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JEFF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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
DIA
SPDR Dow Jones Industrial Average ETF
Large Cap Growth Equities

2.60%

FXAIX
Fidelity 500 Index Fund
Large Cap Blend Equities

3.70%

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

9.60%

JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
Actively Managed, Dividend, Derivative Income

17.30%

JPST
JPMorgan Ultra-Short Income ETF
Money Market, Actively Managed

42.90%

QQQ
Invesco QQQ
Large Cap Blend Equities

6.10%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

17.80%

S&P 500

Performance

Performance Chart

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%2024FebruaryMarchAprilMayJune
9.05%
15.17%
JEFF
Benchmark (^GSPC)
Portfolio components

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

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.65%3.82%15.17%24.08%13.46%10.86%
JEFF8.21%2.05%9.06%16.08%N/AN/A
JEPI
JPMorgan Equity Premium Income ETF
5.61%-0.51%5.88%11.38%N/AN/A
JPST
JPMorgan Ultra-Short Income ETF
2.50%0.52%2.86%6.03%2.51%N/A
DIA
SPDR Dow Jones Industrial Average ETF
3.55%-1.57%5.21%15.27%10.36%11.08%
SPY
SPDR S&P 500 ETF
14.25%3.93%15.89%25.77%15.23%12.83%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
14.60%3.74%15.45%27.40%N/AN/A
QQQ
Invesco QQQ
15.94%7.01%17.89%31.40%21.90%18.79%
FXAIX
Fidelity 500 Index Fund
14.38%3.98%15.99%25.98%15.34%12.99%

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
20241.40%2.64%1.69%-1.92%2.80%8.21%
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 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.


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%
Expense ratio chart for JEPQ: 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%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for JPST: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for DIA: current value at 0.16% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.16%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for FXAIX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of JEFF is 89, placing it in the top 11% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of JEFF is 8989
JEFF
The Sharpe Ratio Rank of JEFF is 8787Sharpe Ratio Rank
The Sortino Ratio Rank of JEFF is 8989Sortino Ratio Rank
The Omega Ratio Rank of JEFF is 9292Omega Ratio Rank
The Calmar Ratio Rank of JEFF is 8989Calmar Ratio Rank
The Martin Ratio Rank of JEFF is 8787Martin 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.


JEFF
Sharpe ratio
The chart of Sharpe ratio for JEFF, currently valued at 2.75, compared to the broader market0.002.004.006.002.75
Sortino ratio
The chart of Sortino ratio for JEFF, currently valued at 3.98, compared to the broader market-2.000.002.004.006.003.98
Omega ratio
The chart of Omega ratio for JEFF, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.801.53
Calmar ratio
The chart of Calmar ratio for JEFF, currently valued at 3.97, compared to the broader market0.002.004.006.008.0010.003.97
Martin ratio
The chart of Martin ratio for JEFF, currently valued at 14.60, compared to the broader market0.0010.0020.0030.0040.0050.0014.60
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.20, compared to the broader market0.002.004.006.002.20
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.12, compared to the broader market-2.000.002.004.006.003.12
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.76, compared to the broader market0.002.004.006.008.0010.001.76
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.26, compared to the broader market0.0010.0020.0030.0040.0050.008.26

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JEPI
JPMorgan Equity Premium Income ETF
1.632.291.301.726.80
JPST
JPMorgan Ultra-Short Income ETF
12.3234.897.5375.88481.11
DIA
SPDR Dow Jones Industrial Average ETF
1.602.301.281.845.73
SPY
SPDR S&P 500 ETF
2.363.321.412.679.19
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
2.523.391.484.1715.62
QQQ
Invesco QQQ
2.062.831.353.019.74
FXAIX
Fidelity 500 Index Fund
2.373.351.422.719.34

Sharpe Ratio

The current JEFF Sharpe ratio is 2.75. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.47 to 2.38, this portfolio's current Sharpe ratio 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.

Use the chart below to compare the Sharpe ratio of JEFF 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 Ratio1.502.002.503.003.502024FebruaryMarchAprilMayJune
2.75
2.20
JEFF
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

JEFF granted a 4.81% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
JEFF4.81%4.98%3.99%1.27%1.58%1.64%1.46%0.91%0.58%0.59%0.57%0.51%
JEPI
JPMorgan Equity Premium Income ETF
7.38%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
JPST
JPMorgan Ultra-Short Income ETF
5.20%4.79%1.83%0.73%1.43%2.69%2.07%0.96%0.00%0.00%0.00%0.00%
DIA
SPDR Dow Jones Industrial Average ETF
1.74%1.81%1.91%1.58%1.87%2.09%2.24%1.97%2.26%2.33%2.02%2.08%
SPY
SPDR S&P 500 ETF
1.24%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
8.83%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
FXAIX
Fidelity 500 Index Fund
1.28%1.45%1.69%1.22%1.60%2.06%2.72%1.97%2.52%2.83%2.63%1.84%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune00
JEFF
Benchmark (^GSPC)
Portfolio components

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 9.44%, occurring on Oct 12, 2022. Recovery took 125 trading sessions.


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
-4.12%Aug 1, 202363Oct 27, 202312Nov 14, 202375
-2.89%Mar 28, 202416Apr 19, 202414May 9, 202430
-1.02%May 1, 20234May 4, 20234May 10, 20238

Volatility

Volatility Chart

The current JEFF volatility is 1.15%, 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%2024FebruaryMarchAprilMayJune
1.15%
2.51%
JEFF
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.

JPSTJEPIDIAJEPQQQQFXAIXSPY
JPST1.000.060.090.110.120.110.11
JEPI0.061.000.890.720.680.840.84
DIA0.090.891.000.750.750.900.90
JEPQ0.110.720.751.000.970.920.92
QQQ0.120.680.750.971.000.940.94
FXAIX0.110.840.900.920.941.001.00
SPY0.110.840.900.920.941.001.00
The correlation results are calculated based on daily price changes starting from May 5, 2022