# ETF DERIVATIVE INCOME

### Asset Allocation

Position | Category/Sector | Weight |
---|---|---|

JPMorgan Equity Premium Income ETF | Actively Managed, Dividend, Derivative Income | 75% |

JPMorgan Nasdaq Equity Premium Income ETF | Actively Managed, Dividend, Derivative Income | 25% |

## Performance

### Performance Chart

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

The earliest data available for this chart is May 4, 2022, corresponding to the inception date of JEPQ

### Returns By Period

Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|

S&P 500 | 12.69% | 2.92% | 15.76% | 23.89% | 13.23% | 10.77% |

ETF DERIVATIVE INCOME | 7.79% | 0.53% | 8.20% | 15.21% | N/A | N/A |

Portfolio components: | ||||||

JPMorgan Equity Premium Income ETF | 5.78% | -0.35% | 6.05% | 11.56% | N/A | N/A |

JPMorgan Nasdaq Equity Premium Income ETF | 13.97% | 3.17% | 14.82% | 26.70% | 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 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|

2024 | 2.09% | 2.85% | 2.21% | -2.88% | 2.90% | 7.79% | |||||||

2023 | 2.91% | -1.86% | 3.51% | 2.36% | -0.22% | 3.12% | 1.98% | -0.03% | -3.13% | -1.00% | 5.45% | 2.26% | 16.10% |

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 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

### Risk-Adjusted Performance Rank

The current rank of **ETF DERIVATIVE INCOME** is **71**, 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.

###### ETF DERIVATIVE INCOME

### 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 | |
---|---|---|---|---|---|

JPMorgan Equity Premium Income ETF | 1.68 | 2.36 | 1.31 | 1.78 | 7.00 |

JPMorgan Nasdaq Equity Premium Income ETF | 2.53 | 3.40 | 1.48 | 4.18 | 15.66 |

## Dividends

### Dividend yield

**ETF DERIVATIVE INCOME** granted a **7.74%** dividend yield in the last twelve months.

TTM | 2023 | 2022 | 2021 | 2020 | |
---|---|---|---|---|---|

ETF DERIVATIVE INCOME | 7.74% | 8.80% | 11.12% | 4.94% | 4.34% |

Portfolio components: | |||||

JPMorgan Equity Premium Income ETF | 7.36% | 8.40% | 11.68% | 6.59% | 5.79% |

JPMorgan Nasdaq Equity Premium Income ETF | 8.88% | 10.02% | 9.44% | 0.00% | 0.00% |

## Drawdowns

### Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

### 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 **11.86%**, occurring on **Oct 12, 2022**. Recovery took 117 trading sessions.

The current ETF DERIVATIVE INCOME drawdown is **0.19%**.

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 |

-6.55% | Sep 15, 2023 | 31 | Oct 27, 2023 | 17 | Nov 21, 2023 | 48 |

-4.07% | Apr 1, 2024 | 15 | Apr 19, 2024 | 17 | May 14, 2024 | 32 |

-2.55% | Aug 1, 2023 | 14 | Aug 18, 2023 | 8 | Aug 30, 2023 | 22 |

## Volatility

### Volatility Chart

The current ETF DERIVATIVE INCOME volatility is **1.41%**, 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 | JEPQ | |
---|---|---|

JEPI | 1.00 | 0.72 |

JEPQ | 0.72 | 1.00 |