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ROK vs. IGV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ROK and IGV is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

ROK vs. IGV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Rockwell Automation, Inc. (ROK) and iShares Expanded Tech-Software Sector ET (IGV). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
9.81%
23.10%
ROK
IGV

Key characteristics

Sharpe Ratio

ROK:

-0.12

IGV:

1.29

Sortino Ratio

ROK:

0.06

IGV:

1.74

Omega Ratio

ROK:

1.01

IGV:

1.23

Calmar Ratio

ROK:

-0.15

IGV:

0.40

Martin Ratio

ROK:

-0.35

IGV:

5.75

Ulcer Index

ROK:

11.37%

IGV:

4.82%

Daily Std Dev

ROK:

32.91%

IGV:

21.48%

Max Drawdown

ROK:

-75.83%

IGV:

-98.54%

Current Drawdown

ROK:

-14.32%

IGV:

-58.54%

Returns By Period

In the year-to-date period, ROK achieves a -5.11% return, which is significantly lower than IGV's 28.32% return. Over the past 10 years, ROK has underperformed IGV with an annualized return of 12.11%, while IGV has yielded a comparatively higher 18.84% annualized return.


ROK

YTD

-5.11%

1M

-0.57%

6M

9.81%

1Y

-4.28%

5Y*

9.30%

10Y*

12.11%

IGV

YTD

28.32%

1M

-1.83%

6M

23.11%

1Y

27.73%

5Y*

17.54%

10Y*

18.84%

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Risk-Adjusted Performance

ROK vs. IGV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Rockwell Automation, Inc. (ROK) and iShares Expanded Tech-Software Sector ET (IGV). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for ROK, currently valued at -0.13, compared to the broader market-4.00-2.000.002.00-0.131.29
The chart of Sortino ratio for ROK, currently valued at 0.05, compared to the broader market-4.00-2.000.002.004.000.051.74
The chart of Omega ratio for ROK, currently valued at 1.01, compared to the broader market0.501.001.502.001.011.23
The chart of Calmar ratio for ROK, currently valued at -0.16, compared to the broader market0.002.004.006.00-0.160.40
The chart of Martin ratio for ROK, currently valued at -0.38, compared to the broader market0.0010.0020.00-0.385.75
ROK
IGV

The current ROK Sharpe Ratio is -0.12, which is lower than the IGV Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of ROK and IGV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
-0.13
1.29
ROK
IGV

Dividends

ROK vs. IGV - Dividend Comparison

ROK's dividend yield for the trailing twelve months is around 1.75%, while IGV has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
ROK
Rockwell Automation, Inc.
1.75%1.54%1.76%1.24%1.65%1.94%2.42%1.59%2.18%2.61%2.15%1.77%
IGV
iShares Expanded Tech-Software Sector ET
0.00%0.41%0.01%0.00%0.35%0.02%0.16%0.09%0.82%0.22%0.29%0.33%

Drawdowns

ROK vs. IGV - Drawdown Comparison

The maximum ROK drawdown since its inception was -75.83%, smaller than the maximum IGV drawdown of -98.54%. Use the drawdown chart below to compare losses from any high point for ROK and IGV. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-14.32%
-58.54%
ROK
IGV

Volatility

ROK vs. IGV - Volatility Comparison

The current volatility for Rockwell Automation, Inc. (ROK) is 5.97%, while iShares Expanded Tech-Software Sector ET (IGV) has a volatility of 8.07%. This indicates that ROK experiences smaller price fluctuations and is considered to be less risky than IGV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
5.97%
8.07%
ROK
IGV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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