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Income

Last updated Nov 13, 2024

Asset Allocation

JEPQ 33.33%SPYI 33.33%JEPI 33.33%EquityEquity
PositionCategory/SectorWeight
JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
33.33%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
33.33%
SPYI
NEOS S&P 500 High Income ETF		Large Cap Blend Equities, Dividend
33.33%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Income, 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%JuneJulyAugustSeptemberOctoberNovember
10.85%
14.06%
Income
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 30, 2022, corresponding to the inception date of SPYI

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
Income19.83%2.27%10.28%23.83%N/AN/A
Portfolio components:
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		23.36%3.75%10.50%28.13%N/AN/A
SPYI
NEOS S&P 500 High Income ETF		20.23%1.96%11.48%24.04%N/AN/A
JEPI
JPMorgan Equity Premium Income ETF		15.79%1.08%8.72%19.22%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.18%3.36%2.32%-3.13%3.71%1.95%0.23%2.28%2.06%-0.20%19.83%
20234.07%-1.25%4.16%2.37%1.31%3.34%2.27%-0.27%-3.46%-1.05%5.72%2.46%21.08%
2022-0.61%-7.66%5.93%5.03%-4.00%-1.98%

Expense Ratio

Income features an expense ratio of 0.46%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SPYI
NEOS S&P 500 High Income ETF
Expense ratio chart for SPYI: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
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%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Income is 66, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Income is 6666
Combined Rank
The Sharpe Ratio Rank of Income is 5959Sharpe Ratio Rank
The Sortino Ratio Rank of Income is 5959Sortino Ratio Rank
The Omega Ratio Rank of Income is 8686Omega Ratio Rank
The Calmar Ratio Rank of Income is 5858Calmar Ratio Rank
The Martin Ratio Rank of Income is 6868Martin 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.

Income
Sharpe ratio
The chart of Sharpe ratio for Income, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Sortino ratio
The chart of Sortino ratio for Income, currently valued at 3.73, compared to the broader market-2.000.002.004.006.003.73
Omega ratio
The chart of Omega ratio for Income, currently valued at 1.60, compared to the broader market0.801.001.201.401.601.802.001.60
Calmar ratio
The chart of Calmar ratio for Income, currently valued at 3.63, compared to the broader market0.005.0010.0015.003.63
Martin ratio
The chart of Martin ratio for Income, currently valued at 18.37, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.37
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		2.383.111.492.7111.74
SPYI
NEOS S&P 500 High Income ETF		2.723.641.593.7718.93
JEPI
JPMorgan Equity Premium Income ETF		2.874.001.585.2020.34

Sharpe Ratio

The current Income Sharpe ratio is 2.78. 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 2.07 to 2.97, 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 Income 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.78
2.90
Income
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Income provided a 9.32% dividend yield over the last twelve months.

TTM2023202220212020
Portfolio9.32%10.14%8.41%2.20%1.93%
Portfolio components:
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		9.35%10.02%9.44%0.00%0.00%
SPYI
NEOS S&P 500 High Income ETF		11.54%12.01%4.10%0.00%0.00%
JEPI
JPMorgan Equity Premium Income ETF		7.07%8.40%11.67%6.59%5.79%

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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.06%
-0.29%
Income
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Income. 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 Income was 10.70%, occurring on Oct 12, 2022. Recovery took 77 trading sessions.

The current Income drawdown is 0.06%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-10.7%Sep 13, 202222Oct 12, 202277Feb 2, 202399
-6.82%Jul 17, 202414Aug 5, 202414Aug 23, 202428
-6.69%Sep 15, 202331Oct 27, 202317Nov 21, 202348
-4.58%Apr 1, 202415Apr 19, 202417May 14, 202432
-4.43%Feb 16, 202316Mar 10, 202313Mar 29, 202329

Volatility

Volatility Chart

The current Income volatility is 2.56%, 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%6.00%JuneJulyAugustSeptemberOctoberNovember
2.56%
3.86%
Income
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.
JEPIJEPQSPYI
JEPI1.000.700.80
JEPQ0.701.000.88
SPYI0.800.881.00
The correlation results are calculated based on daily price changes starting from Aug 31, 2022