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JEF vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JEFSPY
YTD Return87.30%24.40%
1Y Return117.81%31.86%
3Y Return (Ann)31.43%9.29%
5Y Return (Ann)39.10%15.23%
10Y Return (Ann)15.79%13.04%
Sharpe Ratio4.522.64
Sortino Ratio5.593.53
Omega Ratio1.731.49
Calmar Ratio10.073.81
Martin Ratio35.4617.21
Ulcer Index3.27%1.86%
Daily Std Dev25.69%12.15%
Max Drawdown-80.74%-55.19%
Current Drawdown-0.51%-2.17%

Correlation

-0.50.00.51.00.6

The correlation between JEF and SPY is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

JEF vs. SPY - Performance Comparison

In the year-to-date period, JEF achieves a 87.30% return, which is significantly higher than SPY's 24.40% return. Over the past 10 years, JEF has outperformed SPY with an annualized return of 15.79%, while SPY has yielded a comparatively lower 13.04% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%40.00%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
57.76%
11.33%
JEF
SPY

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Risk-Adjusted Performance

JEF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Jefferies Financial Group Inc. (JEF) and SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


JEF
Sharpe ratio
The chart of Sharpe ratio for JEF, currently valued at 4.52, compared to the broader market-4.00-2.000.002.004.52
Sortino ratio
The chart of Sortino ratio for JEF, currently valued at 5.59, compared to the broader market-4.00-2.000.002.004.005.59
Omega ratio
The chart of Omega ratio for JEF, currently valued at 1.73, compared to the broader market0.501.001.502.001.73
Calmar ratio
The chart of Calmar ratio for JEF, currently valued at 10.07, compared to the broader market0.002.004.006.0010.07
Martin ratio
The chart of Martin ratio for JEF, currently valued at 35.46, compared to the broader market0.0010.0020.0030.0035.46
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.64, compared to the broader market-4.00-2.000.002.002.64
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.53, compared to the broader market-4.00-2.000.002.004.003.53
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.49, compared to the broader market0.501.001.502.001.49
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 3.81, compared to the broader market0.002.004.006.003.81
Martin ratio
The chart of Martin ratio for SPY, currently valued at 17.21, compared to the broader market0.0010.0020.0030.0017.21

JEF vs. SPY - Sharpe Ratio Comparison

The current JEF Sharpe Ratio is 4.52, which is higher than the SPY Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of JEF and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.52
2.64
JEF
SPY

Dividends

JEF vs. SPY - Dividend Comparison

JEF's dividend yield for the trailing twelve months is around 1.28%, more than SPY's 1.20% yield.


TTM20232022202120202019201820172016201520142013
JEF
Jefferies Financial Group Inc.
1.28%7.42%3.67%2.43%1.96%0.04%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.20%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

JEF vs. SPY - Drawdown Comparison

The maximum JEF drawdown since its inception was -80.74%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for JEF and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.51%
-2.17%
JEF
SPY

Volatility

JEF vs. SPY - Volatility Comparison

Jefferies Financial Group Inc. (JEF) has a higher volatility of 12.36% compared to SPDR S&P 500 ETF (SPY) at 4.08%. This indicates that JEF's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
12.36%
4.08%
JEF
SPY