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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -11.9% (compared to the benchmark's drawdown of -13.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.7%, compared to a Buy-and-Hold benchmark return of 8.9%. The strategy executed 2 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
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 Active
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.
🎯 Investment Objective
🛡️ Long-Term Investing Active
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.
Switch to MMA to enable
JEPI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 7.63% | 7.63% | 6.43% | 7.21% | 7.69% | 8.89% |
| Sharpe Ratio | 0.92 | 0.92 | 0.68 | 0.63 | 0.75 | 0.78 |
| Max Drawdown | -6.68% | -6.68% | -11.88% | -13.71% | -11.88% | -13.26% |
| % Time Invested | 100.0% | 100.0% | 79.6% | 100.0% | 95.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.4 | 0.0 | 0.5 | 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 | ||||||||
| 2025-04-08 | 2025-05-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-04-03 | 2025-04-08 | Completed | 100% | $41.87 | $47.97 | 14.51% | Stop | |
| 2023-02-09 | 2023-04-03 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2022-05-16 | 2023-02-09 | Completed | 100% | $39.72 | $41.69 | 4.90% | Signal | |
| 2022-05-12 | 2022-05-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |