Performance

BAX+9.30%TFX-0.08%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BAX	-1.86%	+29.64%	+9.30%	-20.49%	-31.81%	0.33
TFX	+1.72%	+6.56%	-0.08%	-18.35%	-24.59%	0.08

Summary

BAX vs TFX

Over the past year, BAX returned +9.30% against -0.08% for TFX. Over five years, TFX averaged -18.35% a year, compared with -20.49% for BAX. BAX had the higher Sharpe ratio over the past year (0.33 vs 0.08), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.59% for TFX and -31.81% for BAX.

Current Drawdown

BAX-10.83%TFX-8.18%

Rolling Volatility

BAX+1.61%TFX+1.65%

METRICS

Correlation Matrix

	BAX	TFX
BAX	1.00	0.32
TFX	0.32	1.00

Metrics

Risk Indicators

BAXTFX

Alpha

3.48%

-2.89%

Beta

1.13x

0.67x

Sharpe

0.33

0.08

Sortino

0.44

0.12

Omega

1.06

1.02

Calmar

0.29

-0.00

Martin

0.83

0.28

Comparisons

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BAX vs XLV
BAX vs SPY
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BAX vs BDX
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TFX vs XLV
TFX vs SPY
TFX vs MDT
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TFX vs BDX

BAX vs TFX: returns, Sharpe ratio and drawdown

BAX vs TFX

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