HON vs ITW: returns, Sharpe ratio and drawdown
Performance
HON+1.16%ITW+6.61%
Summary
HON vs ITW
Over the past year, ITW returned +6.61% against +1.16% for HON. Over five years, ITW averaged +3.45% a year, compared with -1.32% for HON. ITW had the higher Sharpe ratio over the past year (0.20 vs 0.01), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.95% for ITW and -19.06% for HON.
Current Drawdown
HON-16.96%ITW-11.65%
Rolling Volatility
HON+1.05%ITW+1.32%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HONITW
Alpha
HON
-8.18%
ITW
-0.81%
Beta
HON
0.80x
ITW
0.48x
Sharpe
HON
0.01
ITW
0.20
Sortino
HON
0.02
ITW
0.29
Omega
HON
1.00
ITW
1.03
Calmar
HON
0.06
ITW
0.37
Martin
HON
0.04
ITW
0.49
Comparisons