JAZZ vs SPY: returns, Sharpe ratio and drawdown
Performance
JAZZ+55.90%SPY+13.70%
Summary
JAZZ vs SPY
Over the past year, JAZZ returned +55.90% against +13.70% for SPY. Over five years, SPY averaged +10.77% a year, compared with +9.65% for JAZZ. JAZZ had the higher Sharpe ratio over the past year (1.26 vs 0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -19.86% for JAZZ.
Current Drawdown
JAZZ-19.64%SPY-2.03%
Rolling Volatility
JAZZ+1.48%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
JAZZSPY
Alpha
JAZZ
42.06%
SPY
0.00%
Beta
JAZZ
0.55x
SPY
1.00x
Sharpe
JAZZ
1.26
SPY
0.73
Sortino
JAZZ
2.46
SPY
1.07
Omega
JAZZ
1.29
SPY
1.13
Calmar
JAZZ
2.81
SPY
1.50
Martin
JAZZ
7.66
SPY
4.19
Comparisons