JPIE
J.P. Morgan Income ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-10
Executive Summary
The quantitative backtest for JPIE (J.P. Morgan Income ETF) using the Excess Return MMA* 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 6.6%, compared to a Buy-and-Hold benchmark return of 7.2%. The strategy executed 4 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 JPIE:
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 JPIE:
🛡️ 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.
🛡️ JPIE Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-1.7% (vs -1.7% B&H)
+0.0% shallower drawdown
Sortino Ratio
3.41
vs 3.79 B&H
Capital Sheltered from Risk
6.5% 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.
📊 JPIE Quality Metrics & KPI Summary
| Metric | 1Y | Full | ||
|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -1.15% | -1.15% | -1.72% | -1.72% |
| Sharpe Ratio | 2.27 | 1.97 | 2.82 | 2.98 |
| Sortino Ratio | 3.04 | 2.71 | 3.41 | 3.79 |
| CAGR | 3.42% | 3.32% | 6.59% | 7.25% |
| % Time Invested | 90.1% | 100.0% | 93.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 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 | ||||||||
| 2025-02-27 | 2026-05-26 | Completed | 33.33% | $42.18 | $45.13 | 6.94% | Signal | |
| 2025-01-23 | 2025-02-27 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2024-07-12 | 2025-01-23 | Completed | 33.33% | $40.24 | $41.71 | 3.60% | Signal | |
| 2024-06-06 | 2024-07-12 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.51% | Interest Income | |
| 2023-11-06 | 2024-06-06 | Completed | 33.33% | $37.70 | $39.82 | 5.57% | Signal | |
| 2023-10-26 | 2023-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2023-10-26 | 2023-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |
| 2023-10-26 | 2023-11-06 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.13% | Interest Income | |