Performance

IBN-3.26%ING+39.38%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IBN	+1.87%	+0.00%	-3.26%	+7.28%	-20.70%	-0.26
ING	+0.54%	+16.31%	+39.38%	+17.32%	-19.86%	1.19

Summary

IBN vs ING

Over the past year, ING returned +39.38% against -3.26% for IBN. Over five years, ING averaged +17.32% a year, compared with +7.28% for IBN. ING had the higher Sharpe ratio over the past year (1.19 vs -0.26), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.86% for ING and -20.70% for IBN.

Current Drawdown

IBN-5.63%ING-10.25%

Rolling Volatility

IBN+1.26%ING+1.29%

METRICS

Correlation Matrix

	IBN	ING
IBN	1.00	0.44
ING	0.44	1.00

Metrics

Risk Indicators

IBNING

Alpha

-11.74%

20.52%

Beta

0.67x

1.33x

Sharpe

-0.26

1.19

Sortino

-0.38

1.88

Omega

0.96

1.22

Calmar

-0.16

1.98

Martin

-0.54

5.21

Comparisons

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ING vs XLF
ING vs SPY
ING vs LYG
ING vs DB
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IBN vs ING: returns, Sharpe ratio and drawdown

IBN vs ING

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