ILMN vs TMO: returns, Sharpe ratio and drawdown
Performance
ILMN+163.86%TMO+26.88%
Summary
ILMN vs TMO
Over the past year, ILMN returned +163.86% against +26.88% for TMO. Over five years, TMO averaged +1.75% a year, compared with -8.34% for ILMN. ILMN had the higher Sharpe ratio over the past year (2.14 vs 0.82), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.66% for ILMN and -31.45% for TMO.
Current Drawdown
ILMN-10.61%TMO-0.93%
Rolling Volatility
ILMN+3.41%TMO+1.66%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ILMNTMO
Alpha
ILMN
98.53%
TMO
18.79%
Beta
ILMN
0.77x
TMO
0.55x
Sharpe
ILMN
2.14
TMO
0.82
Sortino
ILMN
4.02
TMO
1.23
Omega
ILMN
1.47
TMO
1.15
Calmar
ILMN
6.38
TMO
0.85
Martin
ILMN
10.32
TMO
1.48
Comparisons