GWW vs ITW: returns, Sharpe ratio and drawdown
Performance
GWW+30.99%ITW+6.61%
Summary
GWW vs ITW
Over the past year, GWW returned +30.99% against +6.61% for ITW. Over five years, GWW averaged +24.29% a year, compared with +3.45% for ITW. GWW had the higher Sharpe ratio over the past year (1.09 vs 0.20), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.35% for GWW and -17.95% for ITW.
Current Drawdown
GWW-9.51%ITW-11.65%
Rolling Volatility
GWW+1.07%ITW+1.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GWWITW
Alpha
GWW
20.33%
ITW
-0.81%
Beta
GWW
0.49x
ITW
0.48x
Sharpe
GWW
1.09
ITW
0.20
Sortino
GWW
1.69
ITW
0.29
Omega
GWW
1.21
ITW
1.03
Calmar
GWW
2.32
ITW
0.37
Martin
GWW
4.82
ITW
0.49
Comparisons