HYG vs JNK: returns, Sharpe ratio and drawdown
Performance
HYG-3.40%JNK-3.64%
Summary
HYG vs JNK
Over the past year, HYG returned -3.40% against -3.64% for JNK. Over five years, HYG averaged -2.41% a year, compared with -3.15% for JNK. HYG had the higher Sharpe ratio over the past year (-1.85 vs -1.92), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -5.39% for HYG and -5.84% for JNK.
Current Drawdown
HYG-4.98%JNK-5.29%
Rolling Volatility
HYG+0.25%JNK+0.28%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HYGJNK
Alpha
HYG
-11.09%
JNK
-11.33%
Beta
HYG
0.23x
JNK
0.22x
Sharpe
HYG
-1.85
JNK
-1.92
Sortino
HYG
-2.33
JNK
-2.40
Omega
HYG
0.73
JNK
0.72
Calmar
HYG
-0.63
JNK
-0.62
Martin
HYG
-4.06
JNK
-3.88
Comparisons