
| 2023-08-15 | 2023-09-07 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2023-06-14 | 2023-08-15 | Completed | 33.33% | $43.42 | $44.63 | 2.79% | Signal |
| 2023-06-02 | 2023-06-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-06-02 | 2023-06-09 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2023-05-17 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-04-27 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income |
| 2023-03-30 | 2023-05-17 | Completed | 33.33% | $42.13 | $43.02 | 2.11% | Signal |
| 2023-01-04 | 2023-04-27 | Completed | 33.33% | $41.78 | $42.63 | 2.02% | Signal |
| 2023-02-28 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.35% | Interest Income |
| 2023-02-02 | 2023-03-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2022-11-23 | 2023-02-28 | Completed | 33.33% | $42.09 | $41.65 | -1.06% | Signal |
| 2023-01-17 | 2023-02-02 | Completed | 33.33% | $42.62 | $42.44 | -0.42% | Signal |
| 2022-12-21 | 2023-01-17 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income |
| 2022-12-02 | 2023-01-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.72% | Interest Income |
| 2022-10-25 | 2022-12-21 | Completed | 33.33% | $39.28 | $41.56 | 5.79% | Signal |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-11-23 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2022-10-04 | 2022-10-25 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-10-03 | 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 |
| 2022-08-09 | 2022-10-03 | Completed | 33.33% | $41.39 | $37.88 | -8.47% | Signal |
| 2022-07-13 | 2022-09-02 | Completed | 33.33% | $39.46 | $40.65 | 3.02% | Signal |
| 2022-04-07 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income |
| 2022-05-27 | 2022-08-09 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2022-06-17 | 2022-07-13 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2022-06-01 | 2022-06-17 | Completed | 33.33% | $41.07 | $37.74 | -8.10% | Stop |
| 2022-04-28 | 2022-06-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.03% | Interest Income |
| 2022-04-11 | 2022-05-27 | Completed | 33.33% | $43.25 | $40.83 | -5.59% | Signal |
| 2022-03-21 | 2022-04-28 | Completed | 33.33% | $42.28 | $41.85 | -1.00% | Signal |
| 2022-03-02 | 2022-04-11 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-11-18 | 2022-04-07 | Completed | 33.33% | $34.81 | $42.99 | 23.51% | Signal |
| 2022-03-02 | 2022-03-21 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-02-25 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2022-02-22 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2022-02-14 | 2022-02-25 | Completed | 33.33% | $41.13 | $40.59 | -1.32% | Signal |
| 2021-11-16 | 2022-02-22 | Completed | 33.33% | $41.81 | $40.79 | -2.44% | Signal |
| 2022-01-21 | 2022-02-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2021-12-27 | 2022-01-21 | Completed | 33.33% | $42.76 | $41.36 | -3.27% | Signal |
| 2021-12-02 | 2021-12-27 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-10-18 | 2021-12-02 | Completed | 33.33% | $40.96 | $40.63 | -0.82% | Signal |
| 2021-11-02 | 2021-11-16 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-10-14 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-09-15 | 2021-10-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income |
| 2020-11-18 | 2021-10-14 | Completed | 33.33% | $34.81 | $40.60 | 16.64% | Signal |
| 2021-03-15 | 2021-09-15 | Completed | 33.33% | $36.71 | $40.79 | 11.11% | Signal |
| 2021-02-10 | 2021-03-15 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2020-11-18 | 2021-02-10 | Completed | 33.33% | $34.81 | $36.04 | 3.53% | Signal |
| 2020-11-16 | 2020-11-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-11-16 | 2020-11-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-11-16 | 2020-11-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |