FTV vs IEX: returns, Sharpe ratio and drawdown
Performance
FTV+14.44%IEX+39.73%
Summary
FTV vs IEX
Over the past year, IEX returned +39.73% against +14.44% for FTV. Over five years, IEX averaged +1.66% a year, compared with +0.60% for FTV. IEX had the higher Sharpe ratio over the past year (1.44 vs 0.47), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.49% for IEX and -14.95% for FTV.
Current Drawdown
FTV-11.97%IEX-3.65%
Rolling Volatility
FTV+1.42%IEX+0.96%
METRICS
Correlation Matrix
Metrics
Risk Indicators
FTVIEX
Alpha
FTV
6.09%
IEX
24.82%
Beta
FTV
0.62x
IEX
0.65x
Sharpe
FTV
0.47
IEX
1.44
Sortino
FTV
0.70
IEX
2.33
Omega
FTV
1.09
IEX
1.27
Calmar
FTV
0.97
IEX
2.74
Martin
FTV
2.06
IEX
6.93
Comparisons