JPIE J.P. Morgan Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for JPIE (J.P. Morgan 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 -1.7% (compared to the benchmark's drawdown of -1.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.2%, compared to a Buy-and-Hold benchmark return of 8.0%. The strategy executed 3 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.
JPIE Quality Metrics & KPI Summary
| Metric | 1Y | Full History | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| CAGR | 6.09% | 6.21% | 7.19% | 7.97% |
| Sharpe Ratio | 3.75 | 3.80 | 2.96 | 3.19 |
| Max Drawdown | -1.15% | -1.15% | -1.72% | -1.72% |
| % Time Invested | 100.0% | 100.0% | 99.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.2 | 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 |
|---|---|---|---|---|---|---|---|
| 2023-11-06 | Open | Open | 33.33% | $38.42 | $46.16 | 20.16% | Mark-to-Market |
| 2023-11-06 | Open | Open | 33.33% | $38.42 | $46.16 | 20.16% | Mark-to-Market |
| 2026-05-26 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Mark-to-Market |
| 2025-02-27 | 2026-05-26 | Completed | 33.33% | $42.98 | $45.98 | 6.99% | Signal |
| 2025-01-23 | 2025-02-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.50% | Interest Income |
| 2024-07-12 | 2025-01-23 | Completed | 33.33% | $41.00 | $42.50 | 3.65% | Signal |
| 2024-06-06 | 2024-07-12 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.49% | Interest Income |
| 2023-11-06 | 2024-06-06 | Completed | 33.33% | $38.42 | $40.58 | 5.62% | Signal |
| 2023-10-26 | 2023-11-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2023-10-26 | 2023-11-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |
| 2023-10-26 | 2023-11-06 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income |