IUSB vs JCPB: returns, Sharpe ratio and drawdown
Performance
IUSB-5.52%JCPB-5.79%
Summary
IUSB vs JCPB
Over the past year, IUSB returned -5.52% against -5.79% for JCPB. Over five years, IUSB averaged -3.52% a year, compared with -3.73% for JCPB. JCPB had the higher Sharpe ratio over the past year (-2.49 vs -2.53), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.95% for IUSB and -7.48% for JCPB.
Current Drawdown
IUSB-5.78%JCPB-6.27%
Rolling Volatility
IUSB+0.30%JCPB+0.30%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IUSBJCPB
Alpha
IUSB
-11.38%
JCPB
-11.68%
Beta
IUSB
0.13x
JCPB
0.13x
Sharpe
IUSB
-2.53
JCPB
-2.49
Sortino
IUSB
-3.05
JCPB
-2.97
Omega
IUSB
0.66
JCPB
0.66
Calmar
IUSB
-0.79
JCPB
-0.77
Martin
IUSB
-3.52
JCPB
-3.33
Comparisons