AZN vs GSK: returns, Sharpe ratio and drawdown
Performance
AZN-1.39%GSK+12.22%
Summary
AZN vs GSK
Over the past year, GSK returned +12.22% against -1.39% for AZN. Over five years, AZN averaged +5.84% a year, compared with -1.33% for GSK. GSK had the higher Sharpe ratio over the past year (0.40 vs -0.08), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.37% for GSK and -25.71% for AZN.
Current Drawdown
AZN-21.04%GSK-19.07%
Rolling Volatility
AZN+1.60%GSK+1.48%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AZNGSK
Alpha
AZN
-4.57%
GSK
8.57%
Beta
AZN
0.25x
GSK
0.23x
Sharpe
AZN
-0.08
GSK
0.40
Sortino
AZN
-0.12
GSK
0.61
Omega
AZN
0.99
GSK
1.07
Calmar
AZN
-0.05
GSK
0.50
Martin
AZN
-0.17
GSK
0.84
Comparisons