ETF DERIVATIVE INCOME
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
JEPI JPMorgan Equity Premium Income ETF | Large Cap Blend Equities, Actively Managed, Dividend | 75% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | Actively Managed, Large Cap Growth Equities, Dividend | 25% |
Performance
The chart shows the growth of an initial investment of $10,000 in ETF DERIVATIVE INCOME, 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
Returns
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 0.06% | 11.82% | 14.66% | 14.17% | 1.72% | N/A |
| ETF DERIVATIVE INCOME | 1.26% | 10.03% | 11.36% | 14.71% | 5.28% | N/A |
| Portfolio components: | ||||||
JEPI JPMorgan Equity Premium Income ETF | 1.29% | 8.51% | 6.73% | 12.27% | 4.53% | N/A |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 1.14% | 14.63% | 25.77% | 21.38% | 6.88% | N/A |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| JEPI | JEPQ | |
|---|---|---|
| JEPI | 1.00 | 0.74 |
| JEPQ | 0.74 | 1.00 |
Dividend yield
ETF DERIVATIVE INCOME granted a 10.20% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | |
|---|---|---|---|---|
| ETF DERIVATIVE INCOME | 10.20% | 11.80% | 5.85% | 5.52% |
| Portfolio components: | ||||
JEPI JPMorgan Equity Premium Income ETF | 9.73% | 12.35% | 7.80% | 7.35% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 11.60% | 10.16% | 0.00% | 0.00% |
Expense Ratio
The ETF DERIVATIVE INCOME has a high expense ratio of 0.35%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
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 | Ulcer Index | |
|---|---|---|---|---|---|
JEPI JPMorgan Equity Premium Income ETF | 1.05 | ||||
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 1.27 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the ETF DERIVATIVE INCOME. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the ETF DERIVATIVE INCOME is 11.86%, recorded on Oct 12, 2022. It took 117 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -11.86% | Aug 17, 2022 | 40 | Oct 12, 2022 | 117 | Mar 31, 2023 | 157 |
| -10.87% | May 5, 2022 | 30 | Jun 16, 2022 | 40 | Aug 15, 2022 | 70 |
| -2.55% | Aug 1, 2023 | 14 | Aug 18, 2023 | 8 | Aug 30, 2023 | 22 |
| -1.57% | May 2, 2023 | 3 | May 4, 2023 | 9 | May 17, 2023 | 12 |
| -1.54% | May 19, 2023 | 4 | May 24, 2023 | 6 | Jun 2, 2023 | 10 |
Volatility Chart
The current ETF DERIVATIVE INCOME volatility is 2.51%, 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.