Performance

BOKF+13.53%FHB+5.85%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BOKF	-0.14%	+5.18%	+13.53%	+4.32%	-15.75%	0.51
FHB	+0.04%	-2.80%	+5.85%	-2.00%	-19.71%	0.17

Summary

BOKF vs FHB

Over the past year, BOKF returned +13.53% against +5.85% for FHB. Over five years, BOKF averaged +4.32% a year, compared with -2.00% for FHB. BOKF had the higher Sharpe ratio over the past year (0.51 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.75% for BOKF and -19.71% for FHB.

Current Drawdown

BOKF-14.54%FHB-17.77%

Rolling Volatility

BOKF+0.99%FHB+1.08%

METRICS

Correlation Matrix

	BOKF	FHB
BOKF	1.00	0.77
FHB	0.77	1.00

Metrics

Risk Indicators

BOKFFHB

Alpha

5.50%

-1.80%

Beta

0.53x

0.60x

Sharpe

0.51

0.17

Sortino

0.74

0.25

Omega

1.09

1.03

Calmar

0.86

0.30

Martin

1.87

0.44

Comparisons

More BOKF comparisons

BOKF vs XLF
BOKF vs SPY
BOKF vs FNB
BOKF vs CFG
BOKF vs ZION
BOKF vs WTFC

More FHB comparisons

FHB vs XLF
FHB vs SPY
FHB vs FNB
FHB vs COLB
FHB vs WTFC

BOKF vs FHB: returns, Sharpe ratio and drawdown

BOKF vs FHB

More BOKF comparisons

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