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Jura Ena 4
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Jura Ena 4

Last updated Sep 21, 2024

Asset Allocation

SVIX 8.5%SPAXX 15%SEIX 2.4%FLRT 1.5%QLD 8.5%DBEF 8.5%SSO 8.5%SPY 8.5%QQQ 7.5%GBTC 7%SCHD 6.6%MSFT 6%JEPQ 3.5%UPRO 2.75%TQQQ 2.75%DIVI 2.5%AlternativesAlternativesBondBondEquityEquity
PositionCategory/SectorWeight
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		Hedge Fund
8.50%
DIVI
Franklin International Core Dividend Tilt Index ETF		Foreign Large Cap Equities
2.50%
FLRT
Pacific Global Senior Loan ETF		High Yield Bonds, Actively Managed
1.50%
GBTC
Grayscale Bitcoin Trust (BTC)		Financial Services
7%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
3.50%
MSFT
Microsoft Corporation		Technology
6%
QLD
ProShares Ultra QQQ		Leveraged Equities, Leveraged
8.50%
QQQ
Invesco QQQ		Large Cap Blend Equities
7.50%
SCHD
Schwab US Dividend Equity ETF		Large Cap Growth Equities, Dividend
6.60%
SEIX
Virtus Seix Senior Loan ETF		Total Bond Market, Actively Managed
2.40%
SPAXX
Fidelity Government Money Market Fund		Money Market
15%
SPY
SPDR S&P 500 ETF		Large Cap Growth Equities
8.50%
SSO
ProShares Ultra S&P 500		Leveraged Equities, Leveraged
8.50%
SVIX
Volatility Shares -1x Short VIX Futures ETF		Inverse Equities
8.50%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
2.75%
UPRO
ProShares UltraPro S&P 500		Leveraged Equities, Leveraged
2.75%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Jura Ena 4, 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

-10.00%-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
3.03%
8.95%
Jura Ena 4
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		19.55%1.45%8.95%31.70%13.79%11.17%
Jura Ena 417.63%1.86%3.02%40.66%N/AN/A
Portfolio components:
UPRO
ProShares UltraPro S&P 500		54.21%5.85%20.36%100.71%25.14%24.34%
SVIX
Volatility Shares -1x Short VIX Futures ETF		-24.97%-4.36%-32.55%-1.46%N/AN/A
SPAXX
Fidelity Government Money Market Fund		0.86%0.00%0.00%2.11%1.48%0.78%
SEIX
Virtus Seix Senior Loan ETF		5.51%0.73%3.60%8.71%5.39%N/A
FLRT
Pacific Global Senior Loan ETF		6.80%0.82%4.19%10.60%5.16%N/A
DIVI
Franklin International Core Dividend Tilt Index ETF		9.83%1.00%5.38%20.28%9.22%N/A
SCHD
Schwab US Dividend Equity ETF		13.02%2.60%7.55%21.93%12.91%11.59%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		16.26%2.77%5.51%28.08%N/AN/A
TQQQ
ProShares UltraPro QQQ		39.35%2.56%12.40%99.19%35.50%35.04%
QLD
ProShares Ultra QQQ		29.59%2.25%11.20%66.20%32.18%29.11%
MSFT
Microsoft Corporation		16.38%4.75%1.89%38.34%26.77%27.08%
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		12.48%0.46%2.05%18.18%10.63%8.70%
SSO
ProShares Ultra S&P 500		36.84%4.18%15.20%64.52%22.75%20.15%
SPY
SPDR S&P 500 ETF		20.68%2.48%9.71%33.81%15.56%13.12%
GBTC
Grayscale Bitcoin Trust (BTC)		44.51%4.10%-12.20%164.71%31.40%N/A
QQQ
Invesco QQQ		18.15%1.60%8.25%35.53%21.22%18.16%

Monthly Returns

The table below presents the monthly returns of Jura Ena 4, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.40%8.53%3.89%-5.76%6.97%3.31%-1.23%-1.50%17.63%
202312.38%-2.19%8.79%2.70%2.37%11.34%3.60%-1.69%-4.89%0.55%12.44%6.38%63.08%
2022-6.86%-10.66%12.52%-5.88%-11.18%7.23%5.53%-6.41%-17.12%

