JEPQ J.P. Morgan NASDAQ Equity Premium Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for JEPQ (J.P. Morgan NASDAQ 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 -18.9% (compared to the benchmark's drawdown of -20.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 12.6%, compared to a Buy-and-Hold benchmark return of 20.5%. The strategy executed 7 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.
JEPQ Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 27.87% | 29.47% | 12.56% | 20.51% |
| Sharpe Ratio | 2.16 | 2.21 | 0.89 | 1.15 |
| Max Drawdown | -8.82% | -8.82% | -18.88% | -20.07% |
| % Time Invested | 100.0% | 100.0% | 96.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 3.4 | 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 |
|---|---|---|---|---|---|---|---|
| 2025-09-12 | Open | Open | 33.33% | $52.52 | $61.15 | 16.43% | Mark-to-Market |
| 2025-05-01 | Open | Open | 33.33% | $45.89 | $61.15 | 33.26% | Mark-to-Market |
| 2025-04-30 | Open | Open | 33.33% | $44.98 | $61.15 | 35.95% | Mark-to-Market |
| 2025-07-23 | 2025-09-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.64% | Interest Income |
| 2025-04-29 | 2025-07-23 | Completed | 33.33% | $45.20 | $50.26 | 11.19% | Signal |
| 2025-04-04 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.18% | Interest Income |
| 2025-04-07 | 2025-04-30 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.64% | Interest Income |
| 2025-04-04 | 2025-04-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Interest Income |
| 2024-05-01 | 2025-04-07 | Completed | 33.33% | $41.41 | $39.79 | -3.92% | Stop |
| 2024-11-06 | 2025-04-04 | Completed | 33.33% | $47.19 | $42.54 | -9.86% | Stop |
| 2024-08-28 | 2025-04-04 | Completed | 33.33% | $44.38 | $42.54 | -4.14% | Stop |
| 2024-10-15 | 2024-11-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.46% | Interest Income |
| 2024-08-28 | 2024-10-15 | Completed | 33.33% | $44.38 | $46.39 | 4.53% | Signal |
| 2024-08-06 | 2024-08-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-08-06 | 2024-08-28 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-05-01 | 2024-08-06 | Completed | 33.33% | $41.41 | $41.17 | -0.58% | Stop |
| 2024-05-01 | 2024-08-06 | Completed | 33.33% | $41.41 | $41.17 | -0.58% | Stop |
| 2024-04-29 | 2024-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2024-04-29 | 2024-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2024-04-29 | 2024-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |