DOV vs ITW: returns, Sharpe ratio and drawdown
Performance
DOV+16.43%ITW+6.61%
Summary
DOV vs ITW
Over the past year, DOV returned +16.43% against +6.61% for ITW. Over five years, ITW averaged +3.45% a year, compared with +2.74% for DOV. DOV had the higher Sharpe ratio over the past year (0.55 vs 0.20), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.95% for ITW and -20.24% for DOV.
Current Drawdown
DOV-19.01%ITW-11.65%
Rolling Volatility
DOV+1.02%ITW+1.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DOVITW
Alpha
DOV
4.83%
ITW
-0.81%
Beta
DOV
0.88x
ITW
0.48x
Sharpe
DOV
0.55
ITW
0.20
Sortino
DOV
0.82
ITW
0.29
Omega
DOV
1.10
ITW
1.03
Calmar
DOV
0.81
ITW
0.37
Martin
DOV
1.59
ITW
0.49
Comparisons