EMR vs J: returns, Sharpe ratio and drawdown
Performance
EMR+20.93%J-10.84%
Summary
EMR vs J
Over the past year, EMR returned +20.93% against -10.84% for J. Over five years, EMR averaged +10.72% a year, compared with +0.68% for J. EMR had the higher Sharpe ratio over the past year (0.62 vs -0.31), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -23.74% for EMR and -34.77% for J.
Current Drawdown
EMR-3.24%J-15.72%
Rolling Volatility
EMR+1.40%J+1.58%
METRICS
Correlation Matrix
Metrics
Risk Indicators
EMRJ
Alpha
EMR
3.54%
J
-19.44%
Beta
EMR
1.51x
J
0.84x
Sharpe
EMR
0.62
J
-0.31
Sortino
EMR
0.89
J
-0.41
Omega
EMR
1.11
J
0.95
Calmar
EMR
0.88
J
-0.31
Martin
EMR
1.98
J
-0.56
Comparisons