USHY vs JNK: returns, Sharpe ratio and drawdown
Performance
USHY-5.53%JNK-5.31%
Summary
USHY vs JNK
Over the past year, JNK returned -5.31% against -5.53% for USHY. Over five years, USHY averaged -2.99% a year, compared with -3.23% for JNK. JNK had the higher Sharpe ratio over the past year (-2.34 vs -2.41), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -5.89% for JNK and -6.08% for USHY.
Current Drawdown
USHY-6.03%JNK-5.86%
Rolling Volatility
USHY+0.30%JNK+0.30%
METRICS
Correlation Matrix
Metrics
Risk Indicators
USHYJNK
Alpha
USHY
-12.17%
JNK
-12.02%
Beta
USHY
0.22x
JNK
0.22x
Sharpe
USHY
-2.41
JNK
-2.34
Sortino
USHY
-2.90
JNK
-2.87
Omega
USHY
0.66
JNK
0.67
Calmar
USHY
-0.91
JNK
-0.90
Martin
USHY
-4.11
JNK
-4.41
Comparisons