Performance

IJR+20.37%IJH+16.09%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IJR	+0.17%	+13.33%	+20.37%	+4.21%	-9.57%	0.97
IJH	+0.55%	+9.74%	+16.09%	+6.04%	-9.04%	0.78

Summary

IJR vs IJH

Over the past year, IJR returned +20.37% against +16.09% for IJH. Over five years, IJH averaged +6.04% a year, compared with +4.21% for IJR. IJR had the higher Sharpe ratio over the past year (0.97 vs 0.78), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.04% for IJH and -9.57% for IJR.

Current Drawdown

IJR-8.57%IJH-6.66%

Rolling Volatility

IJR+0.60%IJH+0.69%

METRICS

Correlation Matrix

	IJR	IJH
IJR	1.00	0.94
IJH	0.94	1.00

Metrics

Risk Indicators

IJRIJH

Alpha

2.24%

-1.71%

Beta

0.94x

0.95x

Sharpe

0.97

0.78

Sortino

1.49

1.16

Omega

1.17

1.13

Calmar

2.13

1.78

Martin

4.44

3.60

Comparisons

More IJR comparisons

IJR vs IWM
IJR vs VB
IJR vs IVV
IJR vs VBR
IJR vs VOO
IJR vs VBK

More IJH comparisons

IJH vs IWR
IJH vs VO
IJH vs VOO

IJR vs IJH: returns, Sharpe ratio and drawdown

IJR vs IJH

More IJR comparisons

More IJH comparisons