JBBB vs SPHY: returns, Sharpe ratio and drawdown
Performance
JBBB+3.78%SPHY+2.68%
Summary
JBBB vs SPHY
Over the past year, JBBB returned +3.78% against +2.68% for SPHY. JBBB had the higher Sharpe ratio over the past year (0.02 vs -0.26), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -2.46% for JBBB and -2.84% for SPHY. Dividends over the past year came to 7.37% of SPHY's price, against 6.23% for JBBB. Their daily returns had a correlation of 0.42 over the past year, which is moderate.
Ranking
How JBBB and SPHY rank
JBBBSPHY
Current Drawdown
JBBB-0.92%SPHY-1.53%
Rolling Volatility
JBBB3.28%SPHY4.45%
METRICS
Correlation Matrix
Fees and dividends
What JBBB and SPHY cost and pay
JBBBSPHYExpense ratio0.47%0.05%Yield6.23%7.37%Paid, past year$2.92$1.67PaysMonthlyMonthlyGrowth a year+13.1%+6.5%Return with dividends+3.78%1Y+3.82%Return, price only-2.42%1Y-3.31%
JBBB charges 0.47% a year and SPHY 0.05%.
Metrics
Risk Indicators
JBBBSPHY
Alpha
JBBB
-0.99%
SPHY
-2.97%
Beta
JBBB
0.11x
SPHY
0.20x
Sharpe
JBBB
0.02
SPHY
-0.26
Sortino
JBBB
0.04
SPHY
-0.36
Omega
JBBB
1.00
SPHY
0.96
Calmar
JBBB
1.53
SPHY
0.94
Martin
JBBB
0.10
SPHY
-0.97
Comparisons