CLOZ vs JBBB: returns, Sharpe ratio and drawdown
Performance
CLOZ+4.54%JBBB+3.78%
Summary
CLOZ vs JBBB
Over the past year, CLOZ returned +4.54% against +3.78% for JBBB. CLOZ had the higher Sharpe ratio over the past year (0.23 vs 0.02), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -2.46% for JBBB and -3.90% for CLOZ. Dividends over the past year came to 7.17% of CLOZ's price, against 6.23% for JBBB. Their daily returns had a correlation of 0.42 over the past year, which is moderate.
Ranking
How CLOZ and JBBB rank
CLOZJBBB
Current Drawdown
CLOZ-0.94%JBBB-0.92%
Rolling Volatility
CLOZ4.17%JBBB3.28%
METRICS
Correlation Matrix
Fees and dividends
What CLOZ and JBBB cost and pay
CLOZJBBBExpense ratio0.50%0.47%Yield7.17%6.23%Paid, past year$1.85$2.92PaysMonthlyMonthlyGrowth a year-6.8%+13.1%Return with dividends+4.54%1Y+3.78%1YReturn, price only-2.60%1Y-2.42%1Y
CLOZ charges 0.50% a year and JBBB 0.47%.
Metrics
Risk Indicators
CLOZJBBB
Alpha
CLOZ
-0.18%
JBBB
-0.99%
Beta
CLOZ
0.10x
JBBB
0.11x
Sharpe
CLOZ
0.23
JBBB
0.02
Sortino
CLOZ
0.28
JBBB
0.04
Omega
CLOZ
1.05
JBBB
1.00
Calmar
CLOZ
1.16
JBBB
1.53
Martin
CLOZ
0.68
JBBB
0.10
Comparisons