JPIE vs MINT: returns, Sharpe ratio and drawdown
Performance
JPIE-3.12%MINT+0.00%
Summary
JPIE vs MINT
Over the past year, MINT returned +0.00% against -3.12% for JPIE. Over five years, MINT averaged -0.25% a year, compared with -2.33% for JPIE. JPIE had the higher Sharpe ratio over the past year (-3.18 vs -3.91), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -0.55% for MINT and -4.04% for JPIE.
Current Drawdown
JPIE-3.46%MINT-0.29%
Rolling Volatility
JPIE+0.19%MINT+0.07%
METRICS
Correlation Matrix
Metrics
Risk Indicators
JPIEMINT
Alpha
JPIE
-8.37%
MINT
-4.51%
Beta
JPIE
0.07x
MINT
0.00x
Sharpe
JPIE
-3.18
MINT
-3.91
Sortino
JPIE
-3.49
MINT
-3.85
Omega
JPIE
0.55
MINT
0.25
Calmar
JPIE
-0.77
MINT
0.00
Martin
JPIE
-5.15
MINT
-20.62
Comparisons