JPM Efficiente 5

The JPMorgan Efficiente 5 Index is a rules-based, global, tactical multi-asset class strategy implemented using ETFs. At its core, JPME5 is a straightforward application of Modern Portfolio Theory (MPT), where portfolio construction is framed as an optimization problem: find the set of portfolio weights that maximize expected return for a given risk level.

The strategy systematically allocates across 13 ETFs spanning five major asset classes: Developed Equity (max 50%), Bonds (max 50%), Emerging Markets (max 25%), Alternative Investments (max 25%), and Inflation Protected/Cash (max 50%). The use of a short-term 6-month lookback window for input calculation gives it a time series momentum flavor.

The strategy targets a 5% annual volatility through constrained mean-variance optimization. If no portfolio with 5% volatility is feasible, the target is increased by 1% iteratively, or the minimum variance portfolio is selected. The 40/60 portfolio serves as a performance benchmark for comparison.

This dashboard provides comprehensive real-time tracking and analysis of the JPM Efficiente 5 strategy. The interface displays portfolio value over time compared to the 40/60 benchmark, with key metrics including year-to-date returns, volatility calculated using a 6-month lookback period, and Sharpe ratio based on excess returns over the full investment period. All metrics adjust dynamically based on your selected start date and initial capital, with data updates occurring daily before market close.

The portfolio is rebalanced monthly on the last trading day. At each month-end, the strategy calculates average returns and the covariance matrix using a lookback window of 6 months, comprising 126 trading days. These inputs feed into the optimization process which selects the efficient portfolio with the highest return at 5% target volatility, subject to asset class and individual asset constraints. All portfolio weights must be a multiple of 5% for practical implementation.

The dashboard tracks the strategy through multiple components. The performance chart visualizes portfolio value evolution over various timeframes from one month to the complete history since inception. Current holdings display the live allocation across all 13 ETFs with real-time market prices and calculated share counts based on initial capital plus accumulated returns.

Allocation charts provide visual breakdowns by asset class and individual ETFs, while the historical weights chart shows how allocations change monthly over time, available in both asset class and individual ETF views. Performance metrics include advanced risk-adjusted return measures such as Sortino ratio for downside risk assessment, information ratio for active return measurement, up and down capture ratios for market sensitivity analysis, and maximum drawdown for risk evaluation. The next rebalancing countdown indicates when the monthly portfolio adjustment will occur.