Expense Ratio

Jura Ena 4 features an expense ratio of 0.43%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SVIX
Volatility Shares -1x Short VIX Futures ETF
Expense ratio chart for SVIX: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%
UPRO
ProShares UltraPro S&P 500
Expense ratio chart for UPRO: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%
TQQQ
ProShares UltraPro QQQ
Expense ratio chart for TQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
QLD
ProShares Ultra QQQ
Expense ratio chart for QLD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
SSO
ProShares Ultra S&P 500
Expense ratio chart for SSO: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
FLRT
Pacific Global Senior Loan ETF
Expense ratio chart for FLRT: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
SEIX
Virtus Seix Senior Loan ETF
Expense ratio chart for SEIX: current value at 0.57% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.57%
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF
Expense ratio chart for DBEF: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
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%
QQQ
Invesco QQQ
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%
DIVI
Franklin International Core Dividend Tilt Index ETF
Expense ratio chart for DIVI: 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%
SCHD
Schwab US Dividend Equity ETF
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
SPY
SPDR S&P 500 ETF
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Jura Ena 4 is 54, 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 Jura Ena 4 is 5454
Jura Ena 4
The Sharpe Ratio Rank of Jura Ena 4 is 6363Sharpe Ratio Rank
The Sortino Ratio Rank of Jura Ena 4 is 4242Sortino Ratio Rank
The Omega Ratio Rank of Jura Ena 4 is 6464Omega Ratio Rank
The Calmar Ratio Rank of Jura Ena 4 is 6868Calmar Ratio Rank
The Martin Ratio Rank of Jura Ena 4 is 3333Martin 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.

Jura Ena 4
Sharpe ratio
The chart of Sharpe ratio for Jura Ena 4, currently valued at 2.34, compared to the broader market-1.000.001.002.003.004.002.34
Sortino ratio
The chart of Sortino ratio for Jura Ena 4, currently valued at 2.85, compared to the broader market-2.000.002.004.006.002.85
Omega ratio
The chart of Omega ratio for Jura Ena 4, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for Jura Ena 4, currently valued at 2.64, compared to the broader market0.002.004.006.008.0010.002.64
Martin ratio
The chart of Martin ratio for Jura Ena 4, currently valued at 10.53, compared to the broader market0.0010.0020.0030.0040.0010.53
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UPRO
ProShares UltraPro S&P 500		2.883.211.443.3616.52
SVIX
Volatility Shares -1x Short VIX Futures ETF		0.060.561.100.070.24
SPAXX
Fidelity Government Money Market Fund		2.27————
SEIX
Virtus Seix Senior Loan ETF		3.144.641.846.9622.98
FLRT
Pacific Global Senior Loan ETF		6.9011.893.2815.6569.50
DIVI
Franklin International Core Dividend Tilt Index ETF		1.772.471.312.0611.05
SCHD
Schwab US Dividend Equity ETF		1.982.871.351.8710.28
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		2.272.951.452.7211.32
TQQQ
ProShares UltraPro QQQ		1.992.371.322.808.84
QLD
ProShares Ultra QQQ		1.962.431.322.638.81
MSFT
Microsoft Corporation		2.042.631.352.607.86
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		1.742.341.321.969.06
SSO
ProShares Ultra S&P 500		2.743.321.453.2915.97
SPY
SPDR S&P 500 ETF		2.833.781.523.5317.50
GBTC
Grayscale Bitcoin Trust (BTC)		3.053.221.405.0212.79
QQQ
Invesco QQQ		2.082.741.372.709.72

