HON vs IR: returns, Sharpe ratio and drawdown
Performance
HON+1.16%IR-0.61%
Summary
HON vs IR
Over the past year, HON returned +1.16% against -0.61% for IR. Over five years, IR averaged +8.26% a year, compared with -1.32% for HON. HON had the higher Sharpe ratio over the past year (0.01 vs 0.01), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.06% for HON and -30.60% for IR.
Current Drawdown
HON-16.96%IR-21.02%
Rolling Volatility
HON+1.05%IR+1.54%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HONIR
Alpha
HON
-8.18%
IR
-12.36%
Beta
HON
0.80x
IR
1.17x
Sharpe
HON
0.01
IR
0.01
Sortino
HON
0.02
IR
0.01
Omega
HON
1.00
IR
1.00
Calmar
HON
0.06
IR
-0.02
Martin
HON
0.04
IR
0.01
Comparisons