DXCM vs ISRG: returns, Sharpe ratio and drawdown
Performance
DXCM+23.99%ISRG-6.39%
Summary
DXCM vs ISRG
Over the past year, DXCM returned +23.99% against -6.39% for ISRG. Over five years, ISRG averaged +4.63% a year, compared with -9.14% for DXCM. DXCM had the higher Sharpe ratio over the past year (0.64 vs -0.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -22.83% for DXCM and -44.00% for ISRG.
Current Drawdown
DXCM-8.59%ISRG-29.93%
Rolling Volatility
DXCM+1.44%ISRG+1.59%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DXCMISRG
Alpha
DXCM
18.28%
ISRG
-14.18%
Beta
DXCM
0.63x
ISRG
0.91x
Sharpe
DXCM
0.64
ISRG
-0.12
Sortino
DXCM
0.94
ISRG
-0.17
Omega
DXCM
1.12
ISRG
0.98
Calmar
DXCM
1.05
ISRG
-0.15
Martin
DXCM
2.63
ISRG
-0.18
Comparisons