ABT vs BSX: returns, Sharpe ratio and drawdown
Performance
ABT-26.12%BSX-56.78%
Summary
ABT vs BSX
Over the past year, ABT returned -26.12% against -56.78% for BSX. Over five years, BSX averaged -0.64% a year, compared with -3.48% for ABT. ABT had the higher Sharpe ratio over the past year (-1.16 vs -2.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -38.07% for ABT and -60.39% for BSX.
Current Drawdown
ABT-26.12%BSX-59.95%
Rolling Volatility
ABT+1.25%BSX+1.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ABTBSX
Alpha
ABT
-31.80%
BSX
-83.67%
Beta
ABT
0.03x
BSX
0.19x
Sharpe
ABT
-1.16
BSX
-2.13
Sortino
ABT
-1.60
BSX
-2.49
Omega
ABT
0.81
BSX
0.66
Calmar
ABT
-0.69
BSX
-0.94
Martin
ABT
-1.47
BSX
-2.02
Comparisons