BDX vs CHE: returns, Sharpe ratio and drawdown
Performance
BDX+26.27%CHE+15.15%
Summary
BDX vs CHE
Over the past year, BDX returned +26.27% against +15.15% for CHE. Over five years, CHE averaged +1.23% a year, compared with +0.60% for BDX. BDX had the higher Sharpe ratio over the past year (0.87 vs 0.49), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -22.98% for CHE and -24.10% for BDX.
Current Drawdown
BDX-1.04%CHE-7.30%
Rolling Volatility
BDX+1.35%CHE+1.12%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BDXCHE
Alpha
BDX
19.51%
CHE
13.97%
Beta
BDX
0.31x
CHE
0.01x
Sharpe
BDX
0.87
CHE
0.49
Sortino
BDX
1.46
CHE
0.65
Omega
BDX
1.16
CHE
1.10
Calmar
BDX
1.09
CHE
0.66
Martin
BDX
1.90
CHE
1.45
Comparisons