JPM vs SPY: returns, Sharpe ratio and drawdown
Performance
JPM+10.67%SPY+19.23%
Summary
JPM vs SPY
Over the past year, SPY returned +19.23% against +10.67% for JPM. Over five years, JPM averaged +14.90% a year, compared with +11.83% for SPY. SPY had the higher Sharpe ratio over the past year (1.11 vs 0.37), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -15.47% for JPM.
Current Drawdown
JPM-8.81%SPY-0.07%
Rolling Volatility
JPM+1.08%SPY+0.62%
METRICS
Correlation Matrix
Metrics
Risk Indicators
JPMSPY
Alpha
JPM
-3.20%
SPY
0.00%
Beta
JPM
0.81x
SPY
1.00x
Sharpe
JPM
0.37
SPY
1.11
Sortino
JPM
0.51
SPY
1.64
Omega
JPM
1.06
SPY
1.20
Calmar
JPM
0.69
SPY
2.11
Martin
JPM
1.20
SPY
6.38
Comparisons