IMO vs OVV: returns, Sharpe ratio and drawdown
Performance
IMO+55.22%OVV+91.15%
Summary
IMO vs OVV
Over the past year, OVV returned +91.15% against +55.22% for IMO. Over five years, IMO averaged +31.88% a year, compared with +13.16% for OVV. OVV had the higher Sharpe ratio over the past year (1.90 vs 1.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.60% for OVV and -19.76% for IMO.
Current Drawdown
IMO-3.19%OVV+0.00%
Rolling Volatility
IMO+1.69%OVV+2.00%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IMOOVV
Alpha
IMO
45.58%
OVV
72.86%
Beta
IMO
-0.14x
OVV
-0.58x
Sharpe
IMO
1.52
OVV
1.90
Sortino
IMO
2.23
OVV
2.84
Omega
IMO
1.27
OVV
1.36
Calmar
IMO
2.79
OVV
5.18
Martin
IMO
5.43
OVV
9.62
Comparisons