MS vs JPM: returns, Sharpe ratio and drawdown
Performance
MS+25.13%JPM+10.67%
Summary
MS vs JPM
Over the past year, MS returned +25.13% against +10.67% for JPM. Over five years, JPM averaged +14.90% a year, compared with +13.26% for MS. MS had the higher Sharpe ratio over the past year (0.79 vs 0.37), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.47% for JPM and -19.28% for MS.
Current Drawdown
MS-16.86%JPM-8.81%
Rolling Volatility
MS+1.36%JPM+1.08%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MSJPM
Alpha
MS
2.22%
JPM
-3.20%
Beta
MS
1.41x
JPM
0.81x
Sharpe
MS
0.79
JPM
0.37
Sortino
MS
1.14
JPM
0.51
Omega
MS
1.14
JPM
1.06
Calmar
MS
1.30
JPM
0.69
Martin
MS
2.91
JPM
1.20