PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

ETF DERIVATIVE INCOME

Last updated Sep 21, 2023

Asset Allocation


JEPI 75%JEPQ 25%EquityEquity
PositionCategory/SectorWeight
JEPI
JPMorgan Equity Premium Income ETF
Large Cap Blend Equities, Actively Managed, Dividend75%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
Actively Managed, Large Cap Growth Equities, Dividend25%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
9.70%
11.48%
ETF DERIVATIVE INCOME
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.06%11.82%14.66%14.17%1.72%N/A
ETF DERIVATIVE INCOME1.26%10.03%11.36%14.71%5.28%N/A
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

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

JEPIJEPQ
JEPI1.000.74
JEPQ0.741.00

Sharpe Ratio

The current ETF DERIVATIVE INCOME Sharpe ratio is 1.19. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.19

The Sharpe ratio of ETF DERIVATIVE INCOME lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.000.501.00May 14May 21May 28Jun 04Jun 11Jun 18Jun 25Jul 02Jul 09Jul 16Jul 23Jul 30Aug 06Aug 13Aug 20Aug 27Sep 03Sep 10Sep 17
1.19
0.74
ETF DERIVATIVE INCOME
Benchmark (^GSPC)
Portfolio components

Dividend yield

ETF DERIVATIVE INCOME granted a 10.20% dividend yield in the last twelve months.


TTM202220212020
ETF DERIVATIVE INCOME10.20%11.80%5.85%5.52%
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.


0.35%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer 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.


-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-1.35%
-4.07%
ETF DERIVATIVE INCOME
Benchmark (^GSPC)
Portfolio components

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, 202240Oct 12, 2022117Mar 31, 2023157
-10.87%May 5, 202230Jun 16, 202240Aug 15, 202270
-2.55%Aug 1, 202314Aug 18, 20238Aug 30, 202322
-1.57%May 2, 20233May 4, 20239May 17, 202312
-1.54%May 19, 20234May 24, 20236Jun 2, 202310

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.


1.00%2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
2.51%
3.47%
ETF DERIVATIVE INCOME
Benchmark (^GSPC)
Portfolio components