JNJ vs SPY: returns, Sharpe ratio and drawdown
Performance
JNJ+37.08%SPY+19.23%
Summary
JNJ vs SPY
Over the past year, JNJ returned +37.08% against +19.23% for SPY. Over five years, SPY averaged +11.83% a year, compared with +10.17% for JNJ. JNJ had the higher Sharpe ratio over the past year (1.51 vs 1.11), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -10.96% for JNJ.
Current Drawdown
JNJ-6.10%SPY-0.07%
Rolling Volatility
JNJ+0.98%SPY+0.62%
METRICS
Correlation Matrix
Metrics
Risk Indicators
JNJSPY
Alpha
JNJ
31.94%
SPY
0.00%
Beta
JNJ
-0.19x
SPY
1.00x
Sharpe
JNJ
1.51
SPY
1.11
Sortino
JNJ
2.35
SPY
1.64
Omega
JNJ
1.28
SPY
1.20
Calmar
JNJ
3.38
SPY
2.11
Martin
JNJ
6.69
SPY
6.38
Comparisons