JEF vs SF: returns, Sharpe ratio and drawdown
Performance
JEF-17.10%SF-9.64%
Summary
JEF vs SF
Over the past year, SF returned -9.64% against -17.10% for JEF. Over five years, SF averaged +6.87% a year, compared with +1.76% for JEF. JEF had the higher Sharpe ratio over the past year (-0.39 vs -0.43), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -23.93% for SF and -45.64% for JEF.
Current Drawdown
JEF-32.39%SF-23.93%
Rolling Volatility
JEF+1.39%SF+1.24%
METRICS
Correlation Matrix
Metrics
Risk Indicators
JEFSF
Alpha
JEF
-30.20%
SF
-20.34%
Beta
JEF
1.59x
SF
0.97x
Sharpe
JEF
-0.39
SF
-0.43
Sortino
JEF
-0.49
SF
-0.57
Omega
JEF
0.93
SF
0.93
Calmar
JEF
-0.37
SF
-0.40
Martin
JEF
-0.71
SF
-0.87
Comparisons