BAC vs JPM: returns, Sharpe ratio and drawdown
Performance
BAC+7.52%JPM+6.71%
Summary
BAC vs JPM
Over the past year, JPM returned +6.62% against +5.82% for BAC. Over five years, JPM averaged +14.65% a year, compared with +4.59% for BAC. JPM had the higher Sharpe ratio over the past year (0.20 vs 0.17), 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-14.41%JPM-7.83%
Rolling Volatility
BAC+1.58%JPM+1.18%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BACJPM
Alpha
BAC
-4.37%
JPM
-4.09%
Beta
BAC
0.75x
JPM
0.80x
Sharpe
BAC
0.17
JPM
0.20
Sortino
BAC
0.22
JPM
0.27
Omega
BAC
1.03
JPM
1.03
Calmar
BAC
0.32
JPM
0.43
Martin
BAC
0.49
JPM
0.67
Comparisons