Sharpe Ratio

The current Jura Ena 4 Sharpe ratio is 2.34. 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 1.91 to 2.59, 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 Jura Ena 4 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 Ratio1.502.002.503.003.504.00AprilMayJuneJulyAugustSeptember
2.34
2.32
Jura Ena 4
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Jura Ena 4 granted a 2.03% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Jura Ena 42.03%2.38%2.82%0.79%0.99%1.14%1.11%0.99%1.31%1.02%1.07%0.71%
Portfolio components:
UPRO
ProShares UltraPro S&P 500		0.55%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%
SVIX
Volatility Shares -1x Short VIX Futures ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPAXX
Fidelity Government Money Market Fund		4.99%4.68%1.30%0.01%0.26%0.98%0.00%0.00%0.00%0.00%0.00%0.00%
SEIX
Virtus Seix Senior Loan ETF		8.82%8.74%5.76%4.16%3.75%3.82%0.00%0.00%0.00%0.00%0.00%0.00%
FLRT
Pacific Global Senior Loan ETF		7.66%8.40%5.81%3.16%3.52%4.30%3.95%3.20%3.38%3.21%0.00%0.00%
DIVI
Franklin International Core Dividend Tilt Index ETF		4.21%3.17%5.43%2.77%5.87%1.61%5.67%5.71%13.51%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF		2.58%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		9.34%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TQQQ
ProShares UltraPro QQQ		1.03%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
QLD
ProShares Ultra QQQ		0.24%0.33%0.31%0.00%0.00%0.13%0.06%0.02%0.90%0.11%0.19%0.13%
MSFT
Microsoft Corporation		0.69%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		0.65%4.46%15.85%2.28%2.41%3.03%3.22%2.98%2.55%3.70%5.08%1.48%
SSO
ProShares Ultra S&P 500		0.55%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.50%0.63%0.33%0.26%
SPY
SPDR S&P 500 ETF		1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
GBTC
Grayscale Bitcoin Trust (BTC)		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.23%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ		0.49%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

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.

-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-5.99%
-0.19%
Jura Ena 4
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Jura Ena 4. 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 Jura Ena 4 was 22.65%, occurring on Oct 12, 2022. Recovery took 127 trading sessions.

The current Jura Ena 4 drawdown is 5.99%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.65%May 5, 2022112Oct 12, 2022127Apr 13, 2023239
-16.28%Jul 17, 202414Aug 5, 2024———
-8.99%Aug 1, 202364Oct 27, 202310Nov 10, 202374
-7.27%Apr 1, 202415Apr 19, 202418May 15, 202433
-3.87%Apr 19, 20235Apr 25, 20233Apr 28, 20238

Volatility

Volatility Chart

The current Jura Ena 4 volatility is 6.27%, 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.

2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
6.27%
4.31%
Jura Ena 4
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.
SPAXXSEIXFLRTGBTCSVIXSCHDMSFTDIVIDBEFJEPQQQQTQQQQLDSPYUPROSSO
SPAXX1.000.040.020.000.040.01-0.02-0.060.01-0.00-0.01-0.01-0.01-0.02-0.02-0.02
SEIX0.041.000.300.090.230.250.220.260.290.260.260.260.260.270.280.28
FLRT0.020.301.000.140.240.330.240.350.300.310.290.290.290.340.350.35
GBTC0.000.090.141.000.290.310.310.340.300.380.390.390.390.380.380.38
SVIX0.040.230.240.291.000.570.510.590.620.660.640.650.650.700.700.70
SCHD0.010.250.330.310.571.000.470.730.740.620.620.620.620.800.800.80
MSFT-0.020.220.240.310.510.471.000.520.540.830.850.850.850.780.780.78
DIVI-0.060.260.350.340.590.730.521.000.870.670.680.680.680.770.770.77
DBEF0.010.290.300.300.620.740.540.871.000.700.700.700.700.800.800.80
JEPQ-0.000.260.310.380.660.620.830.670.701.000.970.970.970.920.920.92
QQQ-0.010.260.290.390.640.620.850.680.700.971.001.001.000.940.940.94
TQQQ-0.010.260.290.390.650.620.850.680.700.971.001.001.000.940.940.94
QLD-0.010.260.290.390.650.620.850.680.700.971.001.001.000.940.940.94
SPY-0.020.270.340.380.700.800.780.770.800.920.940.940.941.001.001.00
UPRO-0.020.280.350.380.700.800.780.770.800.920.940.940.941.001.001.00
SSO-0.020.280.350.380.700.800.780.770.800.920.940.940.941.001.001.00
The correlation results are calculated based on daily price changes starting from May 5, 2022