JAAA vs BND: returns, Sharpe ratio and drawdown
Performance
JAAA-0.08%BND-5.55%
Summary
JAAA vs BND
Over the past year, JAAA returned -0.08% against -5.55% for BND. Over five years, JAAA averaged +0.02% a year, compared with -3.69% for BND. BND had the higher Sharpe ratio over the past year (-2.50 vs -2.99), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.89% for JAAA and -7.04% for BND.
Current Drawdown
JAAA-0.47%BND-5.79%
Rolling Volatility
JAAA+0.09%BND+0.31%
METRICS
Correlation Matrix
Metrics
Risk Indicators
JAAABND
Alpha
JAAA
-4.64%
BND
-11.37%
Beta
JAAA
0.01x
BND
0.13x
Sharpe
JAAA
-2.99
BND
-2.50
Sortino
JAAA
-3.08
BND
-3.03
Omega
JAAA
0.44
BND
0.66
Calmar
JAAA
-0.09
BND
-0.79
Martin
JAAA
-10.47
BND
-3.44
Comparisons