Performance

IJH+16.09%IWR+16.80%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IJH	+0.55%	+9.74%	+16.09%	+6.04%	-9.04%	0.78
IWR	+0.87%	+12.84%	+16.80%	+6.14%	-8.41%	0.90

Summary

IJH vs IWR

Over the past year, IWR returned +16.80% against +16.09% for IJH. Over five years, IWR averaged +6.14% a year, compared with +6.04% for IJH. IWR had the higher Sharpe ratio over the past year (0.90 vs 0.78), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.41% for IWR and -9.04% for IJH.

Current Drawdown

IJH-6.66%IWR-4.35%

Rolling Volatility

IJH+0.69%IWR+0.66%

METRICS

Correlation Matrix

	IJH	IWR
IJH	1.00	0.96
IWR	0.96	1.00

Metrics

Risk Indicators

IJHIWR

Alpha

-1.71%

-0.18%

Beta

0.95x

0.87x

Sharpe

0.78

0.90

Sortino

1.16

1.34

Omega

1.13

1.15

Calmar

1.78

2.00

Martin

3.60

4.42

Comparisons

More IJH comparisons

IJH vs VO
IJH vs IJR
IJH vs VOO

More IWR comparisons

IWR vs VO
IWR vs IWM
IWR vs MDY
IWR vs IRM
IWR vs VOO

IJH vs IWR: returns, Sharpe ratio and drawdown

IJH vs IWR

More IJH comparisons

More IWR comparisons