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Normal
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Normal

Last updated Oct 30, 2024

Asset Allocation

JEPI 70%JEPQ 25%QYLD 5%EquityEquity
PositionCategory/SectorWeight
JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
70%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
25%
QYLD
Global X NASDAQ 100 Covered Call ETF		Derivative Income
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Normal, 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
10.78%
15.83%
Normal
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		22.29%1.65%15.83%39.98%13.99%11.23%
Normal15.51%1.09%10.78%25.58%N/AN/A
Portfolio components:
JEPI
JPMorgan Equity Premium Income ETF		13.65%0.38%9.87%22.53%N/AN/A
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		20.41%2.84%13.04%34.37%N/AN/A
QYLD
Global X NASDAQ 100 Covered Call ETF		16.28%2.41%11.25%24.24%7.46%8.31%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.13%2.85%2.17%-2.84%2.86%1.18%0.81%2.53%2.05%15.51%
20233.18%-1.84%3.68%2.34%0.02%3.05%2.03%-0.14%-3.13%-0.95%5.40%2.29%16.75%
2022-2.93%-4.23%5.69%-3.68%-7.02%6.60%5.13%-3.02%-4.37%

Expense Ratio

Normal features an expense ratio of 0.36%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

QYLD
Global X NASDAQ 100 Covered Call ETF
Expense ratio chart for QYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
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 Normal is 85, placing it in the top 15% 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 Normal is 8585
Combined Rank
The Sharpe Ratio Rank of Normal is 7878Sharpe Ratio Rank
The Sortino Ratio Rank of Normal is 8181Sortino Ratio Rank
The Omega Ratio Rank of Normal is 9393Omega Ratio Rank
The Calmar Ratio Rank of Normal is 8686Calmar Ratio Rank
The Martin Ratio Rank of Normal is 8686Martin 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.

Normal
Sharpe ratio
The chart of Sharpe ratio for Normal, currently valued at 3.45, compared to the broader market0.002.004.006.003.45
Sortino ratio
The chart of Sortino ratio for Normal, currently valued at 4.76, compared to the broader market-2.000.002.004.006.004.76
Omega ratio
The chart of Omega ratio for Normal, currently valued at 1.74, compared to the broader market0.801.001.201.401.601.802.001.74
Calmar ratio
The chart of Calmar ratio for Normal, currently valued at 5.02, compared to the broader market0.005.0010.005.02
Martin ratio
The chart of Martin ratio for Normal, currently valued at 24.96, compared to the broader market0.0010.0020.0030.0040.0050.0060.0024.96
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JEPI
JPMorgan Equity Premium Income ETF		3.354.721.694.2824.91
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		2.963.811.613.3614.57
QYLD
Global X NASDAQ 100 Covered Call ETF		2.563.491.633.2718.11

Sharpe Ratio

The current Normal Sharpe ratio is 3.45. 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 2.49 to 3.44, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Normal 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.45
3.43
Normal
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Normal provided a 7.90% dividend yield over the last twelve months.

TTM2023202220212020201920182017201620152014
Normal7.90%8.97%11.20%5.25%4.61%0.49%0.62%0.38%0.46%0.47%0.54%
Portfolio components:
JEPI
JPMorgan Equity Premium Income ETF		7.13%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%
JEPQ
JPMorgan Nasdaq Equity Premium Income ETF		9.35%10.02%9.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QYLD
Global X NASDAQ 100 Covered Call ETF		11.42%11.78%13.26%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%

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%MayJuneJulyAugustSeptemberOctober
-0.50%
-0.54%
Normal
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Normal. 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 Normal was 12.15%, occurring on Oct 12, 2022. Recovery took 117 trading sessions.

The current Normal drawdown is 0.50%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-12.15%May 5, 2022111Oct 12, 2022117Mar 31, 2023228
-6.44%Sep 15, 202331Oct 27, 202317Nov 21, 202348
-5.39%Jul 17, 202414Aug 5, 202410Aug 19, 202424
-4.06%Apr 1, 202415Apr 19, 202417May 14, 202432
-2.66%Aug 1, 202314Aug 18, 202315Sep 11, 202329

Volatility

Volatility Chart

The current Normal volatility is 1.38%, 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
1.38%
2.71%
Normal
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.
JEPIQYLDJEPQ
JEPI1.000.660.70
QYLD0.661.000.91
JEPQ0.700.911.00
The correlation results are calculated based on daily price changes starting from May 5, 2022