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jepq
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VOO 33.33%QQQ 33.33%JEPQ 33.33%EquityEquity
PositionCategory/SectorWeight
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
Actively Managed, Dividend, Derivative Income

33.33%

QQQ
Invesco QQQ
Large Cap Blend Equities

33.33%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

33.33%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in jepq, 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%15.00%20.00%25.00%30.00%35.00%40.00%45.00%FebruaryMarchAprilMayJuneJuly
39.67%
29.20%
jepq
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
16.48%1.67%14.21%21.98%13.13%10.91%
jepq16.66%0.67%13.36%25.48%N/AN/A
VOO
Vanguard S&P 500 ETF
17.31%1.79%14.98%23.76%14.96%12.95%
QQQ
Invesco QQQ
17.70%0.25%13.82%28.63%20.85%18.40%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
14.93%-0.04%11.25%23.98%N/AN/A

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.14%4.93%2.36%-3.89%5.39%4.44%16.66%
20237.73%-1.19%6.77%1.54%4.22%5.31%3.38%-1.08%-4.39%-1.66%9.23%4.40%38.88%
2022-4.64%-7.80%9.98%-4.80%-9.54%5.53%5.40%-6.93%-13.79%

Expense Ratio

jepq has an expense ratio of 0.19%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of jepq is 71, 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 jepq is 7171
jepq
The Sharpe Ratio Rank of jepq is 6767Sharpe Ratio Rank
The Sortino Ratio Rank of jepq is 6363Sortino Ratio Rank
The Omega Ratio Rank of jepq is 6969Omega Ratio Rank
The Calmar Ratio Rank of jepq is 7979Calmar Ratio Rank
The Martin Ratio Rank of jepq is 7575Martin 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.


jepq
Sharpe ratio
The chart of Sharpe ratio for jepq, currently valued at 2.08, compared to the broader market-1.000.001.002.003.004.002.08
Sortino ratio
The chart of Sortino ratio for jepq, currently valued at 2.84, compared to the broader market-2.000.002.004.006.002.84
Omega ratio
The chart of Omega ratio for jepq, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for jepq, currently valued at 2.94, compared to the broader market0.002.004.006.008.0010.002.94
Martin ratio
The chart of Martin ratio for jepq, currently valued at 10.26, compared to the broader market0.0010.0020.0030.0040.0010.26
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.0010.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
2.153.021.382.448.39
QQQ
Invesco QQQ
1.832.501.312.679.17
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
2.182.921.413.6513.43

Sharpe Ratio

The current jepq Sharpe ratio is 1.82. 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 1.33 to 2.11, 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 jepq 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 Ratio1.502.002.503.003.50FebruaryMarchAprilMayJuneJuly
2.08
1.99
jepq
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

jepq granted a 3.63% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
jepq3.63%4.03%3.98%0.56%0.70%0.88%0.99%0.87%1.02%1.03%1.09%0.95%
VOO
Vanguard S&P 500 ETF
1.30%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF
8.97%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.71%
-1.97%
jepq
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the jepq. 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 jepq was 18.28%, occurring on Oct 14, 2022. Recovery took 147 trading sessions.

The current jepq drawdown is 3.72%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-18.28%Aug 16, 202243Oct 14, 2022147May 17, 2023190
-15.1%May 5, 202230Jun 16, 202239Aug 12, 202269
-8.77%Aug 1, 202362Oct 26, 202313Nov 14, 202375
-5.91%Apr 2, 202414Apr 19, 202417May 14, 202431
-3.72%Jul 11, 20247Jul 19, 2024

Volatility

Volatility Chart

The current jepq volatility is 3.59%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%FebruaryMarchAprilMayJuneJuly
3.59%
2.94%
jepq
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.

VOOJEPQQQQ
VOO1.000.920.94
JEPQ0.921.000.97
QQQ0.940.971.00
The correlation results are calculated based on daily price changes starting from May 5, 2022