Performance

IJR+20.37%IWM+17.31%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IJR	+0.17%	+13.33%	+20.37%	+4.21%	-9.57%	0.97
IWM	+0.49%	+12.12%	+17.31%	+4.39%	-11.19%	0.72

Summary

IJR vs IWM

Over the past year, IJR returned +20.37% against +17.31% for IWM. Over five years, IWM averaged +4.39% a year, compared with +4.21% for IJR. IJR had the higher Sharpe ratio over the past year (0.97 vs 0.72), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.57% for IJR and -11.19% for IWM.

Current Drawdown

IJR-8.57%IWM-8.57%

Rolling Volatility

IJR+0.60%IWM+0.69%

METRICS

Correlation Matrix

	IJR	IWM
IJR	1.00	0.93
IWM	0.93	1.00

Metrics

Risk Indicators

IJRIWM

Alpha

2.24%

-3.22%

Beta

0.94x

1.17x

Sharpe

0.97

0.72

Sortino

1.49

1.06

Omega

1.17

1.12

Calmar

2.13

1.55

Martin

4.44

3.43

Comparisons

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IWM vs SPY
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IJR vs IWM: returns, Sharpe ratio and drawdown

IJR vs IWM

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