ITW vs XYL: returns, Sharpe ratio and drawdown
Performance
ITW+6.61%XYL-30.53%
Summary
ITW vs XYL
Over the past year, ITW returned +6.61% against -30.53% for XYL. Over five years, ITW averaged +3.45% a year, compared with -3.95% for XYL. ITW had the higher Sharpe ratio over the past year (0.20 vs -1.51), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.95% for ITW and -34.04% for XYL.
Current Drawdown
ITW-11.65%XYL-33.32%
Rolling Volatility
ITW+1.32%XYL+1.50%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ITWXYL
Alpha
ITW
-0.81%
XYL
-46.32%
Beta
ITW
0.48x
XYL
0.76x
Sharpe
ITW
0.20
XYL
-1.51
Sortino
ITW
0.29
XYL
-1.87
Omega
ITW
1.03
XYL
0.77
Calmar
ITW
0.37
XYL
-0.90
Martin
ITW
0.49
XYL
-1.87
Comparisons