JEPI
J.P. Morgan Equity Premium Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-18
Executive Summary
The quantitative backtest for JEPI (J.P. Morgan Equity Premium Income ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -8.8% (compared to the benchmark's drawdown of -13.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 8.1%, compared to a Buy-and-Hold benchmark return of 9.4%. The strategy executed 8 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for JEPI:
Excess Return MMA Active Model
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
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.
🎯 Trading Horizon
Select risk profile & execution style for JEPI:
🛡️ Long-Term Investing Active Horizon
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
🛡️ JEPI Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-8.8% (vs -13.3% B&H)
+4.4% shallower drawdown
Downside Efficiency
1.26 Sortino
+0.22 vs 1.04 B&H
Capital Sheltered from Risk
20.9% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 JEPI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -6.68% | -6.68% | -8.84% | -13.71% | -8.84% | -13.26% |
| Sharpe Ratio | 1.19 | 1.27 | 0.95 | 0.65 | 1.03 | 0.83 |
| Sortino Ratio | 1.72 | 1.88 | 1.08 | 0.82 | 1.26 | 1.04 |
| CAGR | 9.18% | 10.56% | 6.84% | 7.49% | 8.06% | 9.40% |
| % Time Invested | 90.2% | 100.0% | 67.4% | 100.0% | 79.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.6 | 0.0 | 1.9 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
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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. Subscribe to Unlock | ||||||||
| 2025-05-01 | 2026-05-22 | Completed | 33.33% | $50.07 | $55.13 | 10.05% | Signal | |
| 2025-06-04 | 2025-10-22 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.62% | Interest Income | |
| 2025-05-01 | 2025-06-04 | Completed | 33.33% | $50.07 | $50.88 | 1.56% | Signal | |
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-03-10 | 2025-05-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.62% | Interest Income | |
| 2023-03-28 | 2025-04-08 | Completed | 33.33% | $40.74 | $47.67 | 16.94% | Stop | |
| 2024-01-22 | 2025-03-10 | Completed | 33.33% | $45.31 | $51.18 | 12.90% | Signal | |
| 2023-10-26 | 2024-01-22 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.24% | Interest Income | |
| 2023-06-08 | 2023-10-26 | Completed | 33.33% | $42.41 | $41.71 | -1.70% | Signal | |
| 2023-04-28 | 2023-06-08 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.58% | Interest Income | |
| 2023-01-03 | 2023-04-28 | Completed | 33.33% | $41.03 | $42.21 | 2.83% | Signal | |
| 2023-01-12 | 2023-04-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.03% | Interest Income | |
| 2022-06-28 | 2023-03-28 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.85% | Interest Income | |
| 2022-05-16 | 2023-01-12 | Completed | 33.33% | $39.46 | $41.65 | 5.49% | Signal | |
| 2022-05-12 | 2023-01-03 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.91% | Interest Income | |
| 2022-05-16 | 2022-06-28 | Completed | 33.33% | $39.46 | $39.32 | -0.41% | Signal | |
| 2022-05-12 | 2022-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2022-05-12 | 2022-05-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |