Performance

HUBB+6.82%ITT+15.03%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
HUBB	-0.78%	-0.42%	+6.82%	+18.39%	-21.39%	0.23
ITT	-1.30%	+13.90%	+15.03%	+16.21%	-16.89%	0.46

Summary

HUBB vs ITT

Over the past year, ITT returned +15.03% against +6.82% for HUBB. Over five years, HUBB averaged +18.39% a year, compared with +16.21% for ITT. ITT had the higher Sharpe ratio over the past year (0.46 vs 0.23), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.89% for ITT and -21.39% for HUBB.

Current Drawdown

HUBB-17.34%ITT-10.50%

Rolling Volatility

HUBB+1.28%ITT+1.45%

METRICS

Correlation Matrix

	HUBB	ITT
HUBB	1.00	0.59
ITT	0.59	1.00

Metrics

Risk Indicators

HUBBITT

Alpha

-3.89%

3.27%

Beta

1.20x

1.26x

Sharpe

0.23

0.46

Sortino

0.32

0.72

Omega

1.04

1.08

Calmar

0.32

0.89

Martin

0.69

1.71

Comparisons

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HUBB vs APG
HUBB vs NVT
HUBB vs CAT

More ITT comparisons

ITT vs XLI
ITT vs SPY
ITT vs FLS
ITT vs CAT
ITT vs RRX

HUBB vs ITT: returns, Sharpe ratio and drawdown

HUBB vs ITT

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