ETF DERIVATIVE INCOME
Asset Allocation
Position | Category/Sector | Target Weight |
---|---|---|
JEPI JPMorgan Equity Premium Income ETF | Actively Managed, Dividend, Derivative Income | 75% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | Actively Managed, Dividend, Derivative Income | 25% |
Performance
Performance Chart
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The earliest data available for this chart is May 4, 2022, corresponding to the inception date of JEPQ
Returns By Period
YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 7.44% | -5.60% | 8.37% | 14.12% | 10.46% |
ETF DERIVATIVE INCOME | -1.63% | 5.49% | -3.36% | 6.08% | N/A | N/A |
Portfolio components: | ||||||
JEPI JPMorgan Equity Premium Income ETF | -0.61% | 5.02% | -3.46% | 5.33% | N/A | N/A |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | -4.81% | 6.91% | -3.46% | 7.71% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of ETF DERIVATIVE INCOME, 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 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2025 | 2.36% | 0.53% | -4.12% | -1.46% | 1.19% | -1.63% | |||||||
2024 | 2.09% | 2.85% | 2.21% | -2.88% | 2.90% | 1.11% | 0.89% | 2.53% | 2.05% | -0.45% | 4.63% | -2.97% | 15.68% |
2023 | 2.91% | -1.86% | 3.51% | 2.36% | -0.21% | 3.12% | 1.98% | -0.03% | -3.13% | -1.00% | 5.45% | 2.26% | 16.09% |
2022 | -2.54% | -4.30% | 5.61% | -3.50% | -6.98% | 6.77% | 5.20% | -2.97% | -3.63% |
Expense Ratio
ETF DERIVATIVE INCOME has an expense ratio of 0.35%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of ETF DERIVATIVE INCOME is 32, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | |
---|---|---|---|---|---|
JEPI JPMorgan Equity Premium Income ETF | 0.40 | 0.72 | 1.12 | 0.47 | 2.02 |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 0.39 | 0.70 | 1.11 | 0.41 | 1.46 |
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Dividends
Dividend yield
ETF DERIVATIVE INCOME provided a 8.93% dividend yield over the last twelve months.
TTM | 2024 | 2023 | 2022 | 2021 | 2020 | |
---|---|---|---|---|---|---|
Portfolio | 8.93% | 7.91% | 8.80% | 11.12% | 4.94% | 4.35% |
Portfolio components: | ||||||
JEPI JPMorgan Equity Premium Income ETF | 8.07% | 7.33% | 8.40% | 11.67% | 6.59% | 5.79% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 11.50% | 9.66% | 10.02% | 9.44% | 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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the ETF DERIVATIVE INCOME. 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 ETF DERIVATIVE INCOME was 14.97%, occurring on Apr 8, 2025. The portfolio has not yet recovered.
The current ETF DERIVATIVE INCOME drawdown is 5.80%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-14.97% | Feb 20, 2025 | 34 | Apr 8, 2025 | — | — | — |
-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 |
-6.55% | Sep 15, 2023 | 31 | Oct 27, 2023 | 17 | Nov 21, 2023 | 48 |
-5.18% | Jul 17, 2024 | 14 | Aug 5, 2024 | 10 | Aug 19, 2024 | 24 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 2 assets, with an effective number of assets of 1.60, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
^GSPC | JEPQ | JEPI | Portfolio | |
---|---|---|---|---|
^GSPC | 1.00 | 0.93 | 0.83 | 0.92 |
JEPQ | 0.93 | 1.00 | 0.71 | 0.86 |
JEPI | 0.83 | 0.71 | 1.00 | 0.96 |
Portfolio | 0.92 | 0.86 | 0.96 | 1.00 |