Performance
 Annualized Return

12.81%
 Sharpe Ratio

1.85
 Maximum Drawdown

3.77%
Metrics
Metric  JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E 

Initial Balance  $10,000 
Final Balance  $10,868 
Returns [View more details]  
MonthToDate  1.01% 
YearToDate  0.72% 
3M  3.86% 
6M  2.2% 
Annualized Return (3Y)  12.81% 
Annualized Return (5Y)  12.81% 
Annualized Return (All)  12.81% 
Risk [View more details]  
Annual Volatility  6.72% 
Max Drawdown  3.77% 
Sharpe Ratio  1.85 
Sortino Ratio  3.26 
Adjusted Sortino (S/√2)  2.31 
 Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on November 2023.
 Final balance: The amount of capital we've accrued over time as of July 2024.
 Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 1 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
 Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately 5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
 Best year: The best performance attained over its lifetime in a given year.
 Worst year: The worst performance undergone over its lifetime in a given year.
 Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
 Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a riskfree asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
 Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
 Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
 Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
 Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.
Annualized Returns
Annual Return 1y  Annual Return 3y  Annual Return 5y  Annual Return 10y  Annual Return 20y  Annual Return  

JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E  12.81%  12.81%  12.81%  12.81%  12.81%  12.81% 
Annual Returns
Year  JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E 

2023  7.9% 
2024  0.72% 
JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E had 2 positive years and 0 negative years. That's a positive ratio of 100%.
Monthly Returns
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2023                      3.5%  4.3%  7.9% 
2024  0.4%  1.3%  1.2%  2.2%  1.3%  1.3%  1%            0.7% 
Pos  0%  0%  100%  0%  100%  100%  100%  0%  0%  0%  100%  100%  100% 
Avg  0.4%  1.3%  1.2%  2.2%  1.3%  1.3%  1%  0%  0%  0%  3.5%  4.3%  4.3% 
Other Return Metrics
Metric  JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E 

Cumulative Return  8.68% 
Enh Ann Return  / 
Best Year  7.9% 
Worst Year  0.72% 
Best Month  4.29% 
Worst Month  2.23% 
Best Day  2.35% 
Worst Day  1.17% 
Win Ratio (Yearly)  100% 
Win Ratio (Quarterly)  75% 
Win Ratio (Monthly)  66.67% 
Win Ratio (Daily)  56.25% 
Annual Volatility
Annual Volatility 1y  Annual Volatility 3y  Annual Volatility 5y  Annual Volatility 10y  Annual Volatility 20y  Annual Volatility  

JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E  6.72%  6.72%  6.72%  6.72%  6.72%  6.72% 
Sharpe Ratio
Sharpe Ratio 1y  Sharpe Ratio 3y  Sharpe Ratio 5y  Sharpe Ratio 10y  Sharpe Ratio 20y  Sharpe Ratio  

JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E  1.85  1.85  1.85  1.85  1.85  1.85 
3Year Rolling Sharpe Ratio
The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the riskadjusted returns.
Drawdown Periods
Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.
JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E
start  valley  end  days  Drawdown 

20231229  20240425  20240705  189  3.77% 
20231215  20231220  20231227  12  0.63% 
20231115  20231115  20231117  2  0.57% 
20231208  20231211  20231213  5  0.55% 
20240719  20240722    3  0.47% 
The JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E took approximately 1 months on average to recover from a major drawdown. The longest drawdown lasted 6 months.
Underwater plot
The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.
Other Risk Metrics
Metric  JPM USD Corporate Bond Research Enhanced Index (ESG) UCITS E 

Sharpe Ratio  1.85 
Sortino Ratio  3.26 
Adjusted Sortino (S/√2)  2.31 
Calmar Ratio  3.4 
Omega Ratio  1.44 
Gain to Pain Ratio  0.44 
Winckel Ratio  0 
Ulcer Index  0.01 
Kelly Criterion  17.2% 
Skew  1.29 
Kurtosis  6.37 