Performance

JLL-0.27%SPY+13.70%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
JLL	-1.70%	-9.03%	-0.27%	+3.44%	-24.83%	0.04
SPY	-1.11%	+11.72%	+13.70%	+10.77%	-9.13%	0.73

Summary

JLL vs SPY

Over the past year, SPY returned +13.70% against -0.27% for JLL. Over five years, SPY averaged +10.77% a year, compared with +3.44% for JLL. SPY had the higher Sharpe ratio over the past year (0.73 vs 0.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -24.83% for JLL.

Current Drawdown

JLL-22.22%SPY-2.03%

Rolling Volatility

JLL+1.79%SPY+0.63%

METRICS

Correlation Matrix

	JLL	SPY
JLL	1.00	0.34
SPY	0.34	1.00

Metrics

Risk Indicators

JLLSPY

Alpha

-7.25%

0.00%

Beta

0.94x

1.00x

Sharpe

0.04

0.73

Sortino

0.06

1.07

Omega

1.01

1.13

Calmar

-0.01

1.50

Martin

0.13

4.19

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JLL vs SPY: returns, Sharpe ratio and drawdown

JLL vs SPY

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