Performance

BSX-55.21%MDT-7.30%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
BSX	+1.64%	-54.88%	-55.21%	-0.31%	-60.39%	-2.03
MDT	+0.83%	-7.88%	-7.30%	-7.10%	-30.00%	-0.39

Summary

BSX vs MDT

Over the past year, MDT returned -7.30% against -55.21% for BSX. Over five years, BSX averaged -0.31% a year, compared with -7.10% for MDT. MDT had the higher Sharpe ratio over the past year (-0.39 vs -2.03), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.00% for MDT and -60.39% for BSX.

Current Drawdown

BSX-59.30%MDT-16.01%

Rolling Volatility

BSX+1.59%MDT+1.39%

METRICS

Correlation Matrix

	BSX	MDT
BSX	1.00	0.46
MDT	0.46	1.00

Metrics

Risk Indicators

BSXMDT

Alpha

-80.52%

-11.54%

Beta

0.18x

0.16x

Sharpe

-2.03

-0.39

Sortino

-2.39

-0.58

Omega

0.68

0.94

Calmar

-0.91

-0.24

Martin

-1.92

-0.59

Comparisons

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BSX vs XLV
BSX vs SPY
BSX vs SYK
BSX vs ISRG
BSX vs ABT

More MDT comparisons

MDT vs XLV
MDT vs SPY
MDT vs SYK
MDT vs ABT
MDT vs STE

BSX vs MDT: returns, Sharpe ratio and drawdown

BSX vs MDT

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