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JEFF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


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


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
JEFF-1.20%4.15%-1.41%7.21%N/AN/A
JEPI
JPMorgan Equity Premium Income ETF
-0.61%5.02%-3.46%5.33%N/AN/A
JPST
JPMorgan Ultra-Short Income ETF
1.69%0.58%2.35%5.34%3.07%N/A
DIA
SPDR Dow Jones Industrial Average ETF
-2.66%4.28%-5.56%6.05%13.31%10.89%
SPY
SPDR S&P 500 ETF
-3.42%7.58%-5.06%9.73%15.77%12.35%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
-4.81%6.91%-3.46%7.71%N/AN/A
QQQ
Invesco QQQ
-4.41%9.37%-4.80%11.06%17.35%17.24%
FXAIX
Fidelity 500 Index Fund
-3.38%7.51%-5.01%9.78%15.87%12.44%
*Annualized

Monthly Returns

The table below presents the monthly returns of JEFF, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.60%-0.46%-3.10%-0.16%0.97%-1.20%
20241.40%2.64%1.69%-1.92%2.80%1.98%0.34%1.41%1.55%-0.23%3.35%-0.80%15.02%
20233.53%-0.93%3.06%1.28%1.15%2.86%1.93%-0.31%-2.19%-0.66%4.92%2.51%18.28%
2022-2.16%-3.89%4.85%-2.42%-5.05%3.85%3.38%-3.05%-4.92%

Expense Ratio

JEFF has an expense ratio of 0.20%, which is considered low. 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 JEFF is 61, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of JEFF is 6161
Overall Rank
The Sharpe Ratio Rank of JEFF is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of JEFF is 5858
Sortino Ratio Rank
The Omega Ratio Rank of JEFF is 6666
Omega Ratio Rank
The Calmar Ratio Rank of JEFF is 5959
Calmar Ratio Rank
The Martin Ratio Rank of JEFF is 5959
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JEPI
JPMorgan Equity Premium Income ETF
0.400.721.120.472.02
JPST
JPMorgan Ultra-Short Income ETF
8.8017.474.1018.14129.60
DIA
SPDR Dow Jones Industrial Average ETF
0.380.781.110.491.73
SPY
SPDR S&P 500 ETF
0.500.881.130.562.17
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
0.390.701.110.411.46
QQQ
Invesco QQQ
0.450.811.110.511.65
FXAIX
Fidelity 500 Index Fund
0.520.881.130.562.18

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

JEFF Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.70
  • All Time: 0.87

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of JEFF compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

JEFF provided a 5.22% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio5.22%4.92%4.98%3.99%1.27%1.58%1.64%1.46%0.91%0.58%0.59%0.57%
JEPI
JPMorgan Equity Premium Income ETF
8.07%7.33%8.40%11.67%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%
JPST
JPMorgan Ultra-Short Income ETF
4.91%5.16%4.79%1.83%0.73%1.43%2.69%2.07%0.96%0.00%0.00%0.00%
DIA
SPDR Dow Jones Industrial Average ETF
1.62%1.61%1.81%1.91%1.58%1.87%2.09%2.24%1.97%2.26%2.33%2.02%
SPY
SPDR S&P 500 ETF
1.27%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
11.50%9.66%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.61%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%
FXAIX
Fidelity 500 Index Fund
1.32%1.25%1.45%1.69%1.22%1.60%2.06%2.72%1.97%2.52%2.83%2.63%

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 JEFF. 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 JEFF was 10.66%, occurring on Apr 8, 2025. The portfolio has not yet recovered.

The current JEFF drawdown is 4.03%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-10.66%Feb 20, 202534Apr 8, 2025
-9.44%Aug 17, 202240Oct 12, 2022125Apr 13, 2023165
-7.81%May 5, 202230Jun 16, 202239Aug 12, 202269
-4.68%Jul 17, 202414Aug 5, 202419Aug 30, 202433
-4.12%Aug 1, 202363Oct 27, 202312Nov 14, 202375

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 7 assets, with an effective number of assets of 3.84, 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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCJPSTJEPIDIAJEPQQQQFXAIXSPYPortfolio
^GSPC1.000.090.830.870.930.941.001.000.99
JPST0.091.000.070.080.090.090.100.100.13
JEPI0.830.071.000.890.710.670.830.830.82
DIA0.870.080.891.000.730.730.870.880.85
JEPQ0.930.090.710.731.000.970.930.930.96
QQQ0.940.090.670.730.971.000.940.940.96
FXAIX1.000.100.830.870.930.941.001.000.99
SPY1.000.100.830.880.930.941.001.000.99
Portfolio0.990.130.820.850.960.960.990.991.00
The correlation results are calculated based on daily price changes starting from May 5, 2022