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JPEL.L vs. IWDA.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JPEL.LIWDA.L
YTD Return-24.23%16.29%
1Y Return-28.99%25.36%
3Y Return (Ann)-22.01%7.42%
5Y Return (Ann)-11.80%12.37%
10Y Return (Ann)-0.78%9.67%
Sharpe Ratio-2.742.14
Daily Std Dev10.54%12.16%
Max Drawdown-68.59%-34.11%
Current Drawdown-60.27%-0.13%

Correlation

-0.50.00.51.00.1

The correlation between JPEL.L and IWDA.L is 0.06, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

JPEL.L vs. IWDA.L - Performance Comparison

In the year-to-date period, JPEL.L achieves a -24.23% return, which is significantly lower than IWDA.L's 16.29% return. Over the past 10 years, JPEL.L has underperformed IWDA.L with an annualized return of -0.78%, while IWDA.L has yielded a comparatively higher 9.67% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
-19.23%
8.58%
JPEL.L
IWDA.L

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Risk-Adjusted Performance

JPEL.L vs. IWDA.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPEL Private Equity Ltd (JPEL.L) and iShares Core MSCI World UCITS ETF USD (Acc) (IWDA.L). 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.


JPEL.L
Sharpe ratio
The chart of Sharpe ratio for JPEL.L, currently valued at -2.74, compared to the broader market-4.00-2.000.002.00-2.74
Sortino ratio
The chart of Sortino ratio for JPEL.L, currently valued at -3.67, compared to the broader market-6.00-4.00-2.000.002.004.00-3.67
Omega ratio
The chart of Omega ratio for JPEL.L, currently valued at 0.26, compared to the broader market0.501.001.502.000.26
Calmar ratio
The chart of Calmar ratio for JPEL.L, currently valued at -0.51, compared to the broader market0.001.002.003.004.005.00-0.51
Martin ratio
The chart of Martin ratio for JPEL.L, currently valued at -2.26, compared to the broader market-10.000.0010.0020.00-2.26
IWDA.L
Sharpe ratio
The chart of Sharpe ratio for IWDA.L, currently valued at 2.14, compared to the broader market-4.00-2.000.002.002.14
Sortino ratio
The chart of Sortino ratio for IWDA.L, currently valued at 3.01, compared to the broader market-6.00-4.00-2.000.002.004.003.01
Omega ratio
The chart of Omega ratio for IWDA.L, currently valued at 1.39, compared to the broader market0.501.001.502.001.39
Calmar ratio
The chart of Calmar ratio for IWDA.L, currently valued at 2.03, compared to the broader market0.001.002.003.004.005.002.03
Martin ratio
The chart of Martin ratio for IWDA.L, currently valued at 11.10, compared to the broader market-10.000.0010.0020.0011.10

JPEL.L vs. IWDA.L - Sharpe Ratio Comparison

The current JPEL.L Sharpe Ratio is -2.74, which is lower than the IWDA.L Sharpe Ratio of 2.14. The chart below compares the 12-month rolling Sharpe Ratio of JPEL.L and IWDA.L.


Rolling 12-month Sharpe Ratio-3.00-2.00-1.000.001.002.003.00AprilMayJuneJulyAugustSeptember
-2.74
2.14
JPEL.L
IWDA.L

Dividends

JPEL.L vs. IWDA.L - Dividend Comparison

Neither JPEL.L nor IWDA.L has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

JPEL.L vs. IWDA.L - Drawdown Comparison

The maximum JPEL.L drawdown since its inception was -68.59%, which is greater than IWDA.L's maximum drawdown of -34.11%. Use the drawdown chart below to compare losses from any high point for JPEL.L and IWDA.L. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-57.27%
-0.13%
JPEL.L
IWDA.L

Volatility

JPEL.L vs. IWDA.L - Volatility Comparison

JPEL Private Equity Ltd (JPEL.L) has a higher volatility of 4.39% compared to iShares Core MSCI World UCITS ETF USD (Acc) (IWDA.L) at 3.78%. This indicates that JPEL.L's price experiences larger fluctuations and is considered to be riskier than IWDA.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
4.39%
3.78%
JPEL.L
IWDA.L