BDX vs PEN: returns, Sharpe ratio and drawdown
Performance
BDX+26.27%PEN+29.58%
Summary
BDX vs PEN
Over the past year, PEN returned +29.58% against +26.27% for BDX. Over five years, PEN averaged +3.04% a year, compared with +0.60% for BDX. PEN had the higher Sharpe ratio over the past year (0.92 vs 0.87), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.23% for PEN and -24.10% for BDX.
Current Drawdown
BDX-1.04%PEN-10.72%
Rolling Volatility
BDX+1.35%PEN+0.26%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BDXPEN
Alpha
BDX
19.51%
PEN
24.99%
Beta
BDX
0.31x
PEN
0.04x
Sharpe
BDX
0.87
PEN
0.92
Sortino
BDX
1.46
PEN
2.02
Omega
BDX
1.16
PEN
1.31
Calmar
BDX
1.09
PEN
2.42
Martin
BDX
1.90
PEN
3.05
Comparisons