IHE vs PPH: returns, Sharpe ratio and drawdown
Performance
IHE+39.34%PPH+26.72%
Summary
IHE vs PPH
Over the past year, IHE returned +39.34% against +26.72% for PPH. Over five years, IHE averaged +12.26% a year, compared with +10.96% for PPH. IHE had the higher Sharpe ratio over the past year (1.64 vs 1.14), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.74% for IHE and -10.76% for PPH. Dividends over the past year came to 1.86% of PPH's price, against 1.39% for IHE.
Current Drawdown
IHE-4.69%PPH-2.29%
Rolling Volatility
IHE+1.43%PPH+1.20%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IHEPPH
Alpha
IHE
27.33%
PPH
18.70%
Beta
IHE
0.33x
PPH
0.23x
Sharpe
IHE
1.64
PPH
1.14
Sortino
IHE
2.70
PPH
1.84
Omega
IHE
1.30
PPH
1.20
Calmar
IHE
4.04
PPH
2.48
Martin
IHE
8.37
PPH
4.43
Comparisons