JMUB J.P. Morgan Municipal ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for JMUB (J.P. Morgan Municipal ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -8.7% (compared to the benchmark's drawdown of -12.1%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.4%, compared to a Buy-and-Hold benchmark return of 1.6%. The strategy executed 12 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.
JMUB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.85% | 5.75% | 2.05% | 1.24% | 2.36% | 1.63% |
| Sharpe Ratio | 2.41 | 2.33 | 0.81 | 0.37 | 0.96 | 0.51 |
| Max Drawdown | -2.55% | -2.55% | -8.65% | -12.06% | -8.65% | -12.06% |
| % Time Invested | 100.0% | 100.0% | 98.2% | 100.0% | 98.4% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 2.2 | 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 |
|---|---|---|---|---|---|---|---|
| Pending (2026-05-30) | — | Pending Buy | 33.33% | — | — | —% | Pending Next-Day Open |
| 2025-09-12 | Open | Open | 33.33% | $49.17 | $50.47 | 2.64% | Mark-to-Market |
| 2024-12-04 | Open | Open | 33.33% | $48.38 | $50.47 | 4.32% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2026-04-22 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.11% | Interest Income |
| 2025-09-12 | 2026-04-22 | Completed | 33.33% | $49.17 | $50.39 | 2.48% | Signal |
| 2025-06-23 | 2025-09-12 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.20% | Interest Income |
| 2025-06-03 | 2025-09-12 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.50% | Interest Income |
| 2022-07-08 | 2025-06-23 | Completed | 33.33% | $44.34 | $47.91 | 8.05% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2024-12-11 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.60% | Interest Income |
| 2024-09-09 | 2024-12-11 | Completed | 33.33% | $48.21 | $48.47 | 0.53% | Signal |
| 2024-10-02 | 2024-12-04 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.02% | Interest Income |
| 2024-10-01 | 2024-10-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2024-04-05 | 2024-10-01 | Completed | 33.33% | $46.63 | $48.42 | 3.83% | Signal |
| 2024-08-02 | 2024-09-09 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.60% | Interest Income |
| 2024-05-20 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income |
| 2024-01-18 | 2024-05-20 | Completed | 33.33% | $46.79 | $47.01 | 0.48% | Signal |
| 2023-09-14 | 2024-04-05 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.81% | Interest Income |
| 2023-06-02 | 2024-01-18 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.11% | Interest Income |
| 2022-05-31 | 2023-09-14 | Completed | 33.33% | $44.33 | $44.88 | 1.25% | Signal |
| 2023-05-25 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2022-05-31 | 2023-05-25 | Completed | 33.33% | $44.33 | $44.74 | 0.94% | Signal |
| 2022-05-20 | 2022-07-08 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2022-03-02 | 2022-05-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-03-02 | 2022-05-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-05-02 | 2022-05-20 | Completed | 33.33% | $43.78 | $43.34 | -1.00% | Signal |
| 2022-04-07 | 2022-05-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-10-30 | 2022-04-07 | Completed | 33.33% | $46.08 | $44.65 | -3.09% | Stop |
| 2022-02-17 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.00% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2020-10-30 | 2022-02-17 | Completed | 33.33% | $46.08 | $46.26 | 0.39% | Signal |
| 2021-11-15 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income |
| 2021-06-17 | 2021-11-15 | Completed | 33.33% | $47.71 | $47.68 | -0.06% | Signal |
| 2021-05-25 | 2021-06-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2020-10-30 | 2021-05-25 | Completed | 33.33% | $46.08 | $47.36 | 2.78% | Signal |
| 2020-10-28 | 2020-10-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-10-28 | 2020-10-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2020-10-28 | 2020-10-30 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |