PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Defined Outcome Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Defined Outcome Portfolio

Last updated Oct 18, 2024

Asset Allocation

BJAN 40%JEPI 10%JEPQ 10%NJAN 10%NAPR 10%NJUL 10%NOCT 10%EquityEquity
PositionCategory/SectorWeight
BJAN
Innovator U.S. Equity Buffer ETF - January		Volatility Hedged Equity
40%
JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
10%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
10%
NAPR
Innovator Growth-100 Power Buffer ETF - April		Volatility Hedged Equity
10%
NJAN
Innovator Growth-100 Power Buffer ETF - January		Volatility Hedged Equity
10%
NJUL
Innovator Growth-100 Power Buffer ETF - July		Volatility Hedged Equity
10%
NOCT
Innovator Growth-100 Power Buffer ETF- October		Volatility Hedged Equity
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Defined Outcome Portfolio, 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%MayJuneJulyAugustSeptemberOctober
10.36%
17.04%
Defined Outcome Portfolio
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		22.95%4.39%18.07%37.09%14.48%11.71%
Defined Outcome Portfolio13.75%1.42%10.37%24.45%N/AN/A
Portfolio components:
BJAN
Innovator U.S. Equity Buffer ETF - January		14.89%1.09%10.51%29.30%10.89%N/A
JEPI
JPMorgan Equity Premium Income ETF		14.92%1.94%11.11%22.57%N/AN/A
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		19.29%2.61%13.58%31.91%N/AN/A
NJAN
Innovator Growth-100 Power Buffer ETF - January		12.29%1.34%10.33%15.23%N/AN/A
NAPR
Innovator Growth-100 Power Buffer ETF - April		10.45%1.61%11.00%17.81%N/AN/A
NJUL
Innovator Growth-100 Power Buffer ETF - July		11.16%1.51%8.30%21.44%N/AN/A
NOCT
Innovator Growth-100 Power Buffer ETF- October		9.76%0.82%7.24%18.81%10.15%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.50%2.79%1.43%-1.90%3.37%1.95%0.17%1.55%1.27%13.75%
20235.70%-0.91%3.97%1.45%1.71%3.60%1.83%-0.16%-2.57%-1.13%6.49%3.13%25.21%
2022-2.72%-5.12%6.90%-2.59%-7.16%5.04%4.59%-4.95%-6.81%

Expense Ratio

Defined Outcome Portfolio features an expense ratio of 0.70%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

NOCT
Innovator Growth-100 Power Buffer ETF- October
Expense ratio chart for NOCT: current value at 0.81% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.81%
BJAN
Innovator U.S. Equity Buffer ETF - January
Expense ratio chart for BJAN: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
NJAN
Innovator Growth-100 Power Buffer ETF - January
Expense ratio chart for NJAN: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
NAPR
Innovator Growth-100 Power Buffer ETF - April
Expense ratio chart for NAPR: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
NJUL
Innovator Growth-100 Power Buffer ETF - July
Expense ratio chart for NJUL: current value at 0.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.79%
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%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Defined Outcome Portfolio is 76, placing it in the top 24% 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 Defined Outcome Portfolio is 7676
Combined Rank
The Sharpe Ratio Rank of Defined Outcome Portfolio is 6666Sharpe Ratio Rank
The Sortino Ratio Rank of Defined Outcome Portfolio is 6868Sortino Ratio Rank
The Omega Ratio Rank of Defined Outcome Portfolio is 8181Omega Ratio Rank
The Calmar Ratio Rank of Defined Outcome Portfolio is 8585Calmar Ratio Rank
The Martin Ratio Rank of Defined Outcome Portfolio is 8080Martin 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.

