FESM vs IJR: returns, Sharpe ratio and drawdown
Performance
FESM+25.82%IJR+21.71%
Summary
FESM vs IJR
Over the past year, FESM returned +25.82% against +21.71% for IJR. FESM had the higher Sharpe ratio over the past year (1.13 vs 1.06), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.66% for IJR and -10.18% for FESM. Dividends over the past year came to 1.21% of IJR's price, against 0.86% for FESM. Their daily returns had a correlation of 0.94 over the past year, which is very high.
Ranking
How FESM and IJR rank
FESMIJR
Current Drawdown
FESM-6.15%IJR-5.46%
Rolling Volatility
FESM24.38%IJR21.21%
METRICS
Correlation Matrix
Fees and dividends
What FESM and IJR cost and pay
FESMIJRExpense ratio0.28%0.06%Yield0.86%1.21%Paid, past year$0.39$1.71PaysQuarterlyQuarterlyGrowth a year—+8.9%Return with dividends+25.82%1Y+4.95%Return, price only+24.65%1Y+3.32%
FESM charges 0.28% a year and IJR 0.06%.
Metrics
Risk Indicators
FESMIJR
Alpha
FESM
9.85%
IJR
8.35%
Beta
FESM
1.14x
IJR
0.91x
Sharpe
FESM
1.13
IJR
1.06
Sortino
FESM
1.65
IJR
1.60
Omega
FESM
1.20
IJR
1.19
Calmar
FESM
2.54
IJR
2.25
Martin
FESM
5.22
IJR
4.37
Comparisons