JEFF
Asset Allocation
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
Returns
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 0.33% | 11.48% | 14.66% | 16.16% | 1.72% | N/A |
| JEFF | 0.70% | 8.00% | 12.06% | 13.28% | 4.73% | N/A |
| Portfolio components: | ||||||
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 |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| JPST | JEPI | DIA | JEPQ | QQQ | FXAIX | SPY | |
|---|---|---|---|---|---|---|---|
| JPST | 1.00 | 0.00 | 0.03 | 0.06 | 0.08 | 0.05 | 0.06 |
| JEPI | 0.00 | 1.00 | 0.91 | 0.74 | 0.70 | 0.85 | 0.85 |
| DIA | 0.03 | 0.91 | 1.00 | 0.79 | 0.79 | 0.92 | 0.92 |
| JEPQ | 0.06 | 0.74 | 0.79 | 1.00 | 0.97 | 0.93 | 0.93 |
| QQQ | 0.08 | 0.70 | 0.79 | 0.97 | 1.00 | 0.95 | 0.94 |
| FXAIX | 0.05 | 0.85 | 0.92 | 0.93 | 0.95 | 1.00 | 1.00 |
| SPY | 0.06 | 0.85 | 0.92 | 0.93 | 0.94 | 1.00 | 1.00 |
Dividend yield
JEFF granted a 5.14% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| JEFF | 5.14% | 4.21% | 1.41% | 1.79% | 1.75% | 1.60% | 1.01% | 0.65% | 0.68% | 0.66% | 0.60% | 0.74% |
| Portfolio components: | ||||||||||||
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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer 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.
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, 2022 | 40 | Oct 12, 2022 | 125 | Apr 13, 2023 | 165 |
| -7.81% | May 5, 2022 | 30 | Jun 16, 2022 | 39 | Aug 12, 2022 | 69 |
| -2.35% | Aug 1, 2023 | 13 | Aug 17, 2023 | — | — | — |
| -1.02% | May 1, 2023 | 4 | May 4, 2023 | 4 | May 10, 2023 | 8 |
| -0.94% | Apr 20, 2023 | 4 | Apr 25, 2023 | 2 | Apr 27, 2023 | 6 |
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.