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JPMorgan Managed Futures Plus ETF JPFP
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | JPFP | Replication |
|---|---|---|
| Annualized growth | 15.9% | -1.7% |
| Annualized volatility | 13.1% | 12.6% |
| Sharpe ratio | 1.19 | -0.07 |
| Maximum drawdown | 3.4% | 3.5% |
| Replication fit (R²) | 0.87 · Tracking error 4.7% | |
Replication portfolio
The published portfolio below is the investable basket used to model JPFP’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| LRGF | Factor · Multi-Factor | 41.5% |
| VOX | Sector · Communication | 36.7% |
| SPHQ | Factor · Quality | 13.9% |
| SLV | Alternatives · Silver | 8.0% |