JBND vs JPIE: returns, Sharpe ratio and drawdown
Performance
JBND-5.76%JPIE-3.12%
Summary
JBND vs JPIE
Over the past year, JPIE returned -3.12% against -5.76% for JBND. JBND had the higher Sharpe ratio over the past year (-2.47 vs -3.18), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -4.04% for JPIE and -7.51% for JBND.
Current Drawdown
JBND-6.30%JPIE-3.46%
Rolling Volatility
JBND+0.31%JPIE+0.19%
METRICS
Correlation Matrix
Metrics
Risk Indicators
JBNDJPIE
Alpha
JBND
-11.54%
JPIE
-8.37%
Beta
JBND
0.12x
JPIE
0.07x
Sharpe
JBND
-2.47
JPIE
-3.18
Sortino
JBND
-2.99
JPIE
-3.49
Omega
JBND
0.67
JPIE
0.55
Calmar
JBND
-0.77
JPIE
-0.77
Martin
JBND
-3.27
JPIE
-5.15
Comparisons