Performance

BMY+33.35%PFE+10.22%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BMY	-0.20%	+11.45%	+33.35%	+0.42%	-13.63%	1.04
PFE	-0.64%	+10.48%	+10.22%	-7.70%	-17.09%	0.36

Summary

BMY vs PFE

Over the past year, BMY returned +33.35% against +10.22% for PFE. Over five years, BMY averaged +0.42% a year, compared with -7.70% for PFE. BMY had the higher Sharpe ratio over the past year (1.04 vs 0.36), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -13.63% for BMY and -17.09% for PFE.

Current Drawdown

BMY-12.50%PFE-4.14%

Rolling Volatility

BMY+1.28%PFE+0.81%

METRICS

Correlation Matrix

	BMY	PFE
BMY	1.00	0.56
PFE	0.56	1.00

Metrics

Risk Indicators

BMYPFE

Alpha

26.05%

4.53%

Beta

0.21x

0.29x

Sharpe

1.04

0.36

Sortino

1.62

0.52

Omega

1.19

1.06

Calmar

2.45

0.60

Martin

5.05

1.14

Comparisons

More BMY comparisons

BMY vs XLV
BMY vs SPY
BMY vs AMGN
BMY vs ABBV
BMY vs MRK

More PFE comparisons

PFE vs MRK
PFE vs XLV
PFE vs SPY
PFE vs AMGN
PFE vs BIIB

BMY vs PFE: returns, Sharpe ratio and drawdown

BMY vs PFE

More BMY comparisons

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