FDN vs IGM: returns, Sharpe ratio and drawdown
Performance
FDN+0.48%IGM+22.87%
Summary
FDN vs IGM
Over the past year, IGM returned +22.87% against +0.48% for FDN. Over five years, IGM averaged +17.42% a year, compared with +3.06% for FDN. IGM had the higher Sharpe ratio over the past year (0.78 vs -0.08), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.51% for IGM and -20.86% for FDN.
Current Drawdown
FDN-5.78%IGM-8.66%
Rolling Volatility
FDN+1.49%IGM+1.42%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FDNIGM
Alpha
FDN
-13.29%
IGM
3.22%
Beta
FDN
1.24x
IGM
1.75x
Sharpe
FDN
-0.08
IGM
0.78
Sortino
FDN
-0.11
IGM
1.12
Omega
FDN
0.99
IGM
1.13
Calmar
FDN
0.02
IGM
1.38
Martin
FDN
-0.21
IGM
3.17
Comparisons