JCPB vs AGG: returns, Sharpe ratio and drawdown
Performance
JCPB-5.79%AGG-5.69%
Summary
JCPB vs AGG
Over the past year, AGG returned -5.69% against -5.79% for JCPB. Over five years, AGG averaged -3.64% a year, compared with -3.73% for JCPB. AGG had the higher Sharpe ratio over the past year (-2.46 vs -2.49), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.17% for AGG and -7.48% for JCPB.
Current Drawdown
JCPB-6.27%AGG-5.94%
Rolling Volatility
JCPB+0.30%AGG+0.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
JCPBAGG
Alpha
JCPB
-11.68%
AGG
-11.59%
Beta
JCPB
0.13x
AGG
0.14x
Sharpe
JCPB
-2.49
AGG
-2.46
Sortino
JCPB
-2.97
AGG
-2.97
Omega
JCPB
0.66
AGG
0.67
Calmar
JCPB
-0.77
AGG
-0.79
Martin
JCPB
-3.33
AGG
-3.42
Comparisons