Performance

BAC+11.65%JPM+10.67%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BAC	+1.32%	-2.91%	+11.65%	+3.22%	-18.39%	0.41
JPM	+0.47%	+2.31%	+10.67%	+14.90%	-15.47%	0.37

Summary

BAC vs JPM

Over the past year, BAC returned +11.65% against +10.67% for JPM. Over five years, JPM averaged +14.90% a year, compared with +3.22% for BAC. BAC had the higher Sharpe ratio over the past year (0.41 vs 0.37), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.47% for JPM and -18.39% for BAC.

Current Drawdown

BAC-16.19%JPM-8.81%

Rolling Volatility

BAC+1.51%JPM+1.08%

METRICS

Correlation Matrix

	BAC	JPM
BAC	1.00	0.75
JPM	0.75	1.00

Metrics

Risk Indicators

BACJPM

Alpha

-1.58%

-3.20%

Beta

0.76x

0.81x

Sharpe

0.41

0.37

Sortino

0.55

0.51

Omega

1.07

1.06

Calmar

0.63

0.69

Martin

1.12

1.20

Comparisons

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BAC vs SPY
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BAC vs WFC
BAC vs C
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JPM vs SPY
JPM vs GS
JPM vs MS
JPM vs XLF
JPM vs C

BAC vs JPM: returns, Sharpe ratio and drawdown

BAC vs JPM

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