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…HI.beta.TEST#1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

…HI.beta.TEST#1

Last updated May 4, 2024

JEPI70% TIPS15% FNGO15%

Asset Allocation

TIP 15%JEPI 70%FNGO 15%BondBondEquityEquity
PositionCategory/SectorWeight
FNGO
MicroSectors FANG+ Index 2X Leveraged ETN		Leveraged Equities, Leveraged

15%

JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income

70%

TIP
iShares TIPS Bond ETF		Inflation-Protected Bonds

15%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in …HI.beta.TEST#1, 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

50.00%60.00%70.00%80.00%90.00%December2024FebruaryMarchAprilMay
87.36%
73.91%
…HI.beta.TEST#1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 21, 2020, corresponding to the inception date of JEPI

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		7.50%-1.61%17.65%26.26%11.73%10.64%
…HI.beta.TEST#16.84%-1.06%15.41%25.85%N/AN/A
Portfolio components:
JEPI
JPMorgan Equity Premium Income ETF		4.29%-1.23%8.61%11.70%N/AN/A
TIP
iShares TIPS Bond ETF		-0.74%-0.05%2.60%-0.93%2.16%1.80%
FNGO
MicroSectors FANG+ Index 2X Leveraged ETN		26.49%-1.32%63.72%144.13%43.38%N/A

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
20242.12%4.46%1.75%-3.08%
2023-1.48%7.80%3.73%

Expense Ratio

…HI.beta.TEST#1 has a high expense ratio of 0.42%, 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.

FNGO
MicroSectors FANG+ Index 2X Leveraged ETN
Expense ratio chart for FNGO: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
JEPI
JPMorgan Equity Premium Income ETF
Expense ratio chart for JEPI: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
TIP
iShares TIPS Bond ETF
Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

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.

…HI.beta.TEST#1
Sharpe ratio
The chart of Sharpe ratio for …HI.beta.TEST#1, currently valued at 2.28, compared to the broader market0.002.004.002.28
Sortino ratio
The chart of Sortino ratio for …HI.beta.TEST#1, currently valued at 3.19, compared to the broader market-2.000.002.004.006.003.19
Omega ratio
The chart of Omega ratio for …HI.beta.TEST#1, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for …HI.beta.TEST#1, currently valued at 2.94, compared to the broader market0.002.004.006.008.0010.002.94
Martin ratio
The chart of Martin ratio for …HI.beta.TEST#1, currently valued at 10.24, compared to the broader market0.0010.0020.0030.0040.0050.0010.24
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market0.002.004.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.65, compared to the broader market0.002.004.006.008.0010.001.65
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.41, compared to the broader market0.0010.0020.0030.0040.0050.008.41
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JEPI
JPMorgan Equity Premium Income ETF		1.542.171.281.666.59
TIP
iShares TIPS Bond ETF		-0.16-0.200.98-0.07-0.37
FNGO
MicroSectors FANG+ Index 2X Leveraged ETN		3.133.321.422.5914.31

Sharpe Ratio

The current …HI.beta.TEST#1 Sharpe ratio is 2.28. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.50 to 2.48, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of …HI.beta.TEST#1 with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
2.28
2.17
…HI.beta.TEST#1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

…HI.beta.TEST#1 granted a 5.63% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
…HI.beta.TEST#15.63%6.29%9.22%5.25%4.23%0.26%0.41%0.31%0.22%0.05%0.25%0.17%
Portfolio components:
JEPI
JPMorgan Equity Premium Income ETF		7.43%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TIP
iShares TIPS Bond ETF		2.83%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
FNGO
MicroSectors FANG+ Index 2X Leveraged ETN		0.00%0.00%0.00%0.00%0.00%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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-1.57%
-2.41%
…HI.beta.TEST#1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the …HI.beta.TEST#1. 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 …HI.beta.TEST#1 was 24.05%, occurring on Oct 14, 2022. Recovery took 160 trading sessions.

The current …HI.beta.TEST#1 drawdown is 1.57%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.05%Dec 31, 2021199Oct 14, 2022160Jun 6, 2023359
-8.76%Jul 20, 202371Oct 27, 202318Nov 22, 202389
-7.96%Sep 3, 202014Sep 23, 202044Nov 24, 202058
-6.18%Feb 17, 202112Mar 4, 202121Apr 5, 202133
-5.52%Sep 7, 202120Oct 4, 202111Oct 19, 202131

Volatility

Volatility Chart

The current …HI.beta.TEST#1 volatility is 4.01%, 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.

1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%December2024FebruaryMarchAprilMay
4.01%
4.10%
…HI.beta.TEST#1
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
TIPFNGOJEPI
TIP1.000.150.19
FNGO0.151.000.50
JEPI0.190.501.00