Defined Outcome Portfolio
Sharpe ratio
The chart of Sharpe ratio for Defined Outcome Portfolio, currently valued at 2.99, compared to the broader market0.002.004.002.99
Sortino ratio
The chart of Sortino ratio for Defined Outcome Portfolio, currently valued at 4.14, compared to the broader market-2.000.002.004.006.004.14
Omega ratio
The chart of Omega ratio for Defined Outcome Portfolio, currently valued at 1.61, compared to the broader market0.801.001.201.401.601.802.001.61
Calmar ratio
The chart of Calmar ratio for Defined Outcome Portfolio, currently valued at 4.30, compared to the broader market0.002.004.006.008.0010.0012.004.30
Martin ratio
The chart of Martin ratio for Defined Outcome Portfolio, currently valued at 22.31, compared to the broader market0.0010.0020.0030.0040.0050.0022.31
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.89, compared to the broader market0.002.004.002.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.84, compared to the broader market-2.000.002.004.006.003.84
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.802.001.53
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.54, compared to the broader market0.002.004.006.008.0010.0012.002.54
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.73, compared to the broader market0.0010.0020.0030.0040.0050.0018.73
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BJAN
Innovator U.S. Equity Buffer ETF - January		3.344.761.693.3328.64
JEPI
JPMorgan Equity Premium Income ETF		2.773.841.543.0720.57
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		2.363.051.472.7711.86
NJAN
Innovator Growth-100 Power Buffer ETF - January		2.122.991.442.8414.10
NAPR
Innovator Growth-100 Power Buffer ETF - April		2.122.911.462.6111.72
NJUL
Innovator Growth-100 Power Buffer ETF - July		2.293.101.472.9213.04
NOCT
Innovator Growth-100 Power Buffer ETF- October		2.994.321.674.4532.71

Sharpe Ratio

The current Defined Outcome Portfolio 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 2.19 to 3.02, 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 Defined Outcome Portfolio 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 Ratio1.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.99
2.89
Defined Outcome Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Defined Outcome Portfolio granted a 1.65% dividend yield in the last twelve months.

TTM20232022202120202019
Defined Outcome Portfolio1.65%1.84%2.11%0.66%0.58%1.97%
Portfolio components:
BJAN
Innovator U.S. Equity Buffer ETF - January		0.00%0.00%0.00%0.00%0.00%4.66%
JEPI
JPMorgan Equity Premium Income ETF		7.05%8.40%11.68%6.59%5.79%0.00%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		9.44%10.02%9.44%0.00%0.00%0.00%
NJAN
Innovator Growth-100 Power Buffer ETF - January		0.00%0.00%0.00%0.00%0.00%0.00%
NAPR
Innovator Growth-100 Power Buffer ETF - April		0.00%0.00%0.00%0.00%0.00%0.00%
NJUL
Innovator Growth-100 Power Buffer ETF - July		0.00%0.00%0.00%0.00%0.00%0.00%
NOCT
Innovator Growth-100 Power Buffer ETF- October		0.00%0.00%0.00%0.00%0.00%1.07%

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%MayJuneJulyAugustSeptemberOctober00
Defined Outcome Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Defined Outcome Portfolio. 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 Defined Outcome Portfolio was 12.43%, occurring on Oct 14, 2022. Recovery took 115 trading sessions.

The current Defined Outcome Portfolio drawdown is 0.15%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-12.43%Aug 17, 202242Oct 14, 2022115Mar 31, 2023157
-10.4%May 5, 202230Jun 16, 202239Aug 12, 202269
-5.26%Sep 15, 202331Oct 27, 202310Nov 10, 202341
-5.22%Jul 17, 202414Aug 5, 202412Aug 21, 202426
-3.28%Apr 1, 202415Apr 19, 202412May 7, 202427

Volatility

Volatility Chart

The current Defined Outcome Portfolio volatility is 1.23%, 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%MayJuneJulyAugustSeptemberOctober
1.23%
2.56%
Defined Outcome Portfolio
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.
JEPINOCTNJANNAPRNJULBJANJEPQ
JEPI1.000.660.650.660.680.820.71
NOCT0.661.000.910.900.910.880.91
NJAN0.650.911.000.920.920.880.93
NAPR0.660.900.921.000.930.890.93
NJUL0.680.910.920.931.000.900.95
BJAN0.820.880.880.890.901.000.91
JEPQ0.710.910.930.930.950.911.00
The correlation results are calculated based on daily price changes starting from May 5, 2022