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JEFF

Last updated Sep 21, 2023

Asset Allocation


JPST 42.9%SPY 17.8%JEPQ 17.3%JEPI 9.6%QQQ 6.1%FXAIX 3.7%DIA 2.6%BondBondEquityEquity
PositionCategory/SectorWeight
JPST
JPMorgan Ultra-Short Income ETF
Money Market, Actively Managed42.9%
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities17.8%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
Actively Managed, Large Cap Growth Equities, Dividend17.3%
JEPI
JPMorgan Equity Premium Income ETF
Large Cap Blend Equities, Actively Managed, Dividend9.6%
QQQ
Invesco QQQ
Large Cap Blend Equities6.1%
FXAIX
Fidelity 500 Index Fund
Large Cap Blend Equities3.7%
DIA
SPDR Dow Jones Industrial Average ETF
Large Cap Growth Equities2.6%

Performance

The chart shows the growth of an initial investment of $10,000 in JEFF, 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
7.67%
10.86%
JEFF
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%1.72%N/A
JEFF0.70%8.00%12.06%13.28%4.73%N/A
JEPI
JPMorgan Equity Premium Income ETF
1.48%8.31%6.73%13.72%4.53%N/A
JPST
JPMorgan Ultra-Short Income ETF
0.43%1.92%3.05%4.19%3.33%N/A
DIA
SPDR Dow Jones Industrial Average ETF
0.66%8.38%5.49%16.37%2.99%N/A
SPY
SPDR S&P 500 ETF
0.46%12.37%15.97%18.06%3.42%N/A
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
1.25%13.95%25.77%23.21%6.88%N/A
QQQ
Invesco QQQ
0.46%18.02%37.50%29.43%8.44%N/A
FXAIX
Fidelity 500 Index Fund
0.49%12.36%16.04%18.10%3.49%N/A

Asset Correlations Table

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

JPSTJEPIDIAJEPQQQQFXAIXSPY
JPST1.000.000.030.060.080.050.06
JEPI0.001.000.910.740.700.850.85
DIA0.030.911.000.790.790.920.92
JEPQ0.060.740.791.000.970.930.93
QQQ0.080.700.790.971.000.950.94
FXAIX0.050.850.920.930.951.001.00
SPY0.060.850.920.930.941.001.00

Sharpe Ratio

The current JEFF Sharpe ratio is 1.28. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.28

The Sharpe ratio of JEFF is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.000.501.001.50May 14May 21May 28Jun 04Jun 11Jun 18Jun 25Jul 02Jul 09Jul 16Jul 23Jul 30Aug 06Aug 13Aug 20Aug 27Sep 03Sep 10Sep 17
1.28
0.74
JEFF
Benchmark (^GSPC)
Portfolio components

Dividend yield

JEFF granted a 5.14% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
JEFF5.14%4.21%1.41%1.79%1.75%1.60%1.01%0.65%0.68%0.66%0.60%0.74%
JEPI
JPMorgan Equity Premium Income ETF
9.73%12.35%7.80%7.35%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JPST
JPMorgan Ultra-Short Income ETF
4.17%1.88%0.76%1.52%2.88%2.28%1.08%0.00%0.00%0.00%0.00%0.00%
DIA
SPDR Dow Jones Industrial Average ETF
1.94%1.94%1.64%1.97%2.24%2.46%2.21%2.59%2.75%2.43%2.55%3.19%
SPY
SPDR S&P 500 ETF
1.48%1.67%1.24%1.58%1.85%2.21%1.98%2.28%2.37%2.18%2.17%2.65%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
11.60%10.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.59%0.81%0.43%0.56%0.76%0.94%0.87%1.11%1.05%1.51%1.10%1.39%
FXAIX
Fidelity 500 Index Fund
1.54%1.71%1.25%1.66%2.18%2.95%2.19%2.85%3.29%3.15%2.26%2.74%

Expense Ratio

The JEFF has a high expense ratio of 0.20%, 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%
0.20%
0.00%2.15%
0.18%
0.00%2.15%
0.16%
0.00%2.15%
0.09%
0.00%2.15%
0.02%
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
JPST
JPMorgan Ultra-Short Income ETF
6.75
DIA
SPDR Dow Jones Industrial Average ETF
0.90
SPY
SPDR S&P 500 ETF
0.84
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
1.27
QQQ
Invesco QQQ
1.14
FXAIX
Fidelity 500 Index Fund
0.85

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
-1.29%
-4.07%
JEFF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the JEFF. 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 JEFF is 9.44%, recorded on Oct 12, 2022. It took 125 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.44%Aug 17, 202240Oct 12, 2022125Apr 13, 2023165
-7.81%May 5, 202230Jun 16, 202239Aug 12, 202269
-2.35%Aug 1, 202313Aug 17, 2023
-1.02%May 1, 20234May 4, 20234May 10, 20238
-0.94%Apr 20, 20234Apr 25, 20232Apr 27, 20236

Volatility Chart

The current JEFF volatility is 1.97%, 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
1.97%
3.47%
JEFF
Benchmark (^GSPC)
Portfolio components