QF
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 33% |
JEPI JPMorgan Equity Premium Income ETF | Actively Managed, Dividend, Derivative Income | 34% |
SHY iShares 1-3 Year Treasury Bond ETF | Government Bonds | 33% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in QF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is May 21, 2020, corresponding to the inception date of JEPI
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| QF | 6.26% | -0.38% | 4.38% | 9.53% | N/A | N/A |
| Portfolio components: | ||||||
IEF iShares 7-10 Year Treasury Bond ETF | -0.36% | -2.21% | 1.50% | 4.41% | -1.52% | 0.79% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.32% | -0.20% | 2.68% | 4.84% | 1.18% | 1.18% |
JEPI JPMorgan Equity Premium Income ETF | 15.89% | 1.17% | 8.81% | 19.32% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of QF, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.74% | 0.00% | 1.08% | -2.11% | 1.57% | 0.71% | 2.03% | 1.71% | 1.35% | -1.57% | 6.26% | ||
| 2023 | 2.05% | -2.12% | 2.55% | 1.13% | -1.20% | 0.49% | 0.45% | -0.10% | -2.10% | -0.89% | 3.43% | 2.30% | 5.95% |
| 2022 | -2.11% | -0.66% | -0.68% | -2.81% | 0.38% | -1.71% | 2.72% | -2.56% | -4.13% | 2.02% | 3.24% | -1.15% | -7.47% |
| 2021 | -0.90% | -0.56% | 1.39% | 1.23% | 0.77% | 0.84% | 1.58% | 0.46% | -2.00% | 1.29% | -0.25% | 1.73% | 5.63% |
| 2020 | 0.94% | -0.15% | 2.20% | 0.52% | -0.18% | -0.96% | 2.58% | 0.85% | 5.91% |
Expense Ratio
QF has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of QF is 51, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
IEF iShares 7-10 Year Treasury Bond ETF | 0.83 | 1.24 | 1.14 | 0.28 | 2.41 |
SHY iShares 1-3 Year Treasury Bond ETF | 2.74 | 4.43 | 1.57 | 2.31 | 14.62 |
JEPI JPMorgan Equity Premium Income ETF | 2.89 | 4.02 | 1.58 | 5.23 | 20.45 |
Dividends
Dividend yield
QF provided a 4.83% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.83% | 4.80% | 5.05% | 2.60% | 2.64% | 1.39% | 1.31% | 0.92% | 0.83% | 0.81% | 0.80% | 0.67% |
| Portfolio components: | ||||||||||||
IEF iShares 7-10 Year Treasury Bond ETF | 3.51% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% | 1.77% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.86% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.72% | 0.54% | 0.36% | 0.26% |
JEPI JPMorgan Equity Premium Income ETF | 7.06% | 8.40% | 11.67% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the QF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the QF was 11.63%, occurring on Oct 20, 2022. Recovery took 416 trading sessions.
The current QF drawdown is 1.04%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -11.63% | Jan 3, 2022 | 202 | Oct 20, 2022 | 416 | Jun 18, 2024 | 618 |
| -2.18% | Sep 3, 2021 | 19 | Sep 30, 2021 | 51 | Dec 13, 2021 | 70 |
| -2.1% | Jan 26, 2021 | 27 | Mar 4, 2021 | 21 | Apr 5, 2021 | 48 |
| -1.81% | Oct 2, 2024 | 23 | Nov 1, 2024 | — | — | — |
| -1.74% | Oct 13, 2020 | 14 | Oct 30, 2020 | 4 | Nov 5, 2020 | 18 |
Volatility
Volatility Chart
The current QF volatility is 0.93%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| JEPI | IEF | SHY | |
|---|---|---|---|
| JEPI | 1.00 | 0.08 | 0.11 |
| IEF | 0.08 | 1.00 | 0.78 |
| SHY | 0.11 | 0.78 | 1.